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1.
C. Windsor A. Thyagaraja 《The European Physical Journal B - Condensed Matter and Complex Systems》2001,20(4):581-584
A statistical connection is identified between the current spread in a market over a given time period and the drift of the
market during previous time periods. It is shown that periods of high spread are likely to be preceded by periods with relatively
large market drifts. Several markets, including the UK pound per US Dollar, US Dollar per Yen, UK pound per Euro, and the
UK FT100 index have been analysed from 1991 to 2000 over variable periods of weeks, months and quarters. Within each period,
i the natural logarithm of the daily end-of-trade market value has been least squares fitted to a linear regression line, and
evaluations made of the regression line slope μ
i, the direct spread si with respect to the mean value, and the regression spread ri of the deviations from the regression line. Significant correlations have been observed between the current monthly direct
spread si for each period i and the absolute value of the drifts |μ
i-j| evaluated j periods earlier. This correlation coefficient is as high as 0.746 for a period of one quarter (j = 1) and appears to die away after around 9 months for quarterly averages, after around 4 months for monthly averages and
after around 2 months for weekly averages.
Received 11 October 2000 相似文献
2.
I. Giardina J.-P. Bouchaud 《The European Physical Journal B - Condensed Matter and Complex Systems》2003,31(3):421-437
We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents
have different strategies among which they can choose, according to their relative profitability, with the possibility of
not participating to the market. The price is updated according to the excess demand, and the wealth of the agents is properly
accounted for. Only two parameters play a significant role: one describes the impact of trading on the price, and the other
describes the propensity of agents to be trend following or contrarian. We observe three different regimes, depending on the
value of these two parameters: an oscillating phase with bubbles and crashes, an intermittent phase and a stable `rational'
market phase. The statistics of price changes in the intermittent phase resembles that of real price changes, with small linear
correlations, fat tails and long range volatility clustering. We discuss how the time dependence of these two parameters spontaneously
drives the system in the intermittent region. We analyze quantitatively the temporal correlation of activity in the intermittent
phase, and show that the `random time strategy shift' mechanism that we proposed earlier allows one to understand the observed
long ranged correlations. Other mechanisms leading to long ranged correlations are also reviewed. We discuss several other
issues, such as the formation of bubbles and crashes, the influence of transaction costs and the distribution of agents wealth.
Received 5 July 2002 / Received in final form 9 December 2002 Published online 14 February 2003
RID="a"
ID="a"e-mail: irene.giardina@roma1.infn.it 相似文献
3.
V. Alfi M. Cristelli L. Pietronero A. Zaccaria 《The European Physical Journal B - Condensed Matter and Complex Systems》2009,67(3):385-397
We introduce a minimal agent based model for financial markets to understand the nature and self-organization of the stylized
facts. The model is minimal in the sense that we try to identify the essential ingredients to reproduce the most important
deviations of price time series from a random walk behavior. We focus on four essential ingredients: fundamentalist agents
which tend to stabilize the market; chartist agents which induce destabilization; analysis of price behavior for the two strategies;
herding behavior which governs the possibility of changing strategy. Bubbles and crashes correspond to situations dominated
by chartists, while fundamentalists provide a long time stability (on average). The stylized facts are shown to correspond
to an intermittent behavior which occurs only for a finite value of the number of agents N. Therefore they correspond to finite
size effects which, however, can occur at different time scales. We propose a new mechanism for the self-organization of this
state which is linked to the existence of a threshold for the agents to be active or not active. The feedback between price
fluctuations and number of active agents represents a crucial element for this state of self-organized intermittency. The
model can be easily generalized to consider more realistic variants. 相似文献
4.
I. Simonsen P. T.H. Ahlgren M. H. Jensen R. Donangelo K. Sneppen 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,57(2):153-158
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper,
we
discuss asymmetries in short term price movements that can not be
associated with a long term positive trend. These empirical
asymmetries predict that stock index drops are more common on a
relatively short time scale than the corresponding raises. We
present several empirical examples of such asymmetries. Furthermore,
a simple model featuring occasional short periods of synchronized
dropping prices for all stocks constituting the index is introduced
with the aim of explaining these facts. The collective negative
price movements are imagined triggered by external factors in our
society, as well as internal to the economy, that create fear of the
future among investors. This is parameterized by a “fear factor”
defining the frequency of synchronized events. It is demonstrated
that such a simple fear factor model can reproduce several empirical
facts concerning index asymmetries. It is also pointed out that in
its simplest form, the model has certain shortcomings. 相似文献
5.
L. Bongini M. Degli Esposti C. Giardinà A. Schianchi 《The European Physical Journal B - Condensed Matter and Complex Systems》2002,27(2):263-272
In this paper, we solve a general problem of optimizing a portfolio in a futures markets framework, extending the previous
work of Galluccio et al. [Physica A 259, 449 (1998)]. We allow for long buying/short selling of a relatively large number of assets, assuming a fixed level of margin
requirement. Because of non-linearity in the constraint, we derive a multiple equilibrium solution, in a size exponential
respect to the number of assets. That means that we can not obtain the unique efficiency frontier, but many of them and each
one is related to different levels of risk. Such a problem is analogous to that of finding the ground state in long-ranged
Ising spin glass with external field. In order to get the best portfolio (i.e. that is along the best efficiency frontier), we have to implement a two-step procedure, performing the exhaustive enumeration
of all local minima. We develop a concrete application, where the different part of the proposed solution are computed.
Received 31 December 2001 相似文献
6.
Self-organizing Ising model of financial markets 总被引:1,自引:0,他引:1
W.-X. Zhou D. Sornette 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,55(2):175-181
We study a dynamical Ising-like model of agents' opinions (buy or
sell) with learning, in which the coupling coefficients are
re-assessed continuously in time according to how past external news
(time-varying magnetic field) have explained realized market
returns. By combining herding, the impact of external news and
private information, we find that the stylized facts of financial
markets are reproduced only when agents misattribute the success of
news to predict return to herding effects, thereby providing
positive feedbacks leading to the model functioning close to the
Ising critical point. 相似文献
7.
A. P. Nawroth J. Peinke 《The European Physical Journal B - Condensed Matter and Complex Systems》2006,50(1-2):147-151
A new approach is presented to describe the change in the statistics of the log return distribution of financial data as a
function of the timescale. To this purpose a measure is introduced, which quantifies the distance of a considered distribution
to a reference distribution. The existence of a small timescale regime is demonstrated, which exhibits different properties
compared to the normal timescale regime for timescales larger than one minute. This regime seems to be universal for individual
stocks. It is shown that the existence of this small timescale regime is not dependent on the special choice of the distance
measure or the reference distribution. These findings have important implications for risk analysis, in particular for the
probability of extreme events. 相似文献
8.
N. Sazuka 《The European Physical Journal B - Condensed Matter and Complex Systems》2006,50(1-2):129-131
A non-trivial probability structure is evident in the binary data extracted from the up/down price movements of very high
frequency data such as tick-by-tick data for USD/JPY. In this paper, we analyze the Sony bank USD/JPY rates, ignoring the
small deviations from the market price. We then show there is a similar non-trivial probability structure in the Sony bank
rate, in spite of the Sony bank rate's having less frequent and larger deviations than tick-by-tick data. However, this probability
structure is not found in the data which has been sampled from tick-by-tick data at the same rate as the Sony bank rate. Therefore,
the method of generating the Sony bank rate from the market rate has the potential for practical use since the method retains
the probability structure as the sampling frequency decreases. 相似文献
9.
M. Beben A. Orłowski 《The European Physical Journal B - Condensed Matter and Complex Systems》2001,20(4):527-530
Long-time correlations in both well-developed and emerging market indexes are studied. The Hurst exponent as well as detrended
fluctuations analysis (DFA) are used as technical tools. Some features that seem to be specific for developing markets are
discovered and briefly discussed.
Received 17 October 2000 相似文献
10.
Forecast in foreign exchange markets 总被引:2,自引:0,他引:2
R. Baviera M. Pasquini M. Serva D. Vergni A. Vulpiani 《The European Physical Journal B - Condensed Matter and Complex Systems》2001,20(4):473-479
We perform a statistical study of weak efficiency in Deutschemark/US dollar exchange rates using high frequency data. The presence of correlations in the returns
sequence implies the possibility of a statistical forecast of market behavior. We show the existence of correlations and how
information theory can be relevant in this context.
Received 5 October 2000 相似文献
11.
M. Bartolozzi C. Mellen T. Di Matteo T. Aste 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,58(2):207-220
In the present work we investigate the multiscale nature of the
correlations for high frequency data (1 min) in different
futures markets over a period of two years, starting on the
1st of January 2003 and ending on the 31st of
December 2004. In particular, by using the concept of local
Hurst exponent, we point out how the behaviour of this parameter,
usually considered as a benchmark for persistency/antipersistency
recognition in time series, is largely time-scale dependent in the
market context. These findings are a direct consequence of the
intrinsic complexity of a system where trading strategies are
scale-adaptive. Moreover, our analysis points out different
regimes in the dynamical behaviour of the market indices under
consideration. 相似文献
12.
A.-H. Sato 《The European Physical Journal B - Condensed Matter and Complex Systems》2006,50(1-2):137-140
Power spectrum densities for the number of tick quotes per minute
(market activity) on three currency markets (USD/JPY, EUR/USD, and
JPY/EUR) for periods from January 1999 to December 2000 are
analyzed. We find some peaks on the power spectrum densities at a few
minutes. We develop the double-threshold agent model and confirm
that stochastic resonance occurs for the market activity of this model.
We propose a hypothesis that the periodicities found on the power spectrum
densities can be observed due to stochastic resonance. 相似文献
13.
F. Petroni M. Serva 《The European Physical Journal B - Condensed Matter and Complex Systems》2006,51(4):601-608
The present study shows how the information on `hidden' market variables effects optimal investment strategies. We take the
point of view of two investors, one who has access to the hidden variables and one who only knows the quotes of a given asset.
Following Kelly's theory on investment strategies, the Shannon information and the doubling investment rate are quantified
for both investors. Thanks to his privileged knowledge, the first investor can follow a better investment strategy. Nevertheless,
the second investor can extract some of the hidden information looking at the past history of the asset variable. Unfortunately,
due to the complexity of his strategy, this investor will have computational difficulties when he tries to apply it. He will
than follow a simplified strategy, based only on the average sign of the last l quotes of the asset. This results have been
tested with some Monte Carlo simulations. 相似文献
14.
T. Kaizoji 《The European Physical Journal B - Condensed Matter and Complex Systems》2006,50(1-2):123-127
In this paper, we quantitatively investigate the properties of a statistical ensemble of stock prices. We focus attention
on the relative price defined as X(t) = S(t)/S(0), where S(0), is the stock price for an onset time of the bubble. We selected
approximately 3200 stocks traded on the Japanese Stock Exchange, and formed a statistical ensemble of daily relative prices
for each trading day in the 3-year period from January 4, 1999 to December 28, 2001, corresponding to the period in which
internet Bubble formed and crashed in the Japanese stock market.
We found that the upper tail of the complementary cumulative distribution function of the ensemble of the relative prices
in the high value of the price is well described by a power-law distribution, P(S>x) ∼x-α , with an exponent that moves over time. Furthermore we found that as the power-law exponents α approached two, the bubble burst. It is reasonable to suppose that it indicates that internet bubble is about to burst. 相似文献
15.
M. Bartolozzi 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,57(3):337-345
Avalanches, or Avalanche-like, events are often
observed in the dynamical behaviour of many complex systems which
span from solar flaring to the Earth's crust dynamics and from
traffic flows to financial markets. Self-organized criticality
(SOC) is one of the most popular theories able to explain this
intermittent charge/discharge behaviour. Despite a large amount of
theoretical work, empirical tests for SOC are still in their
infancy. In the present paper we address the common problem of
revealing SOC from a simple time series without having much
information about the underlying system. As a working example we
use a modified version of the multifractal random walk originally
proposed as a model for the stock market dynamics. The study
reveals, despite the lack of the typical ingredients of SOC, an
avalanche-like dynamics similar to that of many physical systems.
While, on one hand, the results confirm the relevance of cascade
models in representing turbulent-like phenomena, on the other,
they also raise the question about the current state of
reliability of SOC inference from time series analysis. 相似文献
16.
S. Alfarano T. Lux F. Wagner 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,55(2):183-187
The present paper expands on recent attempts at
estimating the parameters of simple interacting-agent models of
financial markets [S. Alfarano, T. Lux, F. Wagner, Computational Economics 26, 19 (2005); S. Alfarano, T. Lux, F. Wagner, in Funktionsf?higkeit und
Stabilit?t von Finanzm?rkten, edited by W. Franz, H. Ramser,
M. Stadler (Mohr Siebeck, Tübingen, 2005), pp. 241–254]. Here we
provide additional evidence by (i) investigating a large sample of
individual stocks from the Tokyo Stock Exchange, and (ii)
comparing results from the baseline noise trader/fundamentalist
model of [S. Alfarano, T. Lux, F. Wagner, Computational Economics 26, 19 (2005)] with those obtained from an even
simpler version with a preponderance of noise trader behaviour. As
it turns out, this somewhat more parsimonious “maximally skewed”
variant is often not rejected in favor of the more complex
version. We also find that all stocks are dominated by noise
trader behaviour irrespective of whether the data prefer the
skewed or the baseline version of our model. 相似文献
17.
S. Ciliberti M. Mézard 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,57(2):175-180
We use a replica approach to deal with portfolio optimization problems. A
given risk measure is minimized using empirical estimates of asset values
correlations. We study the phase transition which happens when the time
series is too short with respect to the size of the portfolio. We also study
the noise sensitivity of portfolio allocation when this transition is
approached. We consider explicitely the cases where the absolute deviation
and the conditional value-at-risk are chosen as a risk measure. We show how
the replica method can study a wide range of risk measures, and deal with
various types of time series correlations, including realistic ones with
volatility clustering. 相似文献
18.
19.
O. S. Klass O. Biham M. Levy O. Malcai S. Solomon 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,55(2):143-147
Statistical regularities at
the top end of the wealth distribution in the United States are
examined using the Forbes 400 lists of richest Americans,
published between 1988 and 2003.
It is found that the wealths are distributed according to a power-law
(Pareto) distribution.
This result is explained using a
simple stochastic model
of multiple investors that incorporates the
efficient market hypothesis
as well as the multiplicative nature of financial market fluctuations. 相似文献
20.
J. de Souza L. G. Moyano S. M. Duarte Queirós 《The European Physical Journal B - Condensed Matter and Complex Systems》2006,50(1-2):165-168
In this article we study the dependence degree of the traded volume of
the Dow Jones 30 constituent equities
by using a nonextensive generalised form of the Kullback-Leibler
information measure. Our results
show a slow decay of the dependence degree as a function of the lag.
This feature is compatible with the existence
of non-linearities in this type time series. In addition, we introduce a
dynamical mechanism whose associated
stationary probability density function (PDF) presents a good agreement
with the empirical results. 相似文献