搜索结果: 1-15 共查到“理论经济学 Scaling”相关记录16条 . 查询时间(0.109 秒)
Scaling, stability and distribution of the high-frequency returns of the IBEX35 index
nancial time series high-frequency returns generalized hyperbolic distributions Levy-stable distributions scaling laws tail behaviour
2012/9/14
Abstract.In this paper we perform a statistical analysis of the high-frequency re-turns of theIbex35Madrid stock exchange index. We nd that its probability distri-bution seems to be stable over di er...
On the scaling ranges of detrended fluctuation analysis for long-memory correlated short series of data
scaling range detrended fluctuation analysis Hurst exponent power laws time series long memory econophysics complex systems
2012/9/14
We examine the scaling regime for the detrended fluctuation analysis (DFA) -the most popular method used to detect the presence of long memory in data and
the fractal structure of time series. First,...
Scaling properties of first-passage time probabilities in financial markets
Scaling properties first-passage time probabilities financial markets
2011/7/19
Financial markets provide an ideal frame for the study of first-passage time events of non-
Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures...
Emergence of double scaling law in complex system
power-law Paretian behaviors exponentially increasing variable
2011/3/31
We introduce a stochastic model to explain a double power-law distribution which exhibits two different Paretian behaviors in the upper and the lower tail and widely exists in social and economic syst...
Emergence of universal scaling in financial markets from mean-field dynamics
universal scaling financial markets mean-field dynamics
2010/10/20
Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior i...
Scaling portfolio volatility and calculating risk contributions in the presence of serial cross-correlations
portfolio market risk volatility scaling square-root-of-time rule
2010/10/21
In practice daily volatility of portfolio returns is transformed to longer holding periods by multiplying by the square-root of time which assumes that returns are not serially correlated. Under this ...
Scaling and multiscaling in financial indexes: a simple model
Scaling multiscaling financial indexes simple model
2010/10/20
We propose a simple stochastic model for time series which is analytically tractable, easy to simulate and which captures some relevant stylized facts of financial indexes, including scaling properti...
Micro-Macro Relation of Production - The Double Scaling Law for Statistical Physics of Economy -
Micro-Macro Relation Double Scaling Law Statistical Physics
2010/10/19
We show that an economic system populated by multiple agents generates an equilibrium distribution in the form of multiple scaling laws of conditional PDFs, which are sufficient for characterizing the...
Universal and nonuniversal allometric scaling behaviors in the visibility graphs of world stock market indices
Universal nonuniversal world stock market indices
2010/11/2
The investigations of financial markets from a complex network perspective have unveiled many
phenomenological properties, in which the majority of these studies map the financial markets into one co...
Scaling conditional tail probability and quantile estimators
distria relatively high frequency quantile estimates
2011/3/31
We present a novel procedure for scaling relatively high frequency tail probability and quantile estimates for the conditional distria.
Scaling and memory in the return intervals of realized volatility
Econophysics Realized volatility Return interval Scaling Long memory
2010/10/29
We performreturn interval analysis of 1-min realized volatility defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent...
Scaling and memory in the non-poisson process of limit order cancelation
Econophysics Inter-cancelation duration Scaling Long memory Multifractal nature
2010/11/2
The order submission and cancelation processes are two crucial aspects in the price formation of stocks traded in order-driven markets. We investigate the dynamics of order cancelation by studying the...
Superfamily classification of nonstationary time series based on DFA scaling exponents
Superfamily classification DFA scaling exponents
2010/11/3
The superfamily phenomenon of time series with different dynamics can be charac-terized by the motif rank patterns observed in the nearest-neighbor networks of the time series in phase space. However,...
Modeling the non-Markovian, non-stationary scaling dynamics of financial markets
Modeling the non-Markovian financial markets
2010/11/2
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several nat...
Scaling and Memory Effect in Volatility Return Interval of the Chinese Stock Market
Scaling Memory Effect Volatility Return Interval Chinese Stock Market
2010/12/20
We investigate the probability distribution of the volatility return intervals $\tau$ for the Chinese stock market. We rescale both the probability distribution $P_{q}(\tau)$ and the volatility return...