搜索结果: 1-15 共查到“数量经济学 Financial”相关记录26条 . 查询时间(0.357 秒)
How news affect the trading behavior of different categories of investors in a financial market
Firm-specific news News sentiment Trading Single investors
2012/9/14
We investigate the trading behavior of a large set of single investors trad-ing the highly liquid Nokia stock over the period 2003-2008 with the aim of determining the relative role of endogenous and ...
A No-Arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets
No-Arbitrage Model Financial Markets Brownian Sheets
2012/9/14
We consider a dynamic market model where buyers and sellers submit limit orders. If at a given moment in time, the buyer is unable to complete his entire order due to the shortage of sell orders at th...
Designing the new architecture of international financial system in era of great changes by globalization
the new architecture international financial system globalization
2012/9/14
We present a broad agenda for m eaningful banking regulation reform aiming the creation of evolutive competitive environment to maximize the effectiveness of internati onal financial system through t...
Shaping the international financial system in century of globalization
international financial system century globalization
2012/9/14
We educe a perspective on how be st to regulate the bank of tomorrow in frames of debate launched by the Intern ational Centre for Financial Regulation and
Financial Times. Our goal is to create a ...
Calibration of optimal execution of financial transactions in the presence of transient market impact
Calibration financial transactions market
2012/9/14
Trading large volumes of a nancial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A ...
We study the emergence of instabilities in a stylized model of a nancial market, when di erent market actors calculate prices according to di erent (local)
market measures. We derive typical propert...
Benford's law and Theil transform of financial data
income expenses religious community Benford's laws Theil map time series.
2012/9/14
Among econophysics investigations, studies of religious groups have been of interest. On one hand, the present paper concerns the Antoinist community nancial reports, - a community which appeared at ...
Global Stability of Financial Networks Against Contagion: Measure, Evaluation and Implications
financial networks stability financial contagion network models.
2012/9/14
Involvements of major financial institutions in the recent financial crisis have generated renewed interests in fragilities of global financial networks among economists and regulatory authorities. In...
Modeling and Forecasting Persistent Financial Durations
price durations long memory multifractal models realized volatility Whittle estimation
2012/9/14
This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility model of Calvet and Fisher (2004)
to the duration setting. Although the MSMD pr...
Existence of Financial Equilibria in Continuous Time with Potentially Complete Markets
Potentially complete market Continuous-time financial market Radner equilibrium It坥 diffusion
2012/9/14
We prove that in smooth Markovian continuous杢ime economies with potentially complete asset markets, Radner equilibria with endoge-nously complete markets exist.
An algorithm for the orthogonal decomposition of financial return data
portfolio selection mean-variance analysis principal components of risk
2012/9/14
We present an algorithm for the decomposition of periodic financial return data into orthogonal factors of expected return and “systemic”, “productive”, and “nonproductive”risk. Generally, when the nu...
Universality class of balanced flows with bottlenecks: granular flows, pedestrian fluxes and financial price dynamics
Universality class of balanced flows bottlenecks granular flows pedestrian fluxes financial price dynamics
2012/6/4
We propose and document the evidence for an analogy between the dynamics of granular counter-flows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensi...
Weighted-indexed semi-Markov models for modeling financial returns
rst passage time distribution autocorrelation function exponentially weighted moving average Monte Carlo
2012/6/4
In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are de...
Hierarchical structure and time-lag correlation in Worldwide Financial Markets
Hierarchical structure time-lag correlation Worldwide Financial Markets Statistical Finance
2012/6/4
Recently, many studies indicated that the minimum spanning tree (MST) network whose metric distance is de?ned by using correlation coe?cients have strong implications on extracting infor- mation from ...
Singularity strength based characterization of financial networks
characterization of financial networks Statistical Finance Data Analysis Statistics and Probability
2012/6/4
Financial markets are well known examples of multi-fractal complex systems that have garnered much interest in their characterization through complex network theory. The recent studies have used corre...