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Power-law distribution in a learning process: competition, learning and natural selection
Gupta, Hari M.; Campanha, José R. - In: Physica A: Statistical Mechanics and its Applications 345 (2005) 1, pp. 267-274
them in a learning process, based on competition, learning and natural selection. We consider that learning ability is … normally distributed. We found that the number of people versus step acquired by them in a learning process is given through a … power law. As competition, learning and selection is also at the core of all economical and social systems, we consider that …
Persistent link: https://www.econbiz.de/10010588478
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Extreme loss risk in financial turbulence – evidence from the global financial crisis
Uppal, Jamshed Y.; Mangla, Inayat Ullah - In: Managerial Finance 39 (2013), pp. 653-666
Purpose – This study aims to examine the stock returns distributions in ten countries in the periods before and after the global financial crisis (GFC) to evaluate how well the empirical distributions conformed to the extreme value theory (EVT) which underlies a family of risk management...
Persistent link: https://www.econbiz.de/10010691526
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Extreme loss risk in financial turbulence – evidence from the global financial crisis
Uppal, Jamshed Y.; Mangla, Inayat Ullah - In: Managerial Finance 39 (2013), pp. 653-666
Purpose – This study aims to examine the stock returns distributions in ten countries in the periods before and after the global financial crisis (GFC) to evaluate how well the empirical distributions conformed to the extreme value theory (EVT) which underlies a family of risk management...
Persistent link: https://www.econbiz.de/10010709743
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Stock return autocorrelations revisited: A quantile regression approach
Baur, Dirk G.; Dimpfl, Thomas; Jung, Robert C. - In: Journal of Empirical Finance 19 (2012) 2, pp. 254-265
The aim of this study is to provide a comprehensive description of the dependence pattern of stock returns by studying a range of quantiles of the conditional return distribution using quantile autoregression. This enables us to study the behavior of extreme quantiles associated with large...
Persistent link: https://www.econbiz.de/10010572319
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ESTIMATING UNIVARIATE DISTRIBUTIONS VIA RELATIVE ENTROPY MINIMIZATION: CASE STUDIES ON FINANCIAL AND ECONOMIC DATA
FRIEDMAN, CRAIG; ZHANG, YANGYONG; HUANG, JINGGANG - In: International Journal of Theoretical and Applied … 13 (2010) 01, pp. 163-193
We use minimum relative entropy (MRE) methods to estimate univariate probability density functions for a varied set of financial and economic variables, including S&P500 index returns, individual stock returns, power price returns and a number of housing-related economic variables. Some...
Persistent link: https://www.econbiz.de/10008487383
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Asset prices and "the devil(s) you know"
Hollstein, Fabian; Nguyen, Duc Binh Benno; Prokopczuk, … - In: Journal of banking & finance 105 (2019), pp. 20-35
Persistent link: https://www.econbiz.de/10012163795
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The disposition effect and investor experience
Da Costa, Newton; Goulart, Marco; Cupertino, Cesar; … - In: Journal of Banking & Finance 37 (2013) 5, pp. 1669-1675
We examine whether investing experience can dampen the disposition effect, that is, the fact that investors seem to hold on to their losing stocks to a greater extent than they hold on to their winning stocks. To do so, we devise a computer program that simulates the stock market. We use the...
Persistent link: https://www.econbiz.de/10010662610
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New evidence about the profitability of small and large stocks and the role of volume obtained using Strongly Typed Genetic Programming
Manahov, Viktor; Hudson, Robert; Linsley, Philip - In: Journal of International Financial Markets, … 33 (2014) C, pp. 299-316
We employ a special adaptive form of the Strongly Typed Genetic Programming (STGP)-based learning algorithm to develop …
Persistent link: https://www.econbiz.de/10011189482
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Diffusion entropy analysis on the scaling behavior of financial markets
Cai, Shi-Min; Zhou, Pei-Ling; Yang, Hui-Jie; Yang, Chun-Xia - In: Physica A: Statistical Mechanics and its Applications 367 (2006) C, pp. 337-344
In this paper the diffusion entropy technique is applied to investigate the scaling behavior of financial markets. The scaling behaviors of four representative stock markets, Dow Jones Industrial Average, Standard&Poor 500, Heng Seng Index, and Shang Hai Stock Synthetic Index, are almost the...
Persistent link: https://www.econbiz.de/10010590111
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Do price limits hurt the market?
Yeh, Chia-Hsuan; Yang, Chun-Yi - In: Journal of Economic Interaction and Coordination 8 (2013) 1, pp. 125-153
Under an artificial stock market composed of bounded-rational and heterogeneous traders, this paper examines whether or not price limits generate the negative effects on the market. Through testing the volatility spillover hypothesis, the delayed price discovery hypothesis, and the trading...
Persistent link: https://www.econbiz.de/10010634402