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Modeling stock price dynamics by continuum percolation system and relevant complex systems analysis
Xiao, Di; Wang, Jun - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 20, pp. 4827-4838
Exchange Composite Index from January 1997 to July 2011, and the comparisons of return behaviors between the actual data and …
Persistent link: https://www.econbiz.de/10010874686
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Characteristics of the volatility in the Korea composite stock price index
Lee, Chang-Yong - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 18, pp. 3837-3850
of 2007 using methods from the hydrodynamic turbulence. To this end, we focus on characteristics of the return and … these, we show that the non-Gaussian probability distribution of the return can be modeled by the convolution of the … conditional probability distribution of the return given the volatility and the distribution of the volatility per se. From this …
Persistent link: https://www.econbiz.de/10010591701
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On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Chr. Framstad, Nils - Økonomisk institutt, Universitetet i Oslo - 2011
This paper considers a sequence of discrete-time random walk markets with a single risky asset, and gives conditions for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and selling the next period, with no shorting, and furthermore for...
Persistent link: https://www.econbiz.de/10009293647
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Fractional Brownian motion, random walks and binary market models
Sottinen, Tommi - In: Finance and Stochastics 5 (2001) 3, pp. 343-355
We prove a Donsker type approximation theorem for the fractional Brownian motion in the case $H1/2.$ Using this approximation we construct an elementary market model that converges weakly to the fractional analogue of the Black-Scholes model. We show that there exist arbitrage opportunities in...
Persistent link: https://www.econbiz.de/10005184373
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Analytic treatment of consensus achievement in the single-type zealotry voter model
Fudolig, Mikaela Irene D.; Esguerra, Jose Perico H. - In: Physica A: Statistical Mechanics and its Applications 413 (2014) C, pp. 626-634
We introduce zealots of one opinion in the voter model on a complete graph and examine how they affect consensus achievement. Using first-step analysis for Markov chains to obtain an exact solution, we find that the mean consensus time scales with the population size N. Increasing the number of...
Persistent link: https://www.econbiz.de/10010906963
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Mean-field theory of modified voter model for opinions
Hsu, Jiann-wien; Huang, Ding-wei - In: Physica A: Statistical Mechanics and its Applications 416 (2014) C, pp. 371-377
We present a mean-field theory for the modified three-state voter model. We obtain analytical results in asymptotic states for a general transition matrix. Numerical simulations can be well described within the proposed formulations. Distributions for both central plateau and boundary layer can...
Persistent link: https://www.econbiz.de/10010939957
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Cyclical correlations, credit contagion, and portfolio losses
Giesecke, Kay; Weber, Stefan - Sonderforschungsbereich 373, Quantifikation und … - 2003
We model aggregate credit losses on large portfolios of financial positions contracted with firms subject to both cyclical default correlation and direct default contagion processes. Cyclical correlation is due to the dependence of firms on common (macro-) economic factors; credit contagion...
Persistent link: https://www.econbiz.de/10010956356
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Credit contagion and aggregate losses
Giesecke, Kay; Weber, Stefan - Sonderforschungsbereich 373, Quantifikation und … - 2002
Credit contagion refers to the propagation of economic distress from one firm or sovereign government to another. In this paper we model credit contagion phenomena and study the fluctuation of aggregate credit losses on large portfolios of financial positions. The joint dynamics of firms' credit...
Persistent link: https://www.econbiz.de/10010956422
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RANDOM COPYING IN SPACE
BLYTHE, RICHARD A. - In: Advances in Complex Systems (ACS) 15 (2012) 01, pp. 1150012-1
Random copying is a simple model for population dynamics in the absence of selection, and has been applied to both biological and cultural evolution. In this work, we investigate the effect that spatial structure has on the dynamics. We focus in particular on how a measure of the diversity in...
Persistent link: https://www.econbiz.de/10009653114
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The effect of zealots on the rate of consensus achievement in complex networks
Kashisaz, Hadi; Hosseini, S. Samira; Darooneh, Amir H. - In: Physica A: Statistical Mechanics and its Applications 402 (2014) C, pp. 49-57
In this study, we investigate the role of zealots on the result of voting process on both scale-free and Watts–Strogatz networks. We observe that inflexible individuals are very effective in consensus achievement and also in the rate of ordering process in complex networks. Zealots make the...
Persistent link: https://www.econbiz.de/10010872402