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Tytuł:
Asymmetry in the Subsequent Movements Proportions of Share Prices Included in the WIG
Autorzy:
Szmagliński, A.
Powiązania:
https://bibliotekanauki.pl/articles/1388243.pdf
Data publikacji:
2015-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.45.Df
05.45.Tp
89.65.Gh
Opis:
The intraday data of stock prices allow us to collect in the form of histogram the subsequent movements' proportions in price and time. Here we continue the previous work [Acta Phys. Pol. A 123, 621 (2013)], concerning the properties of subsequent price movements' proportions in the opposite directions and proportions of subsequent price movements in the same direction. Here we distinguish between the proportions with growing and decreasing second price movement in the proportion. We investigate quantitatively the effect of breaking the turning point of resistance and support levels depending on the percentage size of price movements. In the same way we treat the main peak in the histogram for the equal subsequent price movements.
Źródło:
Acta Physica Polonica A; 2015, 127, 3A; A-136-A-138
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Subsequent Movements Proportions of Share Prices Included in the WIG over Recent Years
Autorzy:
Szmagliński, A.
Powiązania:
https://bibliotekanauki.pl/articles/1400184.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.45.Df
05.45.Tp
89.65.Gh
Opis:
A large amount of stock prices intraday data allow us to create a summary of subsequent movements' proportions of the collected share prices in the form of histogram. We have created two kinds of histograms: one for proportions of subsequent increasing and decreasing price movements and the second for proportions of subsequent price movements in the same direction. We have also created the same kinds of histograms for duration of price movements. All the histograms quite well fit the gamma probability distribution. The distribution coefficients' values ν and λ for price are above 1, for time are below 1. Some proportions of price movements occur more frequently than others, creating peaks on the graph. Similar regularity occurs for the time factor. This property is often used in trading.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 621-623
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Characteristics of Complexity in Selected Economic Models in the Light of Nonlinear Dynamics
Autorzy:
Jakimowicz, A.
Powiązania:
https://bibliotekanauki.pl/articles/1400172.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
05.45.Pq
05.45.-a
89.75.-k
Opis:
The catastrophe theory and deterministic chaos constitute the basic elements of economic complexity. Elementary catastrophes were the first remarkable form of nonlinear, topological complexity that were thoroughly studied in economics. Another type of catastrophe is the complexity catastrophe, namely an increase in the complexity of a system beyond a certain threshold which marks the beginning of a decrease in a system's adaptive capacity. As far as the ability to survive is concerned, complex adaptive systems should function within the range of optimal complexity which is neither too low or too high. Deterministic chaos and other types of complexity follow from the catastrophe theory. In general, chaos is seemingly random behavior of a deterministic system which stems from its high sensitivity to the initial condition. The theory of nonlinear dynamical systems, which unites various manifestations of complexity into one integrated system, runs contrary to the assumption that markets and economies spontaneously strive for a state of equilibrium. The opposite applies: their complexity seems to grow due to the influence of classical economic laws.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 542-546
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:
Cross-Correlations of the Forex Market Using Power Law Classification Scheme Picture
Autorzy:
Miśkiewicz, J.
Powiązania:
https://bibliotekanauki.pl/articles/1398836.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
05.45.Tp
Opis:
The analysis of crisis influence on the cross-correlation of the foreign exchange market (forex) daily exchange rates time series is presented. The analysis was conducted on 42 exchange rates with PLN as the common base currency. The time series cover the period from 09.10.2007 till 08.08.2015. Cross-correlation of the time series was analysed by power law classification scheme. It was shown that the strength of correlation allows not only to properly distinguish crisis and prosperity periods but also, followed by network analysis, is capable of recognizing the nodes which are the source of the crisis.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 917-921
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Network Analysis of Correlation Strength between the Most Developed Countries
Autorzy:
Miśkiewicz, J.
Powiązania:
https://bibliotekanauki.pl/articles/1400180.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
05.45.Tp
Opis:
A new algorithm of the analysis of correlation among economy time series is proposed. The algorithm is based on the power law classification scheme followed by the analysis of the network on the percolation threshold. The algorithm was applied to the analysis of correlations among gross domestic product per capita time series of 19 most developed countries in the periods (1982, 2011), (1992, 2011) and (2002, 2011). The representative countries with respect to strength of correlation, convergence of time series and stability of correlation are distinguished. The results are compared with ultrametric distance matrix analysed by network on the percolation threshold.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 589-596
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Cross-Correlations of Financial Crises Analysis by Power Law Classification Scheme
Autorzy:
Miśkiewicz, J.
Powiązania:
https://bibliotekanauki.pl/articles/1388144.pdf
Data publikacji:
2015-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
05.45.Tp
Opis:
Cross-correlations among the chosen six main world financial markets are analysed by power law classification scheme (PLCS). The markets are represented by indices: DAX (Frankfurt), FTSE (London), S&P 500 (New York), HSI (Honkong), Nikkei 225 (Tokyo), STI (Singapore) in the interval from 24.09.1991 till 31.01.2014. The time series are transformed into daily returns and normalised daily range of indices. The evolution of correlation strength is analysed using moving time window. It is shown that the correlation strength properly characterises crisis and prosperity periods. Moreover, the value of the correlation strength can be related to the crisis severity. The results are compared with standard ultrametric distance based on Pearson coefficient.
Źródło:
Acta Physica Polonica A; 2015, 127, 3A; A-103-A-107
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
Tytuł:
Agent-based modelling of a commodity market dynamics
Autorzy:
Gębarowski, R.
Drożdż, S.
Górski, A.
Oświęcimka, P.
Powiązania:
https://bibliotekanauki.pl/articles/1075423.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
89.75.Fb
05.45.Tp
Opis:
A modification of Yasutomi's agent-based model of the commodity market is investigated. It is argued that introduced modification of the microscopic exchange rules allows for emergence of commodity exchange rates in the model. Moreover, the model scaling due to finite size effects is considered and some practical implications of such scaling are discussed.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 1032-1037
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Real Estate Market under Catastrophic Change
Autorzy:
Bełej, M.
Kulesza, S.
Powiązania:
https://bibliotekanauki.pl/articles/1400163.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.45.-a
89.20.-a
89.65.Gh
Opis:
Within the last decade, real estate prices in Poland have changed significantly. We believe that these prices inevitably reflect the dynamics of the real estate market, and therefore they can be used to track its evolution path. To study whether and how the prices (regarded as a state variable) change over time depending on such control variables as gross domestic product and central bank interest rates, the theory of discontinuous change (also known as the catastrophe theory) was used. Catastrophic model assumes that small price fluctuations are associated with stable, long-term development of the market, whereas rapid changes are always due to short-term instabilities. In such a picture, the system evolution path draws a smooth curve within the stability area passing continuously between neighboring equilibrium states, and it rarely enters into the instability area to jump over the potential barrier to another equilibrium state.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 497-501
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Scaling of Dependence between Foreign Exchange Rates and Stock Markets in Central Europe
Autorzy:
Kristoufek, L.
Powiązania:
https://bibliotekanauki.pl/articles/1398833.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.45.Tp
89.75.Da
89.65.Gh
Opis:
We propose two novel methodological approaches - the detrending moving average based regression coefficient estimator and the scale-dependent instrumental variable estimator - and show their utility on a specific case of dependence between stock markets and connected foreign exchange rates in the Central European region - the Czech Republic, Hungary, and Poland. The methodology has proven useful as we uncovered several interesting findings such as scale dependence of the shock transmission and differences between the Euro and U.S. dollar currency pairs. The Polish currency is also the most sensitive of the three with respect to the stock market shocks. The proposed methodology can be applied to any system with potential endogeneity issues if one is interested in the scale variability of the effect of interest.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 908-912
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
World Financial 2014-2016 Market Bubbles: Oil Negative - US Dollar Positive
Autorzy:
Wątorek, M.
Drożdż, S.
Oświęcimka, P.
Powiązania:
https://bibliotekanauki.pl/articles/1398840.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
64.60.Ht
89.65.Gh
05.45.Df
Opis:
Based on the log-periodic power law methodology, with the universal preferred scaling factor λ ≈2, the negative bubble on the oil market in 2014-2016 has been detected. Over the same period a positive bubble on the so-called commodity currencies expressed in terms of the US dollar appears to take place with the oscillation pattern which largely is mirror reflected relative to oil price oscillation pattern. It documents recent strong anticorrelation between the dynamics of the oil price and of the USD. A related forecast made at the time of FENS 2015 conference (beginning of November) turned out to be quite satisfactory. These findings provide also further indication that such a log-periodically accelerating down-trend signals termination of the corresponding decreases.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 932-936
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Competition of Commodities for the Status of Money in an Agent-based Model
Autorzy:
Gębarowski, R.
Drożdż, S.
Górski, A.
Oświęcimka, P.
Powiązania:
https://bibliotekanauki.pl/articles/1388403.pdf
Data publikacji:
2015-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
89.75.Fb
05.45.Tp
Opis:
In this model study of the commodity market, we present some evidence of competition of commodities for the status of money in the regime of parameters, where emergence of money is possible. The competition reveals itself as a rivalry of a few (typically two) dominant commodities, which take the status of money in turn.
Źródło:
Acta Physica Polonica A; 2015, 127, 3A; A-51-A-54
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Modelling Emergence of Money
Autorzy:
Górski, A.
Drożdż, S.
Oświęcimka, P.
Powiązania:
https://bibliotekanauki.pl/articles/1538531.pdf
Data publikacji:
2010-04
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
89.75.Fb
05.45.Tp
Opis:
The agent-based computational economic (ACE) model with one free parameter (Thresh) proposed by Yasutomi is analyzed in details. We have found that for a narrow range of the parameter, in the money emergence phase, the money lifetime is finite and the "money switching" effect can be observed for long enough time evolution. Long periods of stability are followed by shorter periods with much shorter money lifetimes. Distributions of the money switching points have been found to have non-Cantor distribution on the time axis, i.e. the Rényi exponents determined by the box-counting algorithm equal 1.0 with high accuracy.
Źródło:
Acta Physica Polonica A; 2010, 117, 4; 676-680
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Wyświetlanie 1-15 z 29

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