搜索结果: 1-15 共查到“金融市场 Stock Market”相关记录16条 . 查询时间(0.139 秒)
On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree
ultrametricity minimum spanning tree liquidity Jakarta Stock Exchange
2015/7/31
We analyze the evolving price °uctuations by using ultrametric distance of minimally spanning ˉnancial tree of stocks traded in Jakarta Stock Exchange 2000-2004. Ultrametricity is derived from transfo...
Fractal Profit Landscape of the Stock Market
Fractal Profit Landscape Stock Market Statistical Finance
2012/6/2
We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two...
Non - Randomness Stock Market Price Model (Amended)
Market Price Model Non - Randomness Stock
2011/7/22
Abstract: A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.
Impact of elimination of uptick rule on stock market volatility
uptick rule stock market volatility
2010/10/18
The uptick rule is a former rule established by the SEC that required that every
short sale transaction be entered at a price that is higher than the price of the previous
trade. The purpose of this...
Mapping markets to the statistical mechanics: the derivatives act against the self-regulation of stock market
statistical mechanics self-regulation of stock market
2010/10/29
Mapping the economy to the some statistical physics models we get strong indications that, in
contrary to the pure stock market, the stock market with derivatives could not self-regulate.
World stock market: more sizeable trend reversal likely in February/March 2010
World stock market sizeable trend
2010/11/2
Based on our ”finance-prediction-oriented” methodology which involves such elements as log-periodic self-similarity, the universal preferred scaling factor 2, and allows a phenomenon of the ”super...
The level crossing analysis of German stock market index (DAX) and daily oil price time series
stock market index (DAX) oil price time series
2010/10/18
The level crossing analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, $\nu_{\alpha}^+$, where $T_{\alpha} =1/\nu_{\alpha}^+ $ is the a...
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...
Stock Market Trading Via Stochastic Network Optimization
Queueing analysis stochastic control universal
2010/11/2
We consider the problem of dynamic buying and selling of shares from a collection of N stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of s...
Stock Market and Motion of a Variable Mass Spring
Stock Market Motion of a Variable Mass Spring
2010/11/1
We establish an analogy between the motion of spring whose mass increases linearly with time
and volatile stock markets dynamics within an economic model based on simple temporal demand
and supply f...
Stock market integration in the Latin American markets: further evidence from nonlinear modeling
Stock market integration Latin American marketsp nonlinear modeling
2010/11/1
This article studies the financial integration between the six main Latin American markets and the US market in a nonlinear framework. Using the threshold cointegration techniques of Hansen and Seo (2...
Structural Breaks in the Mexico's Integration into the World Stock Market
International Asset Pricing Segmentation Emerging Markets Structural Breaks
2010/11/1
This article investigates the evolution of the Mexican stock market integration into the world
market. First, we estimate the time-varying Mexican degree of market integration using an
international...
Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
stock market crash financial bubble Chinese markets rational expectation bubble herding
2010/11/2
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...
Empirical regularities of opening call auction in Chinese stock market
Econophysics Order-driven markets Opening call action Limit-order book Microstructure theory
2010/11/1
We study the statistical regularities of opening call auction using the ultra-high-frequency data of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. The distribution of the relative pr...
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...