Similar Search Results

Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case

Burda, Zdzisław; Jarosz, Andrzej; Nowak, Maciej; … - In: Quantitative Finance 11 (2011) 7, pp. 1103-1124

We apply the concept of free random variables to doubly correlated (Gaussian) Wishart random matrix models, appearing, for example, in a multivariate analysis of financial time series, and displaying both inter-asset cross-covariances and temporal auto-covariances. We give a comprehensive...

Persistent link: https://www.econbiz.de/10009208407

Patterns in high-frequency FX data: discovery of 12 empirical scaling laws

Glattfelder, J. B.; Dupuis, A.; Olsen, R. B. - In: Quantitative Finance 11 (2010) 4, pp. 599-614

We have discovered 12 independent new empirical scaling laws in foreign exchange data series that hold for close to three orders of magnitude and across 13 currency exchange rates. Our statistical analysis crucially depends on an event-based approach that measures the relationship between...

Persistent link: https://www.econbiz.de/10009215044

Power mapping with dynamical adjustment for improved portfolio optimization

Schafer, Rudi; Nilsson, Nils Fredrik; Guhr, Thomas - In: Quantitative Finance 10 (2010) 1, pp. 107-119

For financial risk management it is of vital interest to have good estimates for the correlations between the stocks. It has been found that the correlations obtained from historical data are covered by a considerable amount of noise, which leads to a substantial error in the estimation of the...

Persistent link: https://www.econbiz.de/10008609617

When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators

Pantaleo, Ester; Tumminello, Michele; Lillo, Fabrizio; … - In: Quantitative Finance 11 (2011) 7, pp. 1067-1080

The use of improved covariance matrix estimators as an alternative to the sample estimator is considered an important approach for enhancing portfolio optimization. Here we empirically compare the performance of nine improved covariance estimation procedures using daily returns of 90 highly...

Persistent link: https://www.econbiz.de/10009208266

Econophysics review: I. Empirical facts

Chakraborti, Anirban; Toke, Ioane Muni; Patriarca, Marco; … - In: Quantitative Finance 11 (2011) 7, pp. 991-1012

under the term Econophysics. Since the name was coined in 1995 by merging the words 'Economics' and 'Physics', this new …, Mathematics, Economics and Finance that led to the emergence of Econophysics. We then present empirical studies revealing the … random matrix theory and graph theory are presented. The companion paper will review models in Econophysics from the point of …

Persistent link: https://www.econbiz.de/10009208270

Econophysics review: II. Agent-based models

Chakraborti, Anirban; Toke, Ioane Muni; Patriarca, Marco; … - In: Quantitative Finance 11 (2011) 7, pp. 1013-1041

heading Econophysics. In the first part, we reviewed the statistical properties of financial time series, the statistics … models in Econophysics from the point of view of agent-based modeling. Of the large number of multi-agent-based models, we …

Persistent link: https://www.econbiz.de/10009208355

Shared information in the stock market

Bartiromo, Rosario - In: Quantitative Finance 11 (2011) 2, pp. 229-235

In this paper we exploit the principle of maximum entropy to gain insight into the process underlying the internal dynamics of a stock market. We first introduce a simplified physical model, the ideally liquid stock, to describe market price evolution and derive an operational definition of...

Persistent link: https://www.econbiz.de/10009214981

Mori, S.; Kitsukawa, K.; Hisakado, M. - In: Quantitative Finance 11 (2010) 3, pp. 391-405

This paper generalizes Moody's correlated binomial default distribution for homogeneous (exchangeable) credit portfolios, which was introduced by Witt, to the case of inhomogeneous portfolios. We consider two cases of inhomogeneous portfolios. In the first case, we treat a portfolio whose assets...

Persistent link: https://www.econbiz.de/10009215042

Wavelet decomposition for intra-day volume dynamics

Manchaldore, Jaisimha; Palit, Imon; Soloviev, Oleg - In: Quantitative Finance 10 (2010) 8, pp. 917-930

In a follow up to a previous paper where a model was presented for intra-day volume dynamics, we use wavelet decomposition for model parameter estimation. We run Monte-Carlo simulations of the model with these estimated parameters and compare with observed volume curves. This model in its...

Persistent link: https://www.econbiz.de/10008675051

Diffusive behavior and the modeling of characteristic times in limit order executions

Eisler, Zoltan; Kertesz, Janos; Lillo, Fabrizio; … - In: Quantitative Finance 9 (2009) 5, pp. 547-563

We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Δ, the time to fill (TTF) for executed limit orders and the time to cancel (TTC) for canceled orders in a double auction market. We find that the distribution of all...

Persistent link: https://www.econbiz.de/10004966872