Narrow search
Showing 1 - 10 of 441
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Credit Contagion and Aggregate Losses
Weber, Stefan; Giesecke, Kay - Society for Computational Economics - SCE - 2003
Persistent link: https://www.econbiz.de/10005537789
Cover Image
SLOWER IS FASTER: FOSTERING CONSENSUS FORMATION BY HETEROGENEOUS INERTIA
STARK, HANS-ULRICH; TESSONE, CLAUDIO J.; SCHWEITZER, FRANK - In: Advances in Complex Systems (ACS) 11 (2008) 04, pp. 551-563
We investigate an extension of the voter model in which voters are equipped with an individual inertia to change their opinion. This inertia depends on the persistence time of a voter's current opinion (ageing). We focus on the case of only two different inertia values: zero if a voter just...
Persistent link: https://www.econbiz.de/10005047408
Cover Image
AN INVESTIGATION OF THE PHASE TRANSITIONS OF A FAMILY OF PROBABILISTIC AUTOMATA
MÜHLENBEIN, HEINZ; FÜNTEN, THOMAS AUS DER - In: Advances in Complex Systems (ACS) 07 (2004) 01, pp. 93-123
We investigate a family of totalistic probabilistic cellular automata (PCA) which depend on three parameters. For the uniform random neighborhood and for the symmetric 1D PCA the exact stationary distribution is computed for all finite n. This result is used to evaluate approximations...
Persistent link: https://www.econbiz.de/10005047460
Cover Image
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
Cover Image
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