arXiv: General Finance最新文献_第5页

Economic Decision Making: Application of the Theory of Complex Systems 经济决策:复杂系统理论的应用

arXiv: General Finance Pub Date : 2012-08-06 DOI: 10.1007/978-94-017-8691-1_4

R. Kitt

引用次数: 4

A quantum mechanical model for the relationship between stock price and stock ownership 股票价格与股权关系的量子力学模型

arXiv: General Finance Pub Date : 2012-07-14 DOI: 10.1063/1.4766764

Liviu-Adrian Cotfas

引用次数: 5

Import and export of horticultural products in Portugal 葡萄牙园艺产品进出口

arXiv: General Finance Pub Date : 2012-06-15 DOI: 10.7813/jee.2013/4-1/1

V. Martinho

引用次数: 0

Predatory Trading and Risk Minimisation: How to (B)Eat the Competition 掠夺性交易和风险最小化:如何(B)吃掉竞争

arXiv: General Finance Pub Date : 2012-02-07 DOI: 10.1007/978-88-470-2553-0_10

A. Mehta

引用次数: 1

On the Zipf strategy for short-term investments in WIG20 futures 关于Zipf短期投资WIG20期货的策略

arXiv: General Finance Pub Date : 2011-07-17 DOI: 10.12693/APhysPolA.121.B-7

Bartosz Bieda, Pawe l Chodorowski, D. Grech

{"title":"On the Zipf strategy for short-term investments in WIG20 futures","authors":"Bartosz Bieda, Pawe l Chodorowski, D. Grech","doi":"10.12693/APhysPolA.121.B-7","DOIUrl":"https://doi.org/10.12693/APhysPolA.121.B-7","url":null,"abstract":"We apply the Zipf power law to financial time series of WIG20 index daily changes (open-close). Thanks to the mapping of time series signal into the sequence of 2k+1 'spin-like' states, where k=0, 1/2, 1, 3/2, ..., we are able to describe any time series increments, with almost arbitrary accuracy, as the one of such 'spin-like' states. This procedure leads in the simplest non-trivial case (k = 1/2) to the binary data projection. More sophisticated projections are also possible and mentioned in the article. The introduced formalism allows then to use Zipf power law to describe the intrinsic structure of time series. The fast algorithm for this implementation was constructed by us within Matlab^{TM} software. The method, called Zipf strategy, is then applied in the simplest case k = 1/2 to WIG 20 open and close daily data to make short-term predictions for forthcoming index changes. The results of forecast effectiveness are presented with respect to different time window sizes and partition divisions (word lengths in Zipf language). Finally, the various investment strategies improving ROI (return of investment) for WIG20 futures are proposed. We show that the Zipf strategy is the appropriate and very effective tool to make short-term predictions and therefore, to evaluate short-term investments on the basis of historical stock index data. Our findings support also the existence of long memory in financial data, exceeding the known in literature 3 days span limit.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121648184","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

How sensitive are equilibrium pricing models to real-world distortions? 均衡定价模型对现实世界的扭曲有多敏感?

arXiv: General Finance Pub Date : 2010-09-14 DOI: 10.2139/SSRN.1676925

H. Lamba

{"title":"How sensitive are equilibrium pricing models to real-world distortions?","authors":"H. Lamba","doi":"10.2139/SSRN.1676925","DOIUrl":"https://doi.org/10.2139/SSRN.1676925","url":null,"abstract":"In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium adjustment mechanisms. This raises the important question of how sensitive such models might be to real-world effects that violate the assumptions. We show how the consequences of rational behavior caused by perverse incentives, as well as various irrational tendencies identified by behavioral economists, can be systematically and consistently introduced into an agent-based model for a financial asset. This generates a class of models which, in the special case where such effects are absent, reduces to geometric Brownian motion --- the usual equilibrium pricing model. Thus we are able to numerically perturb a widely-used equilibrium pricing model market and investigate its stability. The magnitude of such perturbations in real markets can be estimated and the simulations imply that this is far outside the stability region of the equilibrium solution, which is no longer observed. Indeed the price fluctuations generated by endogenous dynamics, are in good general agreement with the excess kurtosis and heteroskedasticity of actual asset prices. The methodology is presented within the context of a financial market. However, there are close links to concepts and theories from both micro- and macro-economics including rational expectations, Soros' theory of reflexivity, and Minsky's theory of financial instability.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"141 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114014549","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Economic Interactions and the Distribution of Wealth 经济互动与财富分配

arXiv: General Finance Pub Date : 2009-06-08 DOI: 10.1007/978-88-470-1501-2_8

D. Fiaschi, M. Marsili

引用次数: 7

Convergence and cluster structures in EU area according to fluctuations in macroeconomic indices 根据宏观经济指数波动的欧盟地区趋同和集群结构

arXiv: General Finance Pub Date : 2008-05-01 DOI: 10.11130/JEI.2008.23.2.297

M. Gligor, M. Ausloos

{"title":"Convergence and cluster structures in EU area according to fluctuations in macroeconomic indices","authors":"M. Gligor, M. Ausloos","doi":"10.11130/JEI.2008.23.2.297","DOIUrl":"https://doi.org/10.11130/JEI.2008.23.2.297","url":null,"abstract":"The cluster analysis methods are used in order to perform a comparative study of 15 EU countries in relation with the fluctuations of some basic macroeconomic indicators. The statistical distances between countries are calculated for various moving time windows, and the time variation of the mean statistical distance is investigated. The decreasing of the mean statistical distance between EU countries is reflected in the correlated fluctuations of the basic ME indicators: GDP, GDP/capita, Consumption and Investments. This empirical evidence can be seen as an economic aspect of globalization. The Moving Average Minimal Length Path (MAMLP) algorithm allows to search for a cluster-like structures derived both from the hierarchical organization of countries and from their relative movement inside the hierarchy. It is found that the strongly correlated countries with respect to GDP fluctuations can be partitioned into stable clusters. Some of the highly correlated countries, with respect to GDP fluctuations, display strong correlations also in the Final Consumption Expenditure, while others are strongly correlated in Gross Capital Formation. On the other hand, one notices the similitude of the classifications regarding GDP and Net Exports fluctuations as concerns the squared sum of the correlation coefficients (so called country sensitivity). The final structure proves to be robust against the constant size time window moving over the scanned time interval. The policy implications of the above empirical results concern the economic clusters arising in the presence of Marshallian externalities and the relationships between trade barriers, R&D incentives and growth that must be accounted in elaborating a cluster-promotion policy.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130765560","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 39

Business Cycle and Conserved Quantity in Economics 经济学中的经济周期与守恒量

arXiv: General Finance Pub Date : 2008-03-13 DOI: 10.1143/JPSJ.77.114001

Masa Taniguchi, M. Bandō, A. Nakayama

引用次数: 24

Statistical properties of agent-based market area model 基于agent的市场区域模型的统计特性

arXiv: General Finance Pub Date : 2007-10-02 DOI: 10.1007/978-3-642-18003-3_18

Z. Kuscsik, D. Horváth

引用次数: 2