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Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
Liquidity Risk Random Holding Period Systemic Risk
2010/10/21
Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a `liquidity-adjusted risk measure' characterized by t...
Statistical Properties of Cross-Correlation in the Korean Stock Market
correlation matrix random matrix theory markowitz portfolio theory
2010/10/22
We investigate the statistical properties of the correlation matrix between individual stocks traded in the Korean stock market using the random matrix theory (RMT) and observe how these affect the po...
The price impact of order book events: market orders, limit orders and cancellations
price impact market orders limit orders cancellations market microstructure order flow
2010/10/29
While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce...
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics is offering models of markets as complex systems, such as the gas-like model, ab...
Estimating correlation and covariance matrices by weighting of market similarity
Weighted Correlation Estimation Covariance Estimation Time-dynamic Dependence
2010/10/20
We discuss a weighted estimation of correlation and covariance matrices from historical financial data. To this end, we introduce a weighting scheme that accounts for similarity of previous market co...
Optimizing a basket against the efficient market hypothesis
Optimizing the efficient market hypothesis
2010/10/20
The possibility that the collective dynamics of a set of stocks could lead to a specific basket violating the efficient market hypothesis is investigated. Precisely, we show that it is systematically...
We consider option pricing in a regime-switching market. As the market is incomplete, there is no unique price for a derivative. We apply the good-deal bounds idea to obtain ranges for the price of a...
Market models for CDOs driven by time-inhomogeneous Lévy processes
Market models CDOs driven time-inhomogeneous Lévy processes
2010/10/20
This paper considers a top-down approach for CDO valuation and proposes a market model. We extend previous research on this topic in two directions: on the one side, we use as driving process for the...
Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look
Market Price Risk Random Field Driven Models Term Structure
2010/10/20
No-arbitrage models of term structure have the feature that the return on zero-coupon bonds is the sum of the short rate and the product of volatility and market price of risk. Well known models rest...
Statistically Optimal Strategy Analysis of a Competing Portfolio Market with a Polyvariant Profit Function
Zeitnot market modeling statistically optimal strategy Markov process
2010/10/20
A competing market model with a polyvariant profit function that assumes "zeitnot" stock behavior of clients is formulated within the banking portfolio medium and then analyzed from the perspective o...
Nonuniversal distributions of stock returns in an emerging market
Nonuniversal distributions stock returns emerging market
2010/10/19
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic...
Diagnosis and Prediction of Market Rebounds in Financial Markets
negative bubble rebound positive feedback pattern recognition trading strategy
2010/10/19
We introduce the concept of "negative bubbles" as the mirror image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these n...
Utility Maximization of an Indivisible Market with Transaction Costs
Utility optimization indivisible market transaction cost
2010/10/19
This work takes up the challenges of utility maximization problem when the market is indivisible and the transaction costs are included. First there is a so-called solvency region given by the minimum...
Emerging Broadband Market and the Relevant Policy Agenda in Japan
Emerging Broadband Market the Relevant Policy Agenda Japan
2009/12/2
Japan is now ranked as one of the most advanced countries in the deployment of broadband services. Several factors supporting this deployment can be found in policy measures for the promotion of a bro...
The Emerging Broadband Television Market in the United States: Assessing the Strategic Differences between Cable Television and Telephone Firms
The Emerging Broadband Television Market the United States the Strategic Cable Television Telephone Firms
2009/12/2
This paper compared the strategic differences between telcos and cable television firms in the United States based on a proposed strategic architecture that depicts the roles of various channel member...