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Dynamics in the VIX Complex
Posselt, Anders Merrild - 2021
This paper provides a characterization of the dynamic interactions in the VIX complex, composed of the VIX itself, the term structure of VIX futures, and VIX ETPs. I investigate a model that summarizes the VIX futures term structure using latent factors (level, slope, and curvature) and expand...
Persistent link: https://www.econbiz.de/10013243335
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Blockchain implementation and shareholder value : a complex adaptive systems perspective
Zhang, Xi; Chang, Rui; Gu, Minhao; Huo, Baofeng - In: International journal of operations & production management 44 (2024) 3, pp. 666-698
Persistent link: https://www.econbiz.de/10014482954
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An introduction to socio-finance
Andersen, Jørgen Vitting; Nowak, Andrzej - 2013
Technical Analysis -- Catching Animal Spirits: Using Complexity Theory to Detect Speculative Moments of the Markets -- Social … Framing Creating Bull Markets of the Past: Growth Theory of Financial Markets -- Complexity Theory and Systemic Risk in the …
Persistent link: https://www.econbiz.de/10010235724
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Complex Systems Approach to Economic Dynamics
Chian, Abraham C.-L. - 2007
Persistent link: https://www.econbiz.de/10013278090
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Complex Systems Approach to Economic Dynamics
Chian, A. (contributor) - 2007
Statistical analysis of stock markets and foreign exchange markets has demonstrated the intermittent nature of economic time series. A nonlinear model of business cycles is able to simulate intermittency arising from order-chaos and chaos-chaos transitions. This monograph introduces new concepts...
Persistent link: https://www.econbiz.de/10013520745
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An Introduction to Socio-Finance
Andersen, Jørgen Vitting - 2013
of both levels of socio-finance are presented, and it is shown, in particular, how complexity theory provides the … broad introduction to the standard economic theory of rational financial markets and will come to understand its … shortcomings with the help of concrete examples. Complexity theory is then introduced in order to properly account for behavioral …
Persistent link: https://www.econbiz.de/10013523028
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Nonlinear dynamics : evidence for a small stock exchange
Scheicher, Martin - 1996
Persistent link: https://www.econbiz.de/10000607725
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Competition in a stock market with small firms
Haller, Hans - 1984
Persistent link: https://www.econbiz.de/10000167173
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Tactical size rotation in Switzerland
Hock, Thorsten (contributor) - 2008
The size premium, defined as the outperformance of equities of small and medium-sized companies compared with the shares of large companies, is subject to strong cyclical fluctuations over time. This study examines the predictability of this premium for the Swiss stock market. The forecasts used...
Persistent link: https://www.econbiz.de/10003650372