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Persistent link: https://www.econbiz.de/10011060858
Persistent link: https://www.econbiz.de/10001251048
We propose and study a simple model of dynamical redistribution of capital in a diversified portfolio. We consider a hypothetical situation of a portfolio composed of N uncorrelated stocks. Each stock price follows a multiplicative random walk with identical drift and dispersion. The rules of...
Persistent link: https://www.econbiz.de/10012788126
We study the risk criterion for investments based on the drawdown from the maximal value of the capital in the past. Depending on investor's risk attitude, thus his risk exposure, we find that the distribution of these drawdowns follows a general power law. In particular, if the risk exposure is...
Persistent link: https://www.econbiz.de/10012788127
We introduce and study a simple model of a limit order-driven market. Traders in this model can either trade at the market price or place a limit order, i.e. an instruction to buy (sell) a certain amount of the stock if its price falls below (raises above) a predefined level. The choice between...
Persistent link: https://www.econbiz.de/10012788128
We study the risk criterion for investments based on the drawdown from the maximal value of the capital in the past. Depending on investor's risk attitude, thus his risk exposure, we find that the distribution of these drawdowns follows a general power law. In particular, if the riskexposure is...
Persistent link: https://www.econbiz.de/10012788791
The cross-correlation matrix of daily returns of stock market indices in a diverse set of 37 countries worldwide was analyzed. Comparison of the spectrum of this matrix with predictions of random matrix theory provides an empirical evidence of strong interactions between individual economies, as...
Persistent link: https://www.econbiz.de/10012742223
Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law tails with an exponent 1+mu_market=2.4 plus-minus 0.1....
Persistent link: https://www.econbiz.de/10012742588
We introduce and study a simple model of a limit order-driven market. Traders in this model can either trade at the market price or place a limit order, i.e. an instruction to buy (sell) a certain amount of the stock if its price falls below (raises above) a predefined level. The choice between...
Persistent link: https://www.econbiz.de/10012743376
We propose and study a simple model of dynamical redistribution of capital in a diversified portfolio. We consider a hypothetical situation of a portfolio composed of N uncorrelated stocks. Each stock price follows a multiplicative random walk with identical drift and dispersion. The rules of...
Persistent link: https://www.econbiz.de/10005083911