排序方式: 共有111条查询结果,搜索用时 15 毫秒
61.
F. Wang P. Weber K. Yamasaki S. Havlin H. E. Stanley 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,55(2):123-133
We discuss recent results concerning statistical regularities in the
return intervals of volatility in financial markets. In particular, we
show how the analysis of volatility return intervals, defined as the
time between two volatilities larger than a given threshold, can help
to get a better understanding of the behavior of financial time
series. We find scaling in the distribution of return intervals for
thresholds ranging over a factor of 25, from 0.6 to 15 standard
deviations, and also for various time windows from one minute up to
390 min (an entire trading day). Moreover, these results are
universal for different stocks, commodities, interest rates as well as
currencies. We also analyze the memory in the return intervals which
relates to the memory in the volatility and find two scaling regimes,
ℓ<ℓ* with α1=0.64±0.02 and ℓ> ℓ*
with α2=0.92±0.04; these exponent values are similar to
results of Liu et al. for the volatility. As an application, we use
the scaling and memory properties of the return intervals to suggest a
possibly useful method for estimating risk. 相似文献
62.
S. Drożdż A. Z. Górski J. Kwapień 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,58(4):499-502
World currency network constitutes one of the most complex structures that
is associated with the contemporary civilization. On a way towards
quantifying its characteristics we study the
cross correlations in changes of the daily foreign exchange rates within
the basket of 60 currencies in the period December 1998–May 2005. Such
a dynamics turns out to predominantly involve one outstanding eigenvalue
of the correlation matrix. The magnitude of this eigenvalue depends however
crucially on which currency is used as a base currency for the remaining ones.
Most prominent it looks from the perspective of a peripheral currency.
This largest eigenvalue is seen to systematically decrease and thus
the structure of correlations becomes more heterogeneous,
when more significant currencies are used as reference.
An extreme case in this later respect is the USD in the period considered.
Besides providing further insight into subtle nature of complexity,
these observations point to a formal procedure that in general
can be used for practical purposes of measuring the relative
currencies significance on various time horizons. 相似文献
63.
I consider the problem of the optimal limit order price of a financial asset in the framework of the maximization of the utility
function of the investor. The analytical solution of the problem gives insight on the origin of the recently empirically observed
power law distribution of limit order prices. In the framework of the model, the most likely proximate cause of this power
law is a power law heterogeneity of traders' investment time horizons. 相似文献
64.
通过对本科生和MBA学生分别进行跨期决策实验,估计各跨期选择模型(指数函数、简单双曲线、拟双曲线和q指数函数)的参数及拟合度AICc.同时还比较了两种测量动态不一致程度的方法.结果发现:无论实验对象是否有工作经验,使用q指数函数的贴现模型总能产生最小的AICc值,因此是最优模型;基于对数时间理论的测量方法捕获了动态不一致性的本质,是测量动态不一致性程度的最优方法. 相似文献
65.
G.-F. Gu W. Chen W.-X. Zhou 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,57(1):81-87
The statistical properties of the bid-ask spread of a
frequently traded Chinese stock listed on the Shenzhen Stock
Exchange are investigated using the limit-order book data. Three
different definitions of spread are considered based on the time
right before transactions, the time whenever the highest buying
price or the lowest selling price changes, and a fixed time
interval. The results are qualitatively similar no matter linear
prices or logarithmic prices are used. The average spread exhibits
evident intraday patterns consisting of a big L-shape in morning
transactions and a small L-shape in the afternoon. The distributions
of the spread with different definitions decay as power laws. The
tail exponents of spreads at transaction level are well within the
interval (2,3) and that of average spreads are well in line with
the inverse cubic law for different time intervals. Based on the
detrended fluctuation analysis, we found the evidence of long memory
in the bid-ask spread time series for all three definitions, even
after the removal of the intraday pattern. Using the classical
box-counting approach for multifractal analysis, we show that the
time series of bid-ask spread do not possess multifractal nature. 相似文献
66.
F. Clementi M. Gallegati G. Kaniadakis 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,57(2):187-193
Starting from the generalized exponential function
, with exp 0(x)=exp (x), proposed in reference [G. Kaniadakis, Physica A 296, 405 (2001)], the survival function P>(x)=exp κ(-βxα), where x∈R+, α,β>0, and
, is considered in order to analyze the data on personal income distribution for Germany, Italy, and the United Kingdom. The
above defined distribution is a continuous one-parameter deformation of the stretched exponential function P>
0(x)=exp (-βxα)
to which reduces as κ approaches zero
behaving in very different way in the x→0 and x→∞ regions. Its bulk is very close to the stretched exponential one, whereas
its tail decays following the power-law P>(x)∼(2βκ)-1/κx-α/κ. This makes the κ-generalized function particularly suitable to describe simultaneously the income distribution among both
the richest part and the vast majority of the population, generally fitting different curves. An excellent agreement is found
between our theoretical model and the observational data on personal income over their entire range. 相似文献
67.
Stylized facts from a threshold-based heterogeneous agent model 总被引:1,自引:0,他引:1
R. Cross M. Grinfeld H. Lamba T. Seaman 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,57(2):213-218
A class of heterogeneous agent models is investigated where investors switch trading position whenever their motivation to
do so exceeds some critical threshold. These motivations can be psychological in nature or reflect behaviour suggested by
the efficient market hypothesis (EMH).
By introducing different propensities into a baseline model that displays EMH behaviour, one can attempt to isolate their
effects upon the market dynamics.
The simulation results indicate that the introduction of a herding propensity results in excess kurtosis and power-law decay
consistent with those observed in actual return distributions, but not in significant long-term volatility correlations. Possible
alternatives for introducing such long-term volatility correlations are then identified and discussed. 相似文献
68.
S. M.D. Queirós 《The European Physical Journal B - Condensed Matter and Complex Systems》2007,60(2):265-269
In this article we analyse the leading statistical properties of fluctuations of (log) 3-month US
Treasury bill quotation in the secondary market, namely: probability density function, autocorrelation, absolute
values autocorrelation, and absolute values persistency. We verify that this financial
instrument, in spite of its high liquidity, shows very peculiar properties. Particularly, we verify that
log-fluctuations belong to the Lévy class of stochastic variables. 相似文献
69.
This paper examines relations between econophysics and the law of entropy as foundations of economic phenomena. Ontological entropy, where actual thermodynamic processes are involved in the flow of energy from the Sun through the biosphere and economy, is distinguished from metaphorical entropy, where similar mathematics used for modeling entropy is employed to model economic phenomena. Areas considered include general equilibrium theory, growth theory, business cycles, ecological economics, urban–regional economics, income and wealth distribution, and financial market dynamics. The power-law distributions studied by econophysicists can reflect anti-entropic forces is emphasized to show how entropic and anti-entropic forces can interact to drive economic dynamics, such as in the interaction between business cycles, financial markets, and income distributions. 相似文献
70.
Jaume Masoliver Miquel Montero Josep Perell J. Doyne Farmer John Geanakoplos 《Entropy (Basel, Switzerland)》2022,24(4)
We address the process of discounting in random environments, which allows valuation of the future in economic terms. We review several approaches to the problem regarding different well-established stochastic market dynamics in the continuous-time context and include the Feynman–Kac approach. We also review the relation between bond-pricing theory and discounting and introduce both the market price of risk and the risk neutral measure from an intuitive point of view devoid of excessive formalism. We provide the discount for each economic model and discuss their key results. We finally present a summary of our previous empirical studies for several countries on the long-run discount problem. 相似文献