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Wyświetlanie 1-15 z 116
Tytuł:
A Simple Model of Local Prices and Associated Risk Evaluation
Autorzy:
Urbanowicz, K.
Hołyst, J.
Richmond, P.
Powiązania:
https://bibliotekanauki.pl/articles/1812217.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
75.10.Hk
Opis:
A simple spin system is constructed to simulate dynamics of asset prices and studied numerically. The outcome for the distribution of prices is shown to depend both on the dimension of the system and the introduction of price into the link measure. For dimensions below 2, the associated risk is high and the price distribution is bimodal. For higher dimensions, the price distribution is Gaussian and the associated risk is much lower. It is suggested that the results are relevant to rare assets or situations where few players are involved in the deal making process.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 501-506
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A Threshold Model of Financial Markets
Autorzy:
Sieczka, P.
Hołyst, J.
Powiązania:
https://bibliotekanauki.pl/articles/1812221.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
We proposed a model of interacting market agents based on the generalized Ising spin model. The agents can take three actions: "buy", "sell", or "stay inactive". We defined a price evolution in terms of the system magnetization. The model reproduces main stylized facts of real markets such as: fat-tailed distribution of returns and volatility clustering.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 525-530
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Bayesian Forecasting of the Discounted Payoff of Options on WIG20 Index in Discrete-Time SV Models
Autorzy:
Pajor, A.
Powiązania:
https://bibliotekanauki.pl/articles/1812219.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
05.10.Gg
Opis:
In this paper the bivariate stochastic volatility models (with stochastic volatility and stochastic interest rate) and the univariate fat-tailed and correlated stochastic volatility model (with stochastic volatility and constant interest rate) are used in the Bayesian forecasting of the payoff of European call options. The basic instrument is the WIG20 index. The predictive distribution of the discounted payoff is induced by the predictive distribution of the growth rate of the WIG20 index and the WIBOR1m interest rate. The Bayesian inference about the volatilities and the predictive distribution of the discounted payoff function is based on the joint posterior distribution of the latent variables, the parameters, and the predictive distribution of future observations, which we simulate via Markov chain Monte Carlo methods (the Metropolis-Hastings algorithm is used within the Gibbs sampler). The results show that allowing interest rate to be stochastic does not significantly improve forecasting performance of the discounted payoff. The predictive distributions of the discounted payoff are characterised by huge dispersion and thick tails, thus uncertainty about the future value of the payoff was ex-ante very big.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 507-516
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Bounds for Value at Risk for Multiasset Portfolios
Autorzy:
Jaworski, P.
Powiązania:
https://bibliotekanauki.pl/articles/1812235.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
The theory of copulas provides a useful tool for modeling dependence in risk management. In insurance and finance, as well as in other applications, dependence of extreme events is particularly important, hence there is a need for the detailed study of the tail behaviour of the multivariate copulas. In this paper we investigate the class of copulas being the weighted means of copulas having homogeneous lower tails. We show that having only such information on the structure of dependence of returns from assets is enough to get estimates on value at risk of the multiasset portfolio in terms of value at risk of one-asset portfolios.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 619-627
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Cluster Expansion Method for Evolving Weighted Networks Having Vector-Like Nodes
Autorzy:
Ausloos, M.
Gligor, M.
Powiązania:
https://bibliotekanauki.pl/articles/1812216.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.75.Fb
89.65.Gh
89.75.Hc
87.23.Ge
Opis:
The cluster variation method known in statistical mechanics and condensed matter is revived for weighted bipartite networks. The decomposition (or expansion) of a Hamiltonian through a finite number of components, whence serving to define variable clusters, is recalled. As an illustration the network built from data representing correlations between (4) macroeconomic features, i.e. the so-called vector components, of 15 EU countries, as (function) nodes, is discussed. We show that statistical physics principles, like the maximum entropy criterion points to clusters, here in a (4) variable phase space: Gross Domestic Product, Final Consumption Expenditure, Gross Capital Formation and Net Exports. It is observed that the maximum entropy corresponds to a cluster which does not explicitly include the Gross Domestic Product but only the other (3) "axes", i.e. consumption, investment and trade components. On the other hand, the minimal entropy clustering scheme is obtained from a coupling necessarily including Gross Domestic Product and Final Consumption Expenditure. The results confirm intuitive economic theory and practice expectations at least as regards geographical connexions. The technique can of course be applied to many other cases in the physics of socio-economy networks.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 491-499
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Cross-Correlations in Warsaw Stock Exchange
Autorzy:
Rak, R.
Kwapień, J.
Oświęcimka, P.
Drożdż, S.
Powiązania:
https://bibliotekanauki.pl/articles/1812226.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
89.75.-k
Opis:
We study the inter-stock correlations for the largest companies listed on Warsaw Stock Exchange and included in the WIG20 index. Our results from the correlation matrix analysis indicate that the Polish stock market can be well described by a one-factor model. We also show that the stock- stock correlations tend to increase with the timescale of returns and they approach a saturation level for the timescales of at least 200 min, i.e. an order of magnitude longer than in the case of some developed markets. We also show that the strength of correlations among the stocks crucially depends on their capitalization. These results combined with our earlier findings together suggest that now the Polish stock market situates itself somewhere between an emerging market phase and a mature market phase.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 561-568
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Different Fractal Properties of Positive and Negative Returns
Autorzy:
Oświęcimka, P.
Kwapień, J.
Górski, A.
Drożdż, S.
Rak, R.
Powiązania:
https://bibliotekanauki.pl/articles/1812224.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
Opis:
We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using multifractal detrended fluctuation analysis. By calculating the singularity spectra f(α) we show that returns of both signs reveal multiscaling. Curiously, these spectra display a significant difference in the scaling properties of returns with opposite sign. The negative price changes are ruled by stronger temporal correlations than the positive ones, which is manifested by larger values of the corresponding Hölder exponents. As regards the properties of dominant trends, a bear market is more persistent than the bull market irrespective of the sign of fluctuations.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 547-553
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
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
Tytuł:
Minimal Spanning Tree Graphs and Power Like Scaling in FOREX Networks
Autorzy:
Górski, A.
Kwapień, J.
Oświęcimka, P.
Drożdż, S.
Powiązania:
https://bibliotekanauki.pl/articles/1812222.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
89.75.Fb
05.45.Tp
Opis:
Correlation matrices of foreign exchange rate time series are investigated for 60 world currencies. Minimal spanning tree graphs for the gold, silver and platinum are presented. Inverse power like scaling is discussed for these graphs as well as for four distinct currency groups (major, liquid, less liquid and non-tradable). The worst scaling was found for USD and related currencies.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 531-538
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:
New Results on Gain-Loss Asymmetry for Stock Markets Time Series
Autorzy:
Grudziecki, M.
Gnatowska, E.
Karpio, K.
Orłowski, A.
Załuska-Kotur, M.
Powiązania:
https://bibliotekanauki.pl/articles/1812227.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
02.50.r
89.90.+n
Opis:
A method called investment horizon approach was successfully used to analyze stock markets of many different countries. Here we apply a version of this method to study characteristics of the Polish Pioneer mutual funds. We decided to analyze Pioneer because of its longest involvement in investing on the Polish market. Moreover, it apparently manages the biggest amount of money among all similar institutions in Poland. We compare various types of Pioneer mutual funds, characterized by different financial instruments they invest in. Previously, investment horizon approach produced different characteristics of emerging markets as opposed to mature ones, providing a possible way to quantify stock market maturity. Here we generalize the above mentioned results for mutual funds of various types.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 569-574
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On the Empirical Importance of the Conditional Skewness Assumption in Modelling the Relationship between Risk and Return
Autorzy:
Pipień, M.
Powiązania:
https://bibliotekanauki.pl/articles/1812220.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
05.10.Gg
Opis:
We present the results of an application of Bayesian inference in testing the relation between risk and return on the financial instruments. On the basis of the Intertemporal Capital Asset Pricing Model, proposed by Merton we built a general sampling distribution suitable in analysing this relationship. The most important feature of our assumptions is that the skewness of the conditional distribution of returns is used as an alternative source of relation between risk and return. This general specification relates to Skewed Generalized Autoregressive Conditionally Heteroscedastic-in-Mean model. In order to make conditional distribution of financial returns skewed we considered the unified approach based on the inverse probability integral transformation. In particular, we applied hidden truncation mechanism, inverse scale factors, order statistics concept, Beta and Bernstein distribution transformations and also a constructive method. Based on the daily excess returns on the Warsaw Stock Exchange Index we checked the empirical importance of the conditional skewness assumption on the relation between risk and return on the Warsaw Stock Market. We present posterior probabilities of all competing specifications as well as the posterior analysis of the positive sign of the tested relationship.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 517-524
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Report on Foundation and Organization of Econophysics Graduate Courses at Faculty of Physics of University of Warsaw and Department of Physics and Astronomy of the Wrocław University
Autorzy:
Kutner, R.
Grech, D.
Powiązania:
https://bibliotekanauki.pl/articles/1812237.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
01.10.Hx
89.65.Gh
01.40.Di
01.10.-m
Opis:
Two different, working examples of organization of econophysics graduate courses at the Faculty of Physics, University of Warsaw and the Department of Physics and Astronomy of the Wrocław University are considered. In the first example we have a system where the interdisciplinary, econophysical education begins only after three years study of physics. Within this system the M.Sc. as well as Ph.D. theses in econophysics are conducted only at the Faculty of Physics. In the second example the B.Sc. theses in econophysics are accomplished in the Department of Physics and Astronomy again after three years study but higher degrees can be prepared either in physics in the Institute of Theoretical Physics or in economy in the Institute of Economical Sciences. M.Sc. and Ph.D. theses can also be conducted. For both examples, the graduate students of econophysics are obliged to participate in traditional (typical) economical lectures and trainings which are offered them by economical departments while lectures and trainings (tutorials and/or laboratory classes) in econophysics are offered them by physics departments themselves. Thus Poland is one of a few countries, where so modern interdisciplinary knowledge is systematically offered to students.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 637-647
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:
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
Wyświetlanie 1-15 z 116

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