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Currency crises and the evolution of foreign exchange market: Evidence from minimum spanning tree

Jang, Wooseok; Lee, Junghoon; Chang, Woojin - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 4, pp. 707-718

We examined the time series properties of the foreign exchange market for 1990–2008 in relation to the history of the currency crises using the minimum spanning tree (MST) approach and made several meaningful observations about the MST of currencies. First, around currency crises, the mean...

Persistent link: https://www.econbiz.de/10010871811

Measuring multifractality of stock price fluctuation using multifractal detrended fluctuation analysis

Yuan, Ying; Zhuang, Xin-tian; Jin, Xiu - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 11, pp. 2189-2197

Analyzing the Shanghai stock price index daily returns using MF-DFA method, it is found that there are two different types of sources for multifractality in time series, namely, fat-tailed probability distributions and non-linear temporal correlations. Based on that, a sliding window of 240...

Persistent link: https://www.econbiz.de/10011062766

Volatility estimators and the inverse range process in a random volatility random walk and Wiener processes

Vallois, Pierre; Tapiero, Charles S. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 11, pp. 2565-2574

The purpose of this paper is to study the mean, the variance, the probability distribution and the hazard rate of the inverse range process of an a-priori unknown volatility random walk. Motivation for this process arises when it is necessary to obtain statistics that pertain to a process...

Persistent link: https://www.econbiz.de/10010873977

A quantile-based Time at Risk: A new approach for assessing risk in financial markets

Bolgorian, Meysam; Raei, Reza - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 22, pp. 5673-5677

In this paper, we provide a new measure for evaluation of risk in financial markets. This measure is based on the … like Value at Risk (VaR). As VaR, for a given financial asset, probability level and time horizon, gives a critical value … level, our concept of Time at Risk (TaR), using a probability distribution function of return intervals, provides a critical …

Persistent link: https://www.econbiz.de/10010874122

A probabilistic choice model based on Tsallis’ statistics

Takahashi, Taiki - In: Physica A: Statistical Mechanics and its Applications 386 (2007) 1, pp. 335-338

Decision under risk and uncertainty (probabilistic choice) has been attracting attention in econophysics and …

Persistent link: https://www.econbiz.de/10010588706

Coordination, intermittency and trends in generalized minority games

Tedeschi, A.; De Martino, A.; Giardina, I. - In: Physica A: Statistical Mechanics and its Applications 358 (2005) 2, pp. 529-544

strategy selection but also by diversifying their response according to the kind of dynamical regime, or the risk, they …

Persistent link: https://www.econbiz.de/10010589014

Risk bubbles and market instability

Marsili, Matteo; Raffaelli, Giacomo - In: Physica A: Statistical Mechanics and its Applications 370 (2006) 1, pp. 18-22

We discuss a simple model of correlated assets capturing the feedback effects induced by portfolio investment in the covariance dynamics. This model predicts an instability when the volume of investment exceeds a critical value. Close to the critical point the model exhibits dynamical...

Persistent link: https://www.econbiz.de/10010589145

Modeling electricity spot and futures price dependence: A multifrequency approach

Malo, Pekka - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 22, pp. 4763-4779

Conditional Value-at-Risk. …

Persistent link: https://www.econbiz.de/10010589721

On the optimization of a CAPM portfolio using lower partial moments as measure of risk and using the possibility of safeguarding its loss

Spreitzer, U.W.; Reznik, V. - In: Physica A: Statistical Mechanics and its Applications 378 (2007) 2, pp. 423-426

Using a portfolio built from bonds (investment without volatility) and shares (investment with volatility) corresponding to the CAPM we calculate the possible loss of this portfolio. The loss is measured by a so-called lower partial moment of the rate of return of the portfolio. Using this loss,...

Persistent link: https://www.econbiz.de/10010590197

Self-organized criticality in a network of economic agents with finite consumption

Cruz, João P. da; Lind, Pedro G. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 4, pp. 1445-1452

We introduce a minimal agent model to explain the emergence of heavy-tailed return distributions as a result of self-organized criticality. The model assumes that agents trade their economic outputs with each other composing a complex network of agents and connections. Further, the incoming...

Persistent link: https://www.econbiz.de/10011059258