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The endogenous dynamics of markets: price impact and feedback loops
endogenous dynamics markets price impact feedback loops
2010/10/21
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenou...
Interacting Many-Investor Models, Opinion Formation and Price Formation with Non-extensive Statistics
Many-Investor Models Opinion Formation Price Formation Non-extensive Statistics
2010/10/19
We seek to utilize the nonextensive statistics to the microscopic modeling of the interacting many-investor dynamics that drive the price changes in a market. The statistics of price changes are known...
Two-sided estimates for stock price distribution densities in jump-diffusion models
Stochastic volatility models Jump-diffusion models Stock
2010/10/20
We consider uncorrelated Stein-Stein, Heston, and Hull-White models and their perturbations by compound Poisson processes with jump amplitudes distributed according to a double exponential law. Simila...
A Security Price Volatile Trading Conditioning Model
Security Price Trading Conditioning Model
2010/10/18
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probabili...
Measuring the Social Return to Infrastructure Investments Using Interregional Price Gaps: A
2008/1/14
主讲人
Zhigang Li
University of Hong Kong
题目
Measuring the Social Return to Infrastructure Investments Using Interregional Price Gaps: A Natural Experiment
Curriculum Vita
Name: Zhiga...