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Buying on margin, selling short in an agent-based market model

Zhang, Ting; Li, Honggang - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 18, pp. 4075-4082

Credit trading, or leverage trading, which includes buying on margin and selling short, plays an important role in … market model to study the effect of the permissive leverage level on traders’ wealth and overall market indicators. In this … their effective demands of assets depend both on demand willingness and wealth constraints, where leverage can relieve the …

Persistent link: https://www.econbiz.de/10010871933

Leverage bubble

Yan, Wanfeng; Woodard, Ryan; Sornette, Didier - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 1, pp. 180-186

Leverage is strongly related to liquidity in a market and lack of liquidity is considered a cause and/or consequence of … calculating the overall leverage in a financial market. Therefore, studying the behavior of repo market size can help to …

Persistent link: https://www.econbiz.de/10010873135

A comparison between several correlated stochastic volatility models

Perelló, Josep; Masoliver, Jaume; Anento, Napoleón - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 134-137

leverage effect, and thus outline the limitations of each model. We add empirical research on market indices confirming the … universality of the leverage and volatility correlations. …

Persistent link: https://www.econbiz.de/10011058043

Frustration driven stock market dynamics: Leverage effect and asymmetry

Ahlgren, Peter Toke Heden; Jensen, Mogens H.; Simonsen, … - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 1, pp. 1-4

appears to have some similarities with the stylized fact leverage effect and we investigate if they could be of same origin …-loss asymmetry and leverage. In special cases, however, the model may produce leverage without a pronounced gain-loss asymmetry. …

Persistent link: https://www.econbiz.de/10010588615

Multiple time scales and the empirical models for stochastic volatility

Buchbinder, G.L.; Chistilin, K.M. - In: Physica A: Statistical Mechanics and its Applications 379 (2007) 1, pp. 168-178

The most common stochastic volatility models such as the Ornstein–Uhlenbeck (OU), the Heston, the exponential OU (ExpOU) and Hull–White models define volatility as a Markovian process. In this work we check the applicability of the Markovian approximation at separate times scales and will...

Persistent link: https://www.econbiz.de/10010591216

The returns and risks of investment portfolio in stock market crashes

Li, Jiang-Cheng; Long, Chao; Chen, Xiao-Dan - In: Physica A: Statistical Mechanics and its Applications 427 (2015) C, pp. 282-288

The returns and risks of investment portfolio in stock market crashes are investigated by considering a theoretical model, based on a modified Heston model with a cubic nonlinearity, proposed by Spagnolo and Valenti. Through numerically simulating probability density function of returns and the...

Persistent link: https://www.econbiz.de/10011209736

Sector dominance ratio analysis of financial markets

Uechi, Lisa; Akutsu, Tatsuya; Stanley, H. Eugene; … - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 488-509

In this paper we present a new measure to investigate the functional structure of financial markets, the Sector Dominance Ratio (SDR). We study the information embedded in raw and partial correlations using random matrix theory (RMT) and examine the evolution of economic sectoral makeup on a...

Persistent link: https://www.econbiz.de/10011194012

The returns and risks of investment portfolio in a financial market

Li, Jiang-Cheng; Mei, Dong-Cheng - In: Physica A: Statistical Mechanics and its Applications 406 (2014) C, pp. 67-72

The returns and risks of investment portfolio in a financial system was investigated by constructing a theoretical model based on the Heston model. After the theoretical model and analysis of portfolio were calculated and analyzed, we find the following: (i) The statistical properties (i.e., the...

Persistent link: https://www.econbiz.de/10010777052

Scaling, correlations, and cascades in finance and turbulence

McCauley, Joseph L. - In: Physica A: Statistical Mechanics and its Applications 329 (2003) 1, pp. 213-221

The question of information cascades in finance appears in the literature. We use the dynamics of Kolmogorov's 1962 (K62) turbulence model, an example of multiaffine scaling, to illustrate how evidence for diffusion from large to small length scales, or correspondingly an information cascade...

Persistent link: https://www.econbiz.de/10010871733

Spin models as microfoundation of macroscopic market models

Krause, Sebastian M.; Bornholdt, Stefan - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 18, pp. 4048-4054

Macroscopic price evolution models are commonly used for investment strategies. There are first promising achievements in defining microscopic agent based models for the same purpose. Microscopic models allow a deeper understanding of mechanisms in the market than the purely phenomenological...

Persistent link: https://www.econbiz.de/10010871845