Showing 1 - 10 of 92
We study a generalization of the Heston model, which consists of two coupled stochastic differential equations, one for the stock price and the other one for the volatility. We consider a cubic nonlinearity in the first equation and a correlation between the two Wiener processes, which model the...
Persistent link: https://www.econbiz.de/10009279971
A new approach is presented to describe the change in the statistics of the log return distribution of financial data as a function of the timescale. To this purpose a measure is introduced, which quantifies the distance of a considered distribution to a reference distribution. The existence of...
Persistent link: https://www.econbiz.de/10009279999
We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic relationship of net returns of traders as a function of...
Persistent link: https://www.econbiz.de/10009280003
Evolving networks with a constant number of edges may be modelled using a rewiring process. These models are used to describe many real-world processes including the evolution of cultural artifacts such as family names, the evolution of gene variations, and the popularity of strategies in simple...
Persistent link: https://www.econbiz.de/10009280005
Persistent link: https://www.econbiz.de/10009280007
At present there is a strong tendency to use new methods for the description of the regional and spatial economy. In increasing frequency we consider that any economic activity is spatially dependent. The problem of the evolution of internal urban formation can be described with the exact...
Persistent link: https://www.econbiz.de/10009280017
In the present work we investigate the multiscale nature of the correlations for high frequency data (1 min) in different futures markets over a period of two years, starting on the 1st of January 2003 and ending on the 31st of December 2004. In particular, by using the concept of local Hurst...
Persistent link: https://www.econbiz.de/10009280039
Persistent link: https://www.econbiz.de/10009280046
We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001–2003. Topological properties such as the average length of shortest paths, the betweenness and the degree are computed on...
Persistent link: https://www.econbiz.de/10009280083
Persistent link: https://www.econbiz.de/10009280084