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Wyświetlanie 1-15 z 116
Tytuł:
Examination of the international causal directions between rates of return on the price indices of the selected real estate markets in the CEE region using wavelet analysis
Autorzy:
Kołtuniak, M.
Powiązania:
https://bibliotekanauki.pl/articles/1058163.pdf
Data publikacji:
2016-12
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
The objective of this study is to verify the existence of the spillover effects within the complex system of internationally co-integrated real estate and financial markets in the case of the growth rates of the price indices of the direct real estate and indirect real estate investment markets within the selected national economies in the CEE region and to discuss the time stability of their directions, using research methods with physics and econometrics origins. The article considers the case of potential spillover effects between the Polish and Austrian national economies. Presented results have been obtained using wavelet analysis methods, such as wavelet coherency, wavelet phase difference, and wavelet partial phase difference analyses, enabling to check the indicated stability both in the time and frequency domains and to detect any potential structural changes dates. The results have not confirmed the hypotheses that the directions of the mentioned spillover effects displayed time stability in the examined period (Q4 2004-Q4 2014), which disproves the usefulness of the knowledge of the current directions of the indicated effects in the scope of performing long term investment policy, as well as in the scope of projecting the long term internal housing policies and long term internal macroprudential policies within the complex system.
Źródło:
Acta Physica Polonica A; 2016, 130, 6; 1420-1430
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On the Foster-Hart measure of riskiness under cumulative prospect theory
Autorzy:
Chudziak, J.
Halicki, M.
Powiązania:
https://bibliotekanauki.pl/articles/1075428.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
We prove the existence of the Foster-Hart measure of riskiness under the cumulative prospect theory and we study some of its basic properties.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 950-954
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On a Class of Multiattribute Utility Functions Invariant under Shift Transformations
Autorzy:
Chudziak, J.
Powiązania:
https://bibliotekanauki.pl/articles/1538527.pdf
Data publikacji:
2010-04
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
We consider a class of multiattribute utility functions which are invariant with respect to the shifts having identical parameters for each attribute.
Źródło:
Acta Physica Polonica A; 2010, 117, 4; 673-675
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Positive Homogeneity of the Principle of Equivalent Utility
Autorzy:
Chudziak, J.
Chudziak, M.
Sobek, B.
Powiązania:
https://bibliotekanauki.pl/articles/1398843.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
We prove that if the principle of equivalent utility under the cumulative prospect theory is positively homogeneous on a relatively small family of risks for every non-negative initial wealth level, then a value function is linear for gains and losses, but, in general, it needs not be linear.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 941-944
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Propensity Score Matching and Its Application to Risk Drivers Detection in Financial Setting
Autorzy:
Karwański, M.
Grzybowska, U.
Powiązania:
https://bibliotekanauki.pl/articles/1398844.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
In credit risk scoring models are used as a tool to evaluate the level of risk associated with applicants or customers. The aim of these models is not only to estimate the probability that the client will not be able to fulfill his financial commitments but also to identify and estimate the risk drivers i.e., client attributes that are responsible for risk occurrence. Unfortunately, scoring models are built based on historic data stored by bank over the clients. Selection of clients is not random. This leads to systematic errors. Therefore one seeks methods that allow for a model correction that enables application of statistical inference. Quasi-experimental designs are practical solutions to this dilemma. One of such methods is propensity score matching. Propensity score matching allows also for detecting risk drivers that are independent of borrowers attributes, e.g., triggered by various bank strategies. The aim of our research is to apply propensity score matching methodology to identify these risk drivers in credit risk that could not be detected e.g., by regression models.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 945-949
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On the Conditional Behavior of Stock Market Volatility: A Sub-Sample Analysis Using the FIGARCH Approach for Developed and Emerging Markets
Autorzy:
Bentes, S.
Powiązania:
https://bibliotekanauki.pl/articles/1398885.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
Long memory has always played a central role in physics since it was first discovered by Hurst while studying the flow of the River Nile. Interestingly, after his seminal work, many other researchers found the same pattern in other domains of science, such as biology, economics and finance. These studies have mainly relied on the use of the Hurst exponents as a measure of the degree of memory in a process. In this paper we use a different approach based on the FIGARCH (fractional integrated generalized autoregressive conditionally heteroskedasticity) model proposed by Baillie et al. in order to analyze the long memory behavior of stock market volatility. More specifically, we compare how the long memory parameter evolves before and after the 2008 and 2012 crises in both developed and emerging markets. Specifically, we consider the daily returns of the S&P 500, STOXX 50, FTSE 100, NIKKEI 225, HSI, BUX, WIG, SSE, IDX and KLCI indices for the period from October 1, 2003 to October 2, 2015 and then split the whole sample into four sub-samples of roughly three years each. Results show different patterns for the pre and post crisis periods revealing that the degree of memory differs in accordance with the country's development and the level of market turbulence. In particular, we found that major mature economies present higher levels of long memory than emerging countries and were more affected by the 2008 and 2012 crises.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 997-1003
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Revealing Ownership Structure of Funds Using Minimum Spanning Tree
Autorzy:
Rešovský, M.
Gróf, M.
Horváth, D.
Gazda, V.
Powiązania:
https://bibliotekanauki.pl/articles/1377836.pdf
Data publikacji:
2014-12
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
The traditional method of analysing a time series of stocks and funds is to use simple Pearson correlations. However, experience shows that cross-correlations are not an accurate indicator of the mutual ownership relations. We show that the minimum spanning tree methodology, previously used to perform more comprehensive studies of asset returns correlations, can be used to deduce the underlying ownership structure with reasonable accuracy. We also show that adjusting the time series for a common trend of stocks and subsequent filtering of the short term variations of returns using the ARIMA model is a prerequisite for this application of the minimum spanning tree.
Źródło:
Acta Physica Polonica A; 2014, 126, 6; 1322-1326
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Scale Invariance of Principle of Equivalent Utility under Cumulative Prospect Theory
Autorzy:
Chudziak, J.
Halicki, M.
Wójcik, S.
Powiązania:
https://bibliotekanauki.pl/articles/1388334.pdf
Data publikacji:
2015-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
In 1984 A. Reich proved that under Expected Utility Theory, a scale invariance of the Principle of Equivalent Utility just for two particular values of parameters implies its scale invariance. In this paper, we extend this result onto the Principle of Equivalent Utility under Cumulative Prospect Theory.
Źródło:
Acta Physica Polonica A; 2015, 127, 3A; A-29-A-32
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Modelling of Short Term Interest Rate Based on Fractional Relaxation Equation
Autorzy:
Jaworska, K.
Powiązania:
https://bibliotekanauki.pl/articles/1812234.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
In this paper, we try to model the dynamics of short term interest rate using the fractional nonhomogeneous differential equation with stochastic free term. This type of equation is similar to one which represents the viscoelastic behavior of certain materials from rheologic point of view. As a final result we obtain the closed formula for prices of zero-coupon bonds. They are analogous to those in Vasiček model, where instead of the exponential functions we have the Mittag-Leffler ones.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 613-618
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Econophysics as a Cause of a Scientific Revolution in Mainstream Economics
Autorzy:
Jakimowicz, A.
Powiązania:
https://bibliotekanauki.pl/articles/1029051.pdf
Data publikacji:
2018-06
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
The aim of this article is to establish whether econophysics can cause a scientific revolution and fundamentally change the image of mainstream economics. Science development processes were carefully analysed by Kuhn, who even created a specific vocabulary for it. The most important phrases include paradigm and scientific community. When comparing the disciplinary matrices of econophysics and economics, it has to be stressed that despite the absolute compatibility of the goals of both sciences, econophysics is not - as postulated from time to time - a new econometric approach that entails the application of physics in studies of economics, but rather it is a scientific field totally different from economics. The disproportion between the disciplinary matrices of both sciences regards such elements as symbolic generalisations, models, values, and exemplars. Therefore, it seems that progressive accumulation of knowledge in economics will reveal new anomalies as well as deepen existing ones, making a paradigm shift inevitable. A scientific revolution should be expected at an international level, and in such countries as Poland it will be external and forced. The reasons for that lie in psychology and history. In 1989, in Poland and in other post-socialist countries, a rapid change in the disciplinary matrix of economics occurred and involved the replacement of the socialist economic paradigm with the capitalist economic paradigm. Another scientific revolution of such nature is right around the corner and entails replacing the disciplinary matrix of economics with the transdisciplinary matrix of econophysics. Since Polish economists have tried very hard to resist such a great number of changes, the paradigm shift will require deep involvement and much work from young scholars.
Źródło:
Acta Physica Polonica A; 2018, 133, 6; 1339-1347
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Modeling Correlations in Operational Risk
Autorzy:
Karwański, M.
Grzybowska, U.
Powiązania:
https://bibliotekanauki.pl/articles/1029524.pdf
Data publikacji:
2018-06
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
The key demand for banks' economic capital methodology is to ensure that the model covers all relevant sources of risk in the right way. Operational risk models treat the arising losses as stochastic variables. One of the problems encountered in modeling is the need of taking into account correlations between events. It is possible to build models for correlated events based on copula functions. But the problem is that the losses are related to isolated events and simple applications of copulas are not allowed. The authors present a new algorithm that shows a modified application of copulas to calculating operational risk. The calculations were done on real data that allows for examining the correlation impact on risk measurement. As an additional evaluation of the algorithm a reference model based on the Pareto-Lévy copulas was used.
Źródło:
Acta Physica Polonica A; 2018, 133, 6; 1402-1407
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Variance-optimal hedging for the process based on non-extensive statistical mechanics and Poisson jumps
Autorzy:
Zhao, Pan
Xiao, Qingxian
Powiązania:
https://bibliotekanauki.pl/articles/1065051.pdf
Data publikacji:
2016-06
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
In this study, we consider a minimum-variance hedging problem in an incomplete market, in which the risky asset is driven by the process based on non-extensive statistical mechanics and Poisson jumps. Using the stochastic control theory and backward stochastic differential equation method, we obtain a closed-form solution for the minimum-variance hedging policy.
Źródło:
Acta Physica Polonica A; 2016, 129, 6; 1252-1256
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Utility Functions Invariant with Respect to Some Classes of Shifts
Autorzy:
Chudziak, J.
Powiązania:
https://bibliotekanauki.pl/articles/1400165.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
A utility function U is said to be invariant with respect to a family of transformations Γp provided, for every member γ of Γp, U and Uırc γ represent the same preference relation over lotteries. An invariance with respect to a wide class of transformations can be reduced to an invariance with respect to the shift transformations. We give a complete answer to the following question: given a nonempty set T of shifts determine all utility functions invariant with respect to the shift transformations by every element of T. As a consequence of our results we obtain the forms of utility functions invariant with respect to the families of commuting transformations.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 508-512
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On a Class of One-Switch Multiattribute Utility Functions
Autorzy:
Chudziak, J.
Powiązania:
https://bibliotekanauki.pl/articles/1408880.pdf
Data publikacji:
2012-02
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
We determine the functional forms of a class of multiattribute utility functions that lead to zero-switch change in preferences between multi-period cash flows when a decision maker's initial wealth increases through an annuity that pays a constant amount every time period.
Źródło:
Acta Physica Polonica A; 2012, 121, 2B; B-11-B-15
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Behavior of Exchange Rates and Returns: Long Memory and Cointegration
Autorzy:
Syczewska, E.
Powiązania:
https://bibliotekanauki.pl/articles/1408905.pdf
Data publikacji:
2012-02
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.GH
Opis:
The aim of the paper is to present an example of analysis of exchange rate behavior with use of tools, built in GRETL econometric package, which have been developed by researchers often with background in physics or similar fields, but some (such as tests of integration and cointegration) are less known to physical audience. The series of interest is a bilateral USDPLN exchange rate; including the corresponding stock indices as additional variables can improve quality of a model even in period of crisis.
Źródło:
Acta Physica Polonica A; 2012, 121, 2B; B-121-B-127
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Wyświetlanie 1-15 z 116

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