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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

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

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

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

Stock price fluctuations and the mimetic behaviors of traders

Maskawa, Jun-ichi - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 172-178

We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual market shows the power-law tail of the distribution of returns with the exponent outside the Levy...

Persistent link: https://www.econbiz.de/10010873093

A new analysis of the effects of the Asian crisis of 1997 on emergent markets

Mariani, M.C.; Liu, Y. - In: Physica A: Statistical Mechanics and its Applications 380 (2007) C, pp. 307-316

This work is devoted to the study of the Asian crisis of 1997, and its consequences on emerging markets. We have done so by means of a phase transition model. We have analyzed the crashes on leading indices of Hong Kong (HSI), Turkey (XU100), Mexico (MMX), Brazil (BOVESPA) and Argentina...

Persistent link: https://www.econbiz.de/10010873570

From Brownian motion to operational risk: Statistical physics and financial markets

Voit, Johannes - In: Physica A: Statistical Mechanics and its Applications 321 (2003) 1, pp. 286-299

High-frequency returns of the DAX German blue chip stock index are used to test geometric Brownian motion, the standard model for financial time series. Even on a 15-s time scale, the linear correlations of DAX returns have a zero-time delta function which carries 90% of the weight, while the...

Persistent link: https://www.econbiz.de/10010873639

The timing of information transmission in financial markets

Vindel, Jose M.; Trincado, Estrella - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 24, pp. 5749-5758

This article shows turbulent behavior in a series of financial indexes assuming that they follow a cascade process of the same type as do turbulent fluids. With such a model, the energy flux between the eddies that emerge in the fluid is analogous to the financial information flux over the...

Persistent link: https://www.econbiz.de/10010873672

Triangular arbitrage and negative auto-correlation of foreign exchange rates

Aiba, Yukihiro; Hatano, Naomichi; Takayasu, Hideki; … - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 1, pp. 253-257

We show, on the basis of our recently introduced stochastic model, that triangular arbitrage makes the auto-correlation function of foreign exchange rates negative in a short time scale.

Persistent link: https://www.econbiz.de/10010873950

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