搜索结果: 1-15 共查到“理论经济学 Correlations”相关记录19条 . 查询时间(0.078 秒)
Measuring capital market efficiency: Global and local correlations structure
capital market eciency long-range dependence short-range dependence fractal dimension
2012/9/14
We introduce a new measure for the capital market eciency. The measure takes into considera-tion the correlation structure of the returns (long-term and short-term memory) and local herding behavior ...
Arbitrary Truncated Levy Flight: Asymmetrical Truncation and High-Order Correlations
Financial Stochastic processes Truncated Levy Flights High-Order Correlations NonGaussian Random Walk
2012/6/5
The generalized correlation approach, which has been successfully used in statistical radio physics to describe non-Gaussian random processes, is proposed to describe stochastic financial processes. T...
Study of statistical correlations in intraday and daily financial return time series
Study of statistical correlations intraday daily financial return time series Statistical Finance
2012/4/28
The aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to understand the "seasonalities" and market evolution. Using the intraday data of t...
China’s Internal Borders: Evidence from the Business Cycle Correlations across Chinese Cities
Border effect Market integration Business cycle correlation
2011/4/2
We measure the correlations between two cities’ real GDP growth rates (a measure of business cycle correlations) to capture the degree of segmentation across China’s provincial and regional borders.
Dynamics of Stock Market Correlations
Correlation Stock Market Holography eigenvalue entropy
2010/12/6
We present a novel approach to the study the dynamics of stock market correlations. This is achieved through an innovative visualization tool that allows an investigation of the structure and dynamics...
Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations
portfolio market risk volatility scaling square-root-of-time rule
2010/10/21
In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially correlated. Under this ...
Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant
Econophysics Stock and warrant Intertrade duration Correlation
2010/10/21
Intertrade duration of equities is an important financial measure characterizing the trading activities, which is defined as the waiting time between successive trades of an equity. Using the ultrahi...
Memory effect and multifractality of cross-correlations in financial markets
Econophysics Stock market
2010/10/20
An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock mark...
Fluctuation-Dissipation Theory of Input-Output Interindustrial Correlations
Fluctuation-Dissipation Theory Input-Output Interindustrial Correlations
2010/11/3
The fluctuation-dissipation theory is invoked to shed light on input-output industrial correlations at a macroscopic level; it is applied to the IIP (indices of industrial production) data in Japan.
Impact of the tick-size on financial returns and correlations
Financial correlations Epps e ect Market emergence Covariance estimation
2010/10/18
We demonstrate that the lowest possible price change (tick-size) has a large impact on the structure of financial return distributions. It induces a microstructure as well as it can alter the tail beh...
Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
Counterparty Risk Arbitrage-Free Credit Valuation Adjustment Interest Swaps Interest Rate Derivatives
2010/11/2
The purpose of this paper is introducing rigorous methods and formulas for bilateral counterparty risk credit valuation adjustments (CVA's) on interest-rate portfolios. In
doing so, we summarize the ...
Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
Econophysics Trading volume Intraday pattern Correlation Multifractality
2010/10/29
We investigate the temporal correlations and multifractal nature of trading volume of 22
liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading
volume exhibits size-de...
Universal Correlations and Power-Law Tails in Financial Covariance Matrices
Universal Correlations Power-Law Tails Financial Covariance Matrices
2010/11/1
Signatures of universality are detected by comparing individual eigenvalue distributions and level spacings from financial covariance matrices to random matrix predictions. A chopping procedure is dev...
Compensating asynchrony effects in the calculation of financial correlations
Financial correlations Epps effect Market emergence Covariance estimation Asynchronous time series
2010/11/2
We present a method to compensate statistical errors in the calculation of correlations on asynchronous time series.The method is based on the assumption of an underlying time series. We set up a mode...
Correlations, Risk and Crisis: From Physiology to Finance
Correlations Factor Liebigs Law Synergy Adaptation Selection Crisis Indicator
2010/11/1
We study the dynamics of correlation and variance in systems under the load of environmental factors. A universal effect in ensembles of similar systems under the load of similar factors is described:...