搜索结果: 1-10 共查到“金融市场 Scaling”相关记录10条 . 查询时间(0.197 秒)
Scaling properties of first-passage time probabilities in financial markets
Scaling properties first-passage time probabilities financial markets
2011/7/19
Financial markets provide an ideal frame for the study of first-passage time events of non-
Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures...
Emergence of universal scaling in financial markets from mean-field dynamics
universal scaling financial markets mean-field dynamics
2010/10/20
Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior i...
Scaling and multiscaling in financial indexes: a simple model
Scaling multiscaling financial indexes simple model
2010/10/20
We propose a simple stochastic model for time series which is analytically tractable, easy to simulate and which captures some relevant stylized facts of financial indexes, including scaling properti...
Universal and nonuniversal allometric scaling behaviors in the visibility graphs of world stock market indices
Universal nonuniversal world stock market indices
2010/11/2
The investigations of financial markets from a complex network perspective have unveiled many
phenomenological properties, in which the majority of these studies map the financial markets into one co...
Scaling conditional tail probability and quantile estimators
distria relatively high frequency quantile estimates
2011/3/31
We present a novel procedure for scaling relatively high frequency tail probability and quantile estimates for the conditional distria.
Scaling and memory in the return intervals of realized volatility
Econophysics Realized volatility Return interval Scaling Long memory
2010/10/29
We performreturn interval analysis of 1-min realized volatility defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent...
Scaling and memory in the non-poisson process of limit order cancelation
Econophysics Inter-cancelation duration Scaling Long memory Multifractal nature
2010/11/2
The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancelation by studying the...
Modeling the non-Markovian, non-stationary scaling dynamics of financial markets
Modeling the non-Markovian financial markets
2010/11/2
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several nat...
Scaling and Memory Effect in Volatility Return Interval of the Chinese Stock Market
Scaling Memory Effect Volatility Return Interval Chinese Stock Market
2010/12/20
We investigate the probability distribution of the volatility return intervals $\tau$ for the Chinese stock market. We rescale both the probability distribution $P_{q}(\tau)$ and the volatility return...
Scaling in the distribution of intertrade durations of Chinese stocks
Scaling distribution intertrade durations Chinese stocks
2010/12/17
The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on ...