Wszystkie pola: Random walk - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Share Price Evolution as Stationary, Dependent Continuous-Time Random Walk
Autorzy:: Gubiec, T.
Kutner, R.
Powiązania:: https://bibliotekanauki.pl/articles/1538526.pdf
Data publikacji:: 2010-04
Wydawca:: Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:: 02.50.Ey
02.50.Ga
05.40.Fb
02.30.Mv
Opis:: Simple model of share price evolution, which is an extension of Kehr-Kutner-Binder one and Montero-Masoliver models, is presented. The market empirical data inspired the assumptions of the model. The model seems to be the reference one for the study of the short-range correlations in financial data as it considers the observed correlation over two successive jumps of the financial ant.
Źródło:: Acta Physica Polonica A; 2010, 117, 4; 669-672
0587-4246
1898-794X
Pojawia się w:: Acta Physica Polonica A
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: Financial Data Analysis by means of Coupled Continuous-Time Random Walk in Rachev-Rűschendorf Model
Autorzy:: Jurlewicz, A.
Wyłomańska, A.
Żebrowski, P.
Powiązania:: https://bibliotekanauki.pl/articles/1812236.pdf
Data publikacji:: 2008-09
Wydawca:: Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:: 89.65.Gh
05.40.Fb
Opis:: We adapt the continuous-time random walk formalism to describe asset price evolution. We expand the idea proposed by Rachev and Rűschendorf who analyzed the binomial pricing model in the discrete time with randomization of the number of price changes. As a result, in the framework of the proposed model we obtain a mixture of the Gaussian and a generalized arcsine laws as the limiting distribution of log-returns. Moreover, we derive an European-call-option price that is an extension of the Black-Scholes formula. We apply the obtained theoretical results to model actual financial data and try to show that the continuous-time random walk offers alternative tools to deal with several complex issues of financial markets.
Źródło:: Acta Physica Polonica A; 2008, 114, 3; 629-635
0587-4246
1898-794X
Pojawia się w:: Acta Physica Polonica A
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 3.

Tytuł:: The Heaping Effect in the Survey Data on the Number of Friends
Autorzy:: Nawojczyk, M.
Stojkow, M.
Żuchowska-Skiba, D.
Krawczyk, M.
Kułakowski, K.
Powiązania:: https://bibliotekanauki.pl/articles/1029538.pdf
Data publikacji:: 2018-06
Wydawca:: Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:: social systems
random walk
exit time
incomplete knowledge
Opis:: The number of acquaintances is relevant for modeling social networks. Here we consider the data on the declared number of friends, as collected in 2000, 2007 and 2015 from Polish respondents above the age of 50. We demonstrate that the answers on the number of friends show sharp maxima at 10, 15, 20 and sometimes 30, which accompany a broader peak between 0 and 8. These results do not change qualitatively with sex and age of the respondents. The effect, known as data heaping, can be detected as a deviation from the Benford law.
Źródło:: Acta Physica Polonica A; 2018, 133, 6; 1417-1420
0587-4246
1898-794X
Pojawia się w:: Acta Physica Polonica A
Dostawca treści:: Biblioteka Nauki

Artykuł

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