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We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consist...
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...
In the area of traditional physics the atomic nucleus belongs to the most complex systems. It involves essentially all elements that characterize complexity including the most distinctive one whose e...
Mesoscopic modelling of financial markets
wealth distribution power-law tails stock market self-similarity
2010/10/21
We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is de...
Dynamics on/in financial markets: dynamical decoupling and stylized facts
Dynamics financial markets dynamical decoupling stylized facts
2010/10/19
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least q...
Modelling Information Flows in Financial Markets
Modelling Information Flows Financial Markets
2010/10/20
This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information abou...
Price dynamics in financial markets: a kinetic approach
Price dynamics financial markets kinetic approach
2010/10/21
The use of kinetic modelling based on partial differential equations for the dynamics of stock price formation in financial markets is briefly reviewed. The importance of behavioral aspects in market...
This note is a review of known results about the paths of security prices in idealized financial markets that satisfy a version of the no-arbitrage condition. Without making any probabilistic assumpt...
Dynamics on/in financial markets: dynamical decoupling and stylized facts
financial markets stylized facts dynamical decoupling
2010/4/28
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least q...
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...
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...