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Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 2000

The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. Demand and supply are balanced on a knife-edge because electric power cannot be economically stored, end user demand is largely weather dependent, and the reliability of the grid...

Persistent link: https://www.econbiz.de/10009003600

Hurst analysis of electricity price dynamics

Weron, Rafal; Przybylowicz, Beata - Hugo Steinhaus Center for Stochastic Methods, … - 2000

The price of electricity is extremely volatile, because electric power cannot be economically stored, end user demand is largely weather dependent, and the reliability of the grid is paramount. However, underlying the process of price returns is a strong mean-reverting mechanism. We study this...

Persistent link: https://www.econbiz.de/10009003601

Origins of the scaling behaviour in the dynamics of financial data

Weron, Aleksander; Mercik, Szymon; Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 1998

The Conditionally Exponential Decay (CED) model is used to explain the scaling laws observed in financial data. This approach enables us to identify the distributions of currency exchange rate or economic indices returns (changes) corresponding to the empirical scaling laws. This is illustrated...

Persistent link: https://www.econbiz.de/10009003626

Property insurance loss distributions

Burnecki, Krzysztof; Kukla, Grzegorz; Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 2000

Property Claim Services (PCS) provides indices for losses resulting from catastrophic events in the US. In this paper we study these indices and take a closer look at distributions underlying insurance claims. Surprisingly, the lognormal distribution seems to give a better fit than the Paretian...

Persistent link: https://www.econbiz.de/10009003628

Scaling in currency exchange: A Conditionally Exponential Decay approach

Mercik, Szymon; Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 1998

We use the Conditionally Exponential Decay (CED) model to explain the scaling behavior in currency exchange (FX) rates. This approach enables us not only to show that FX returns satisfy scaling with an exponent qualitatively different from that of a random walk, but also to identify the...

Persistent link: https://www.econbiz.de/10009003630

When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators

Pantaleo, Ester; Tumminello, Michele; Lillo, Fabrizio; … - In: Quantitative Finance 11 (2011) 7, pp. 1067-1080

The use of improved covariance matrix estimators as an alternative to the sample estimator is considered an important approach for enhancing portfolio optimization. Here we empirically compare the performance of nine improved covariance estimation procedures using daily returns of 90 highly...

Persistent link: https://www.econbiz.de/10009208266

Econophysics review: I. Empirical facts

Chakraborti, Anirban; Toke, Ioane Muni; Patriarca, Marco; … - In: Quantitative Finance 11 (2011) 7, pp. 991-1012

under the term Econophysics. Since the name was coined in 1995 by merging the words 'Economics' and 'Physics', this new …, Mathematics, Economics and Finance that led to the emergence of Econophysics. We then present empirical studies revealing the … random matrix theory and graph theory are presented. The companion paper will review models in Econophysics from the point of …

Persistent link: https://www.econbiz.de/10009208270

Econophysics review: II. Agent-based models

Chakraborti, Anirban; Toke, Ioane Muni; Patriarca, Marco; … - In: Quantitative Finance 11 (2011) 7, pp. 1013-1041

heading Econophysics. In the first part, we reviewed the statistical properties of financial time series, the statistics … models in Econophysics from the point of view of agent-based modeling. Of the large number of multi-agent-based models, we …

Persistent link: https://www.econbiz.de/10009208355

Shared information in the stock market

Bartiromo, Rosario - In: Quantitative Finance 11 (2011) 2, pp. 229-235

In this paper we exploit the principle of maximum entropy to gain insight into the process underlying the internal dynamics of a stock market. We first introduce a simplified physical model, the ideally liquid stock, to describe market price evolution and derive an operational definition of...

Persistent link: https://www.econbiz.de/10009214981

Mori, S.; Kitsukawa, K.; Hisakado, M. - In: Quantitative Finance 11 (2010) 3, pp. 391-405

This paper generalizes Moody's correlated binomial default distribution for homogeneous (exchangeable) credit portfolios, which was introduced by Witt, to the case of inhomogeneous portfolios. We consider two cases of inhomogeneous portfolios. In the first case, we treat a portfolio whose assets...

Persistent link: https://www.econbiz.de/10009215042