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Financial markets as a complex system: A short time scale perspective
Marschinski, Robert; Matassini, Lorenzo - 2001
In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...
Persistent link: https://www.econbiz.de/10010301759
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Herding and bank runs
Gu, Chao - 2007
Traditional models of bank runs do not allow for herding effects, because in these models withdrawal decisions are …'s portfolio, and the withdrawal histories of the other depositors. In some cases, the optimal banking contract permits herding …
Persistent link: https://www.econbiz.de/10010292061
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Should Network Structure Matter in Agent-Based Finance?
Alfarano, Simone; Milaković, Mishael - 2008
We derive microscopic foundations for a well-known probabilistic herding model in the agent-based finance literature …
Persistent link: https://www.econbiz.de/10010296300
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Network hierarchy in Kirman's ant model: fund investment can create systemic risk
Alfarano, Simone; Milaković, Mishael; Raddant, Matthias - 2009
herding. The model's original version suffers from the problem of N-dependence: its ability to replicate the statistical …
Persistent link: https://www.econbiz.de/10010299741
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Path-Dependent Behavior with Asymmetric Information about Traders' Types
Testa, Alessia - 2012
private information. Path-dependency can be of two types contingent on whether agents act with the crowd (herding) or against … uncertainty that their predecessors acted purely for liquidity motives. In this setting we recover herding and contrarianism and …-dependent behavior more easily than poorly informed ones. Moreover, we illustrate how a market dominated by herding features a price that …
Persistent link: https://www.econbiz.de/10010333875
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Stochastic behavioral asset pricing models and the stylized facts
Lux, Thomas - 2008
High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of...
Persistent link: https://www.econbiz.de/10010295122
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Stochastic behavioral asset pricing models and the stylized facts
Lux, Thomas - 2008
High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of...
Persistent link: https://www.econbiz.de/10010273169
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Econophysical bourse volatility: Global evidence
Ghosh, Bikramaditya - In: Journal of Central Banking Theory and Practice 9 (2020) 2, pp. 87-107
Financial Reynolds number (Re) has been proven to have the capacity to predict volatility, herd behaviour and nascent bubble in any stock market (bourse) across the geographical boundaries. This study examines forty two bourses (representing same number of countries) for the evidence of the...
Persistent link: https://www.econbiz.de/10014558389
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Realized volatility
Andersen, Torben G.; Benzoni, Luca - 2008
Realized volatility is a nonparametric ex-post estimate of the return variation. The most obvious realized volatility measure is the sum of finely-sampled squared return realizations over a fixed time interval. In a frictionless market, the estimate achieves consistency for the underlying...
Persistent link: https://www.econbiz.de/10010292169
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A diffusion approximation for the riskless profit under selling of discrete time call options: Non-identically distributed jumps
Nagaev, Alexander V.; Nagaev, Sergei A.; Kunst, Robert M. - 2005
A discrete time model of financial markets is considered. It is assumed that the relative jumps of the risky security price are independent non-identically distributed random variables. In the focus of attention is the expected non-risky profit of the investor that arises when the jumps of the...
Persistent link: https://www.econbiz.de/10010293743