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Comments on ‘Multi-country Modeling of Financial Markets’ by J. Helliwell, J. Cockerline, and Robert Lafrance
Multi-country Modeling Financial Markets
2015/8/4
Comments on ‘Multi-country Modeling of Financial Markets’ by J. Helliwell, J. Cockerline, and Robert Lafrance.
Monetary Policy Modeling: Where Are We and Where Should We Be Going
Monetary Policy Modeling
2015/8/3
Monetary Policy Modeling: Where Are We and Where Should We Be Going.
Modeling the International-Trade Network: A Gravity Approach
International Trade Network Gravity Equation Weighted Network Analysis Topological Properties Econophysics
2011/12/28
This paper investigates whether the gravity model (GM) can explain the statistical properties of the International Trade Network (ITN). We fit data on international-trade ows with a GM speci cation u...
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
matrix theory quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
Quantifying and Modeling Long-Range Cross-Correlations in Multiple Time Series with Applications to World Stock Indices
time series quantify risk international investment managers
2011/3/23
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countri...
The past five decades have seen tremendous changes in inflation dynamics in the United States. Some of the changes arguably stem from transformations in the U.S. economy. Energy is a smaller share of ...
Modeling interaction of trading volume in financial dynamics
Trading Market Microstructure Data Analysis Statistics Probability Physics Society
2010/12/16
A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its...
Modeling wealth distribution in growing markets
Modeling wealth distribution growing markets
2010/12/17
We introduce an auto-regressive model which captures the growing nature of realistic markets. In our model agents do not trade with other agents, they interact indirectly only through a market. Chang...
Role of scaling in the statistical modeling of finance
Role scaling statistical modeling finance
2010/12/17
Modeling the evolution of a financial index as a stochastic process is a problem awaiting a full, satisfactory solution since it was first formulated by Bachelier in 1900. Here it is shown that the s...