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Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
matrix theory quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
time series quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
We show that stochastic recovery always leads to counter-intuitive behaviors in the risk measures of a CDO tranche - namely, continuity on default and positive credit spread risk cannot be ensured sim...
The past five decades have seen tremendous changes in inflation dynamics in the United States. Some of the changes arguably stem from transformations in the U.S. economy. Energy is a smaller share of ...
We approximate the distribution of total expenditure of a retail company over warranty claims incurred in a fixed period [0, T], say the following quarter. We consider two kinds of warranty policies, ...
Interest-Rate Modeling with Multiple Yield Curves
Yield Curve Bootstrap Yield Curve Interpolation Discounting Curve
2010/10/20
The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A single yield curve ...
This paper proposes a parametric approach for stochastic modeling of limit order markets. The models are obtained by augmenting classical perfectly liquid market models by few additional risk factors...
Game-Theoretic Modeling of Electricity Markets in Central Europe
Prediction model algorithmic game theory modeling
2010/12/6
The paper deals with the methodology of computer modeling and simulation of complex markets with electricity and related products. The methodology is presented using a particular configuration of Cen...
Credit Default Swaps Liquidity modeling: A survey
Credit Default Swaps Liquidity modeling survey
2010/10/18
We review different approaches for measuring the impact of liquidity on CDS prices. We start with reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi an...
The correctness of Harrods model in the differential form is studied. The inadequacy of exponential growth of economy is shown; an alternative result is obtained. By example of Phillips model, an app...
Modeling share prices of banks and bankrupts
share price modeling CPI prediction the USA bankruptcy
2010/10/19
Share prices of financial companies from the S&P 500 list have been modeled by a linear function of consumer price indices in the USA. The Johansen and Engle-Granger tests for cointegration both demo...
Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model
Default Risk Modeling the First-Passage Approximation Extended Black-Cox Model
2010/10/18
We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firm's ability to avoid default even if company's liabilities momentar...
Point Processes Modeling of Time Series Exhibiting Power-Law Statistics
Point Processes Modeling Time Series Exhibiting Power-Law Statistics
2010/10/18
We consider stochastic point processes generating time series exhibiting power laws of spectrum and distribution density (Phys. Rev. E 71, 051105 (2005)) and apply them for modeling the trading activi...
New Financial Research Program: General Option-Price Wave Modeling
General option-price wave modeling new financial research program
2010/10/18
Recently, a novel adaptive wave model for financial option pricing has been proposed in the form of adaptive nonlinear Schr\"{o}dinger (NLS) equation [Ivancevic a], as a high-complexity alternative to...
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emi...