Wszystkie pola: 89.70.+C - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: A Random Matrix Approach to Dynamic Factors in Macroeconomic Data
Autorzy:: Snarska, M.
Powiązania:: https://bibliotekanauki.pl/articles/1408904.pdf
Data publikacji:: 2012-02
Wydawca:: Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:: 89.65.Gh
02.50.Sk
02.70.-c
02.70.Uu
Opis:: We show how random matrix theory can be applied to develop new algorithms to extract dynamic factors from macroeconomic time series. In particular, we consider a limit where the number of random variables N and the number of consecutive time measurements T are large but the ratio N/T is fixed. In this regime the underlying random matrices are asymptotically equivalent to Free Random Variables (FRV).Application of these methods for macroeconomic indicators for Poland economy is also presented.
Źródło:: Acta Physica Polonica A; 2012, 121, 2B; B-110-B-120
0587-4246
1898-794X
Pojawia się w:: Acta Physica Polonica A
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Impact of the Secondary Insider Trading on Financial Markets
Autorzy:: Jakimowicz, A.
Baklarz, A.
Smulska, K.
Powiązania:: https://bibliotekanauki.pl/articles/1029516.pdf
Data publikacji:: 2018-06
Wydawca:: Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:: 89.65.Gh
02.70.-c
Opis:: The insider trading phenomenon is based on the situation when traders use material information not publicly available to make their investment decisions. In most countries of the world, insider trading is illegal and is punishable by fine or imprisonment. Insider trading has many economic effects, which in the light of available scientific research can be both positive and negative. Insider traders can be divided into primary and secondary traders depending on whether their contact with insider information is direct or indirect. Primary insider trading has been discussed in many research studies and scientific descriptions, while secondary insider trading has not been investigated yet. This paper's aim is to fill this gap. Since the empirical data for secondary insider trading is in practice impossible to obtain, the research analysis is based on simulations of two probabilistic models. The first one concerns the use of insider information for an infinite long period of time after its acquisition, while the second one on the day of its receipt. The results of the simulation are related to three basic models of financial market functioning: the efficient market hypothesis, the fractal market hypothesis, and the coherent market hypothesis.
Źródło:: Acta Physica Polonica A; 2018, 133, 6; 1394-1401
0587-4246
1898-794X
Pojawia się w:: Acta Physica Polonica A
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: A Heuristic for Approximating Extreme Negative Price Returns in Financial Markets
Autorzy:: Manhire, J.
Powiązania:: https://bibliotekanauki.pl/articles/1029529.pdf
Data publikacji:: 2018-06
Wydawca:: Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:: 02.70.-c
05.10.-a
89.65.Gh
Opis:: The paper describes the behavior of financial markets as functions of the variables ``price return'' and ``time'' based on the net difference between ask and bid volumes over a unit period, thereby suggesting that at least a negative non-trivial price return extreme exists for a unit period. This admittedly heuristic approach also offers a method for approximating these negative price return extremes for a specific unit period. Limitations and applications are discussed.
Źródło:: Acta Physica Polonica A; 2018, 133, 6; 1408-1413
0587-4246
1898-794X
Pojawia się w:: Acta Physica Polonica A
Dostawca treści:: Biblioteka Nauki

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