Showing 1 - 10 of 97
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
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
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
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
We investigate the cluster behavior of financial markets within the framework of a model based on a scale-free network. In this model, a cluster is formed by connected agents that are in the same state. The cumulative distribution of clusters is found to be a power-law. We find that the...
Persistent link: https://www.econbiz.de/10010871883
This work employs various techniques in order to filter random noise from the information provided by minimum spanning trees obtained from the correlation matrices of international stock market indices prior to and during times of crisis. The first technique establishes a threshold above which...
Persistent link: https://www.econbiz.de/10010872222
We investigate the origin of volatility in financial markets by defining an analytical model for time evolution of stock share prices. The defined model is similar to the GARCH class of models, but can additionally exhibit bimodal behaviour in the supply–demand structure of the market....
Persistent link: https://www.econbiz.de/10010872475
We explore a simple lattice field model intended to describe statistical properties of high-frequency financial markets. The model is relevant in the cross-disciplinary area of econophysics. Its signature feature is the emergence of a self-organized critical state. This implies scale invariance...
Persistent link: https://www.econbiz.de/10010872529
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
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