搜索结果: 46-60 共查到“经济学 financial markets”相关记录67条 . 查询时间(0.33 秒)
Large-volatility dynamics in financial markets
Large-volatility dynamics financial markets
2010/10/18
We investigate the large-volatility dynamics in financial markets, based on the minutely and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volati...
Reverse Engineering Financial Markets with Majority and Minority Games using Genetic Algorithms
Financial Markets Majority Minority Games Genetic Algorithms
2010/10/18
Using virtual stock markets with artificial interacting software investors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial...
Diagnosis and Prediction of Tipping Points in Financial Markets: Crashes and Rebounds
financial bubble crash negative bubble rebound
2010/10/18
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of bi...
A Fiscal Rule that Has Teeth: A Suggestion for a Fiscal Sustainability Council Underpinned by the Financial Markets
fiscal policy European Union sustainability
2009/7/17
In this paper, we set out to examine an efficient fiscal-policy framework for a monetary union. We illustrate that fiscal policy’s bias toward budget deficit only temporarily ceased at the end of the...
Complex Systems: From Nuclear Physics to Financial Markets
Financial Physics Correlations Cross-correlations log-periodicity collectivity in nuclei
2010/11/2
We compare correlations and coherent structures in nuclei and financial markets. In the nuclear physics part we review giant resonances which can be interpreted as a coherent structure embedded in cha...
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...
A long-range memory stochastic model of the return in financial markets
Models of financial markets Stochastic equations Power-law distributions Long memory processes
2010/10/29
We present a nonlinear stochastic differential equation (SDE) which mimics the probability density function (PDF) of the return and the power spectrum of the ab-solute return in financial markets. Abs...
A queueing theory description of fat-tailed price returns in imperfect financial markets
queueing theory description imperfect financial markets
2010/11/2
In a nancial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investm...
Recurring international financial crises have adverse socioeconomic effects and demand novel regulatory instruments or strategies for risk management and market stabilization. However, the complex web...
Institutional Arrangement of Financial Markets Supervision: The Case of the Czech Republic
Financial markets Financial conglomerates Financial supervision Integration of supervision
2010/10/20
The paper deals with institutional arrangement of financial supervision in the Czech Republic. Financial markets are composed of partial financial segments specialized in individual types of financial...
Granger causality in risk and detection of extreme risk spillover between financial markets
Cross-spectrum Extreme downside risk Financial contagion Granger causality in risk Nonlinear time series Risk management Value at Risk
2011/4/2
Controlling and monitoring extreme downside market risk are important for financial risk management and portfolio/investment diversification.
Effects of time dependency and efficiency on information flow in financial markets
efficiency information flow financial markets
2010/12/13
We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were considered in the analysis...
From short to fat tails in financial markets: A unified description
financial markets unified description
2010/12/13
In complex systems such as turbulent flows and financial markets, the dynamics in long and short time-lags, signaled by Gaussian and fat-tailed statistics, respectively, calls for a unified descripti...
We study the point of transition between complete and incomplete financial models thanks to Dirichlet Forms methods. We apply recent techniques, developped by Bouleau, to hedging procedures in order ...
Optimal Robust Mean-Variance Hedging in Incomplete Financial Markets
Optimal Robust Mean-Variance Hedging Incomplete Financial Markets
2010/12/17
Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V -robust) trading strate...