Showing 1 - 10 of 987
In this paper we propose an option pricing model based on the Ornstein–Uhlenbeck process. It is a fresh look at the option pricing which is grounded on the quantum game theory and it is more subtle. We show the differences between a classical look which is price changing by a Wiener process...
Persistent link: https://www.econbiz.de/10011061605
In this paper, we draw upon the close relationship between statistical physics and mathematical finance to develop a …
Persistent link: https://www.econbiz.de/10010492380
Persistent link: https://www.econbiz.de/10014317167
Mapping time series into a visibility graph network, the characteristics of the gold price time series and return temporal series, and the mechanism underlying the gold price fluctuation have been explored from the perspective of complex network theory. The network degree distribution...
Persistent link: https://www.econbiz.de/10011058027
For a decade, a new theoretical movement called “econophysics” has been initiated by some physicists who began to … objective of this paper is precisely to provide a unified framework in order to contribute to unify econophysics and to base …
Persistent link: https://www.econbiz.de/10011060292
Most parameters used to describe states and dynamics of financial market depend on proportions of the appropriate variables rather than on their actual values. Therefore, projective geometry seems to be the correct language to describe the theater of financial activities. We suppose that the...
Persistent link: https://www.econbiz.de/10011060381
Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. It is found that in a stable regime the noise power spectrum of the system is 1/f-like: ∝ ω- 3/2 (where ω is the frequency), that the...
Persistent link: https://www.econbiz.de/10005080934
This paper reviews some applications of continuous time random walks (CTRWs) to Finance and Economics. It is divided …
Persistent link: https://www.econbiz.de/10010590919
We study a model of wealth dynamics (Physica A 282 (2000) 536) which mimics transactions among economic agents. The outcomes of the model are shown to depend strongly on the topological properties of the underlying transaction network. The extreme cases of a fully connected and a fully...
Persistent link: https://www.econbiz.de/10010871550
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock prices, traded at NYSE, in October 1999. These properties...
Persistent link: https://www.econbiz.de/10010872329