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Wyświetlanie 106-116 z 116
Tytuł:
Interplay between endogenous and exogenous fluctuations in financial markets
Autorzy:
Gontis, V.
Powiązania:
https://bibliotekanauki.pl/articles/1075435.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
89.75.Da
05.10.Gg
05.40.-a
05.45.Tp
Opis:
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary mechanism responsible for the observed long-range dependence and statistical properties of high volatility return intervals. By exogenous noise we mean information flow or/and order flow fluctuations. Numerical results based on the proposed model reveal that the exogenous fluctuations have to be considered as indispensable part of comprehensive modeling of the financial markets.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 1023-1031
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Short Comprehensive Report on the Non-Brownian Stochastic Dynamics at Financial and Commodity Markets
Autorzy:
Ciepliński, T.
Dominiczak, A.
Kutner, R.
Powiązania:
https://bibliotekanauki.pl/articles/1408963.pdf
Data publikacji:
2012-02
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
02.50.Ey
02.50.Ga
05.40.Fb
Opis:
In this work we empirically verify the generic breaking of the Central Limit Theorem on the financial and commodity markets. We analysed the distributions of log-returns for typical indices and price of gold, for increasing time horizons. We considered Random Coarse Graining Transformation of the Continuous-Time Random Walk model, which can represent the non-Gaussian price dynamics of underlying assets and the corresponding derivatives, e.g., various options or future contracts. We confirmed that empirical data and predictions of the model quite well agree.
Źródło:
Acta Physica Polonica A; 2012, 121, 2B; B-24-B-27
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Toy Model for Large Non-Symmetric Random Matrices
Autorzy:
Snarska, M.
Powiązania:
https://bibliotekanauki.pl/articles/1812225.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
02.05.Sk
02.70.Hm
89.65.Gh
02.50.-r
89.20.-a
Opis:
Non-symmetric rectangular correlation matrices occur in many problems in economics. We test the method of extracting statistically meaningful correlations between input and output variables of large dimensionality and build a toy model for artificially included correlations in large random time series.The results are then applied to analysis of polish macroeconomic data and can be used as an alternative to classical cointegration approach.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 555-559
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Subdiffusion with External Time Modulation
Autorzy:
Wojnar, R.
Powiązania:
https://bibliotekanauki.pl/articles/1812233.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.40.Jc
05.70.Ln
82.39.Rt
87.18.Hf
89.65.Gh
89.65.Lm
Opis:
A subdiffusion process, similar to a Zeldovich-Kompaneets heat conduction process, is defined by a nonlinear diffusion equation in which the diffusion coefficient takes the form D=a(t)f^n, where a=a(t) is an external time modulation, n is a positive constant, and f=f(x, t) is a solution to the nonlinear diffusive equation. It is shown that a Zeldovich-Kompaneets solution satisfies the subdiffusion equation if a=a(t) is replaced by the mean value of a. Also, a solution to the subdiffusion equation is constructed that may be useful in description of biological, social, and financial processes.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 607-611
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Alternative Random Matrix Approach in Analysis of Correlations in Financial Data
Autorzy:
Sawa, M.
Grech, D.
Powiązania:
https://bibliotekanauki.pl/articles/1388194.pdf
Data publikacji:
2015-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.45.Tp
02.60.-x
89.20.-a
89.75.-k
89.65.Gh
89.75.Fb
Opis:
We present an alternative method based on random matrix approach that enables to distinguish the respective role of temporal autocorrelations inside given time series and cross correlations between various time series. The proposed algorithm is based on the properties of Wigner eigenspectrum of random matrices instead of commonly used Wishart eigenspectrum methodology. It is then qualitatively and quantitatively applied to financial data of stocks building WIG 30 - the main Warsaw Stock Exchange Index.
Źródło:
Acta Physica Polonica A; 2015, 127, 3A; A-118-A-122
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Dynamic Structural and Topological Phase Transitions on the Warsaw Stock Exchange: A Phenomenological Approach
Autorzy:
Sienkiewicz, A.
Gubiec, T.
Kutner, R.
Struzik, Z.
Powiązania:
https://bibliotekanauki.pl/articles/1400183.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
02.50.Ey
02.50.Ga
05.40.Fb
02.30.Mv
Opis:
We study crash dynamics of the Warsaw Stock Exchange by using minimal spanning tree networks. We identify the transition of the complex network during its evolution from a (hierarchical) power law minimal spanning tree network - representing the stable state of Warsaw Stock Exchange before the recent worldwide financial crash, to a superstar-like (or superhub) minimal spanning tree network of the market decorated by a hierarchy of trees - an unstable, intermediate market state. Subsequently, we observe a transition from this complex tree to the topology of the (hierarchical) power law minimal spanning tree network decorated by several star-like trees or hubs - this structure and topology represent the Warsaw Stock Exchange after the worldwide financial crash, and can be considered to be an aftershock. Our results can serve as an empirical foundation for a future theory of dynamic structural and topological phase transitions on financial markets.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 615-620
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Numerical Analysis of Modified Kaldor-Kalecki Model with Couplings and Delays
Autorzy:
Jackowska-Zduniak, B.
Orłowski, A.
Powiązania:
https://bibliotekanauki.pl/articles/1398889.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
88.05.Lg
05.45.-a
02.60.Lj
05.45.Xt
Opis:
Modified Kaldor-Kalecki-type model of business cycles with delays are considered. Unidirectional and bidirectional couplings are introduced to investigate relationships between three "global" markets and two "local" markets. Selected results of an extensive numerical analysis are presented.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 1008-1010
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Numerical Analysis of Two Coupled Kaldor-Kalecki Models with Delay
Autorzy:
Jackowska-Zduniak, B.
Grzybowska, U.
Orłowski, A.
Powiązania:
https://bibliotekanauki.pl/articles/1388508.pdf
Data publikacji:
2015-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
88.05.Lg
05.45.-a
02.60.Lj
05.45.Xt
Opis:
This paper is concerned with two coupled Kaldor-Kalecki models of business cycles with delays in both the gross product and the capital stock. We consider two types of investment functions that lead to different behavior of the system. We introduce the model with unidirectional coupling to investigate the influence of a global economy (like the European Union) on a local economy (like Poland). We present detailed results of numerical analysis.
Źródło:
Acta Physica Polonica A; 2015, 127, 3A; A-70-A-74
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Balance in the Turbulent World of Economy
Autorzy:
Jakimowicz, A.
Juzwiszyn, J.
Powiązania:
https://bibliotekanauki.pl/articles/1388526.pdf
Data publikacji:
2015-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
47.27.Jv
47.15.G-
47.35.-i
47.32.C-
01.65.+g
Opis:
The stock market balance can be presented as a result of mutual effect of the supply and demand on the market. This creates high-frequency dynamics of prices for shares, what in turn leads to the appearance of the three-dimensional rotary trajectories of the market. The 3-D space is a Cartesian product: prices, volumes, and time. In this space whirling vectors form rotary-spiral trajectories and, they in turn, determine in the appropriate time periods side surfaces of solids of revolution, which rotate as well. Perpendicular projections of rotary trajectories on planes with standing out time axis cause that economic rotary phenomena are depicted on the mentioned planes by means of flat zigzags. Double rotating of economic vectors resembles precession movement. This is the precession movement which guarantees oscillating-rotating vectors around the hypothetical line of economic balance. Economic vectors are always set in rotary motion mainly by stimulating the vectors of demand and supply. Dynamically changing volumes of the mentioned forces cause that permanent state of economic balance practically do not exist in market reality. In the modified by the authors cobwebbed model states of fragile balance are explained by means of precession and accompanying it nutation. The rotary movement occurs universally in our world. The effects of vortexes from the world of nature are extremely quickly reflected in changing in chaotic way forces of demand and supply which in turn are the main generators of economic vortexes. Then the relationship is unambiguous and can be expressed by a short general statement claiming that vortexes generate vortexes regardless of the environment in which they occur. The resemblance between the rotary trajectories observed in hydrodynamics and the stock market rotary-spiral trajectory was the inspiration of the work for creating the econophysical analogue of the so-called stock market Reynolds number (R_{e}). The academic community has long sought a description of the phenomenon of turbulence in financial markets, and this article is an attempt to face this challenge. The original idea behind developing an economic equivalent of the Reynolds number was that market vectors of volumes, prices and time components can be treated as particles of a stream of liquid flowing through a pipe of a given cross-section. The Reynolds number, defined in this way, can be applied in research into the dynamics of stock exchange indices and, in particular, for the development of short-term warning forecasts. Additionally, it can be treated as a coefficient confirming (or rejecting) long-term stock market predictions.
Źródło:
Acta Physica Polonica A; 2015, 127, 3A; A-78-A-85
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Rayleigh's Distribution, Wigner's Surmise and Equation of the Diffusion
Autorzy:
Wojnar, R.
Powiązania:
https://bibliotekanauki.pl/articles/1400185.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.40.Jc
05.70.Ln
82.39.Rt
87.85.gj
89.65.Gh
89.65.Lm
21.10.-k
Opis:
After summaries on Rayleigh's distribution and Wigner's surmise, the time evolution of Rayleigh-Wigner's statistics is studied and a suitable diffusion type equation is proposed. Also the variance and kurtosis of time evolution of Rayleigh's distribution are calculated. Obtained results may be useful in description of physical, social and biological processes.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 624-628
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Multifractality of Nonlinear Transformations with Application in Finances
Autorzy:
Grech, D.
Pamuła, G.
Powiązania:
https://bibliotekanauki.pl/articles/1400170.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.45.Df
05.45.Tp
89.65.Gh
89.75.Da
89.75.-k
89.20.-a
05.40.-a
Opis:
We study the multifractal effects of nonlinear transformations of monofractal, stationary time series and apply the found results to measure the "true" unbiased multifractality generated only by multiscaling properties of initial (primary) data before transformations. A difference is stressed between "naive" observed multifractal effects calculated directly within detrended multifractal analysis as the spread Δh of the generalized Hurst exponents h(q) and the more reliable unbiased multifractality received after subtraction of residual bias effects generated by nonlinear transformations of initial data and coupled with finite size effects in time series. This property is investigated for volatile series of the real main world financial indices. A difference between multifractal properties of intraday and interday quotes is also pointed out in this context for the Warsaw Stock Exchange WIG index. Finally, based on the observed feature of real nonstationary data, a new measure of unbiased multifractality in signals is introduced. This measure comes from an analysis of the whole generalized Hurst exponent profile instead of looking just at its edge behavior $h^{±} ≡ h(q→ ±∞)$. Such an approach seems to be particularly useful when h(q) is not a monotonic function of the moment order q. Interesting examples with extreme events from finance are presented. They convince that an analysis directed only on investigation of the edges $h^{±}$ in multifractal spectrum may be misleading.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 529-537
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Wyświetlanie 106-116 z 116

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