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Scaling, self-similarity and multifractality in FX markets

Xu, Zhaoxia; Gençay, Ramazan - In: Physica A: Statistical Mechanics and its Applications 323 (2003) C, pp. 578-590

This paper presents an empirical investigation of scaling and multifractal properties of US Dollar–Deutschemark (USD … exhibit power-law scaling in the tails. To test the multifractal properties of USD–DEM returns, the mean moment of the … different slopes for these powers of absolute returns. The nonlinearity of the scaling exponent indicates that the returns are …

Persistent link: https://www.econbiz.de/10010872935

Asymmetry of Information Flow Between Volatilities Across Time Scales

Gencay, Ramazan; Gradojevic, Nikola; Selcuk, Faruk; … - Rimini Centre for Economic Analysis (RCEA) - 2009

, resulting in a distribution that is non-Gaussian. This result has important implications regarding the scaling behavior of …

Persistent link: https://www.econbiz.de/10008487534

Dynamics of real financial markets: A reply to Frank’s comment

Bassler, Kevin E.; Gunaratne, Gemunu H.; McCauley, Joseph L. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 13, pp. 3239-3241

This reply addresses the assertion in the comment of T.D. Frank [T.D. Frank, Physica A 387 (2008) 773] on our paper [K.E. Bassler, G.H. Gunaratne, J.L. McCauley, Physica A 369 (2006) 343] that the approach to modeling financial markets that we propose is unrealistic. In our paper, we considered...

Persistent link: https://www.econbiz.de/10011061331

Scaling properties of financial time series

Schreier, David - 2007

fractal power laws and scaling will be explained. The main part focuses on the estimation of the tail index as a scaling …

Persistent link: https://www.econbiz.de/10009467109

Refined scaling hypothesis for anomalously diffusing processes

Badii, R.; Talkner, P. - In: Physica A: Statistical Mechanics and its Applications 291 (2001) 1, pp. 229-243

not scale like power laws, as generally assumed. A much improved scaling function is deduced, in analogy with a procedure … first applied to nearest-neighbour dimension estimators. Extremely accurate determination of the scaling exponents is thus …

Persistent link: https://www.econbiz.de/10010590063

Scaling and long-range dependence in option pricing III: A fractional version of the Merton model with transaction costs

Wang, Xiao-Tian; Yan, Hai-Gang; Tang, Ming-Ming; Zhu, En-Hui - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 3, pp. 452-458

A model for option pricing of fractional version of the Merton model with ‘Hurst exponent’ H being in [1/2,1) is established with transaction costs. In particular, for H∈(1/2,1) the minimal price Cmin(t,St) of an option under transaction costs is obtained, which displays that the timestep...

Persistent link: https://www.econbiz.de/10011058111

The Financial System in the Czech Republic, Hungary and Poland after a Decade of Transition

Schardax, Franz; Reininger, Thomas; Summer, Martin - 2001

The Czech Republic, Hungary and Poland (CEEC-3) have undertaken substantial efforts to build a new financial system under the constraints of their legacies from central planning. In this study, first we look at the banking sector. Then we give a description of bond and stock markets. These...

Persistent link: https://www.econbiz.de/10010295713

Explaining the Trend and the Diversity in the Evolution of the Stock Market

Bose, Niloy; Neumann, Rebecca - 2005

In an overlapping generations economy, lenders fund risky investment projects of firms by drawing up loan contracts in the presence of an informational asymmetry. An optimal contract entails the issue of only debt, only equity, or a mix of the two. The equilibrium choice of contract depends on...

Persistent link: https://www.econbiz.de/10010296396

The debt brake: business cycle and welfare consequences of Germany's new fiscal policy rule

Mayer, Eric; Stähler, Nikolai - 2009

In a New Keynesian DSGE model with non-Ricardian consumers, we show that automatic stabilization according to a countercyclical spending rule following the idea of the debt brake is well suited both to steer the economy and in terms of welfare. In particular, the adjustment account set up to...

Persistent link: https://www.econbiz.de/10010298840

The naturalistic turn in economics: implications for the theory of finance

Herrmann-Pillath, Carsten - 2008

Economics is increasingly adopting the methodological standards and procedures of the natural sciences. The paper analyzes this 'naturalistic turn' from the philosophical perspective on naturalism, and I discuss the implications for the field of finance. The theory of finance is an interesting...

Persistent link: https://www.econbiz.de/10010298950