Similar Search Results

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

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

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

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

Credit Contagion and Aggregate Losses

Weber, Stefan; Giesecke, Kay - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005537789

Local Interactions as a Decentralized Mechanism Coordinating Equilibrium Expectations

Hohnisch, Martin - University of Bonn, Germany - 2005

In the context of standard two-period pure-exchange economies with sequential trade, this paper proposes a decentralized coordination mechanism for equilibriumexpectations, facilitated by local interactions between agents. Interactions are modelled stochastically by specifying a family of...

Persistent link: https://www.econbiz.de/10004968361

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

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

Unity and discord in opinion dynamics

Ben-Naim, E; Krapivsky, P.L; Vazquez, F; Redner, S - In: Physica A: Statistical Mechanics and its Applications 330 (2003) 1, pp. 99-106

We study opinion dynamics models where agents evolve via repeated pairwise interactions. In the compromise model, agents with sufficiently close real-valued opinions average their opinions. A steady state is reached with a finite number of isolated, noninteracting opinion clusters...

Persistent link: https://www.econbiz.de/10011059988

Voter model on Sierpinski fractals

Suchecki, Krzysztof; Hołyst, Janusz A. - In: Physica A: Statistical Mechanics and its Applications 362 (2006) 2, pp. 338-344

We investigate the ordering of voter model on fractal lattices: Sierpinski Carpets and Sierpinski Gasket. We obtain a power-law ordering in all cases, but the dynamics is found to differ significantly for finite and infinite ramification order of investigated fractals.

Persistent link: https://www.econbiz.de/10011061942