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We present evidence that the best model for empirical volume-price distributions is not always the same and it strongly depends in (i) the region of the volume-price spectrum that one wants to model and (ii) the period in time that is being modelled. To show these two features we analyze stocks...
Persistent link: https://www.econbiz.de/10010931978
Using available data from the New York stock market (NYSM) we test four different bi-parametric models to fit the correspondent volume-price distributions at each $10$-minute lag: the Gamma distribution, the inverse Gamma distribution, the Weibull distribution and the log-normal distribution....
Persistent link: https://www.econbiz.de/10010941725
We introduce a measure for estimating the best risk-return relation of power production in wind farms within a given time-lag, conditioned to the velocity field. The velocity field is represented by a scalar that weighs the influence of the velocity at each wind turbine at present and previous...
Persistent link: https://www.econbiz.de/10010755909
The study of heavy-tailed distributions in economic and financial systems has been widely addressed since financial time series has become a research subject.After the eighties, several "highly improbable" market drops were observed (e.g. the 1987 stock market drop known as "Black Monday" and on...
Persistent link: https://www.econbiz.de/10009492883
We consider the evolution of scale-free networks according to preferential attachment schemes and show the conditions for which the exponent characterizing the degree distribution is bounded by upper and lower values. Our framework is an agent model, presented in the context of economic networks...
Persistent link: https://www.econbiz.de/10009293804
We address the problem of banking system resilience by applying off-equilibrium statistical physics to a system of particles, representing the economic agents, modelled according to the theoretical foundation of the current banking regulation, the so called Merton-Vasicek model. Economic agents...
Persistent link: https://www.econbiz.de/10008855195
We introduce a simple model for addressing the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuations of arbitrary magnitude. The model considers a collection of economical agents which establish trade connections...
Persistent link: https://www.econbiz.de/10008678249
Recent actions by Labour politicians have highlighted the degree of differentiation among UK state secondary schools. This article uses data describing the characteristics of schools and the academic achievements of the children attending them to generate a typology. This is related to recent...
Persistent link: https://www.econbiz.de/10005767182
Persistent link: https://www.econbiz.de/10003915471
Persistent link: https://www.econbiz.de/10012038252