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Comments on ‘Multi-country Modeling of Financial Markets’ by J. Helliwell, J. Cockerline, and Robert Lafrance
Multi-country Modeling Financial Markets
2015/8/4
Comments on ‘Multi-country Modeling of Financial Markets’ by J. Helliwell, J. Cockerline, and Robert Lafrance.
Modeling interaction of trading volume in financial dynamics
Trading Market Microstructure Data Analysis Statistics Probability Physics Society
2010/12/16
A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its...
Modeling wealth distribution in growing markets
Modeling wealth distribution growing markets
2010/12/17
We introduce an auto-regressive model which captures the growing nature of realistic markets. In our model agents do not trade with other agents, they interact indirectly only through a market. Chang...
Role of scaling in the statistical modeling of finance
Role scaling statistical modeling finance
2010/12/17
Modeling the evolution of a financial index as a stochastic process is a problem awaiting a full, satisfactory solution since it was first formulated by Bachelier in 1900. Here it is shown that the s...