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In this paper we want to discuss macroscopic and microscopicproperties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...
Persistent link: https://www.econbiz.de/10005843734
This paper proposes validation using simulation based indirect estimation. It uses typical characteristic moments of financial market data to assess the similarity of simulation outcomes.
Persistent link: https://www.econbiz.de/10009138391
Erstmals mit dem Begriff der Chaos-Theorie konfrontiert, stellt man sichoftmals vor, dass damit wohl wissenschaftlich erklärt werde, was sowiesoschon vom Alltag her bekannt ist: Dass nämlich (beinahe) alles im Lebenchaotisch sei oder zumindest zum Chaos hin tendiere. Die Chaos-Theorie...
Persistent link: https://www.econbiz.de/10005857047
Eine von Praktikern f¨ur den US–amerikanischen Aktienmarkt häufig verwendeteFaustregel besagt, daß aus einem positiven Anstieg des Aktienindex innerhalb der erstenfünf Börsentage eines Jahres auf eine positive Entwicklung des Aktienindex fürdas gesamte Kalenderjahr geschlossen werden...
Persistent link: https://www.econbiz.de/10005866072
We examine how investor sentiment affects the cross-section of stock returns. Theory predicts that a broad wave of sentiment will disproportionately affect stocks whose valuations are highly subjective and are difficult to arbitrage.(...)
Persistent link: https://www.econbiz.de/10005846534
In a model with housing collateral, the ratio of housing wealth to total wealth shifts the conditional distribution of asset prices and consumption growth. A decrease in house prices reduces the collateral value of housing, increases household exposure to idiosyncratic risk, and increases the...
Persistent link: https://www.econbiz.de/10005846978
Time-variation in the degree of risk-sharing induced by changes in the value of housing collateral sheds new light on the consumption correlation puzzle.(...)
Persistent link: https://www.econbiz.de/10005846979
We investigate a consumption-based present value relation that is a function of future dividend growth. Using data on aggregate consumption and measures of the dividend payments from aggregate wealth, we show that changing forecasts of dividend growth are an important feature of the post-war...
Persistent link: https://www.econbiz.de/10005846982
Die mit unterschiedlichen Organisationsformen des Wertpapierhandels einhergehende Liquidität und ihre Messung ist eine der zentralen Fragen im Zusammenhang mit der Gestaltung von Wertpapiermärkten. Zunächst wird die Eignung verschiedener in der Literatur vorgeschlagener Liquiditätsmaße...
Persistent link: https://www.econbiz.de/10005840399
This note analyses investment and risk-taking in a simple agency model of public regulation/procurement borrowed from Laffont & Tirole (1993). We show that the principal will overinvest or underinvest depending on whether investment is marginally more productive in bad or in good states. Due to...
Persistent link: https://www.econbiz.de/10005841021