通过时变优化和非线性函数检测失衡的金融市场

IF 2.7 3区数学 Q1 MATHEMATICS, APPLIED

Physica D: Nonlinear Phenomena Pub Date : 2025-02-13 DOI:10.1016/j.physd.2025.134571

Nick James , Max Menzies

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Detecting imbalanced financial markets through time-varying optimization and nonlinear functionals

This paper studies the time-varying structure of the equity market with respect to market capitalization. First, we analyze the distribution of the 100 largest companies’ market capitalizations over time, in terms of inequality, concentration at the top, and overall discrepancies in the distribution between different times. In the next section, we introduce a mathematical framework of linear and nonlinear functionals of time-varying portfolios. We apply this to study the market capitalization exposure and spread of optimal portfolios chosen by a Sharpe optimization procedure. These methods could be more widely used to study various measures of optimal portfolios and measure different aspects of market exposure while holding portfolios selected by an optimization routine that changes over time.

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来源期刊

Physica D: Nonlinear Phenomena 物理-物理：数学物理

CiteScore

7.30

自引率

7.50%

发文量

213

审稿时长

65 days

期刊介绍： Physica D (Nonlinear Phenomena) publishes research and review articles reporting on experimental and theoretical works, techniques and ideas that advance the understanding of nonlinear phenomena. Topics encompass wave motion in physical, chemical and biological systems; physical or biological phenomena governed by nonlinear field equations, including hydrodynamics and turbulence; pattern formation and cooperative phenomena; instability, bifurcations, chaos, and space-time disorder; integrable/Hamiltonian systems; asymptotic analysis and, more generally, mathematical methods for nonlinear systems.