Search results for "Econometric"

Economic Sector Identification in a Set of Stocks Traded at the New York Stock Exchange: A Comparative Analysis

2006

We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a set of stocks traded at the New York Stock Exchange. The investigated time series are recorded at a daily time horizon. All the considered methods are able to detect economic information and the presence of clusters characterized by the economic sector of stocks. However, different methodologies provide different information about the considered set. Our comparative analysis suggests that th…

Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode

2007

We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New York, Paris, London, Milano) and with different methods. Result crucially depends on whether the data is restricted to the ``internal'' dynamics of the market, where the ``center of mass'' motion (the market mode) is removed or not. If the market mode is not removed, we find that the structure emerges, as the time-horizon increases, from splitting a single large cluster. In NYSE we find that when the market mode is removed, the structure of correlation at t…

Volatility Effects on the Escape Time in Financial Market Models

2008

We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times with that obtained from real market data. Afterwards we analyze in detail the effect both of noise and different initial conditions on the escape time in a market model with stochastic volatility and a cubic nonlinearity. For this model we compare the PF of the stock price returns, the PF of the volatility and the return correlation with the same statistical characteristics obtained from real market data.

The non-random walk of stock prices: The long-term correlation between signs and sizes

2007

We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this benchmark model is unable to reproduce the diffusion properties of real prices. Specifically, we find that for one hour intervals this model consistently over-predicts the volatility of real price series by about 70%, and that this effect becomes stronger as the length of the intervals increases. By selectively shuffling some components of the data while preserving others we are able to show that this discrepancy is caused by a subtle but long-range non-…

Existence of global weak solutions to the kinetic Peterlin model

2018

Abstract We consider a class of kinetic models for polymeric fluids motivated by the Peterlin dumbbell theories for dilute polymer solutions with a nonlinear spring law for an infinitely extensible spring. The polymer molecules are suspended in an incompressible viscous Newtonian fluid confined to a bounded domain in two or three space dimensions. The unsteady motion of the solvent is described by the incompressible Navier–Stokes equations with the elastic extra stress tensor appearing as a forcing term in the momentum equation. The elastic stress tensor is defined by Kramer’s expression through the probability density function that satisfies the corresponding Fokker–Planck equation. In thi…

Does Competence-Oriented Higher Education Lead to Students’ Competitiveness?

2012

XXI a. būdingi netikrumo sudėtingumo issūkiai, kurie yra postmodernaus gyvenimo ypatumai. Esant pasaulinei ekonomikos krizei labai svarbu turėti aukstąjį issilavinimą, kuris yra didžiulis studentų kompetencijos kėlimo potencialas, o sis sudaro visos tautos kompetencijos pagrindą. Kadangi studentų kompetencijos puoselėjimas glaudžiai susijes su jų verslumo augimu, straipsnyje aptariami kai kurie daktaro disertacijos „Studentų verslumo ugdymas mokymo procese“ (Oganisjana, 2010 b) tyrimai, atkreipiamas dėmesys į siuolaikinio aukstojo mokslo tikslą ugdyti studentų verslumą ir kompetenciją. Verslumo tikslai tradiciskai susije su ekonomika, verslu, vadyba, psichologija, sociologija ir antropologi…

Matrix solutions of diffusion equation

2002

Specialization and herding behavior of trading firms in a financial market

2008

Agent-based models of financial markets usually make assumptions about agent’s preferred stylized strategies. Empirical validations of these assumptions have not been performed so far on a full-market scale. Here we present a comprehensive study of the resulting strategies followed by the firms which are members of the Spanish Stock Exchange. We are able to show that they can be characterized by a resulting strategy and classified in three well- defined groups of firms. Firms of the first group have a change of inventory of the traded stock which is positively correlated with the synchronous stock return whereas firms of the second group show a negative correlation. Firms of the third group…

Technical note: Monte-Carlo dosimetry of the HDR 12i and Plus 192Ir sources.

2001

In this study a complete set of dosimetric data for the GammaMed high dose rate (HDR) 12i and Plus 192 Ir sources are presented. These data have been calculated by means of the Monte Carlo simulation code GEANT3. Absolute dose rate distributions in water are presented as conventional two dimensional (2D) Cartesian look-up tables, and in the TG43 formalism.

Pool punishment in public goods games: How do sanctioners’ incentives affect us?

2021

Abstract Centralized sanctioning in social dilemmas has been shown to increase efficiency with respect to standard decentralized peer punishment. In this context, we explore the impact of sanctioners’ motivations through their payoff scheme, not only on their actions but also on the actions of the monitored individuals. To do so, we compare the implementation of two different payoff schemes for the monitor in a centralized sanctioning framework: (i) a fixed payoff scheme and (ii) a variable payoff scheme contingent on the level of cooperation achieved. We find that providing the sanctioner with a contingent payoff has a negative impact on contributions. This occurs although sanctioners impl…