Search results for "FINANCIAL MARKET"
showing 10 items of 198 documents
Scaling laws of strategic behavior and size heterogeneity in agent dynamics
2008
The dynamics of many socioeconomic systems is determined by the decision making process of agents. The decision process depends on agent's characteristics, such as preferences, risk aversion, behavioral biases, etc.. In addition, in some systems the size of agents can be highly heterogeneous leading to very different impacts of agents on the system dynamics. The large size of some agents poses challenging problems to agents who want to control their impact, either by forcing the system in a given direction or by hiding their intentionality. Here we consider the financial market as a model system, and we study empirically how agents strategically adjust the properties of large orders in orde…
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…
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.
Parameter-free density functional for the correlation energy in two dimensions
2010
Accurate treatment of the electronic correlation in inhomogeneous electronic systems, combined with the ability to capture the correlation energy of the homogeneous electron gas, allows to reach high predictive power in the application of density-functional theory. For two-dimensional systems we can achieve this goal by generalizing our previous approximation [Phys. Rev. B 79, 085316 (2009)] to a parameter-free form, which reproduces the correlation energy of the homogeneous gas while preserving the ability to deal with inhomogeneous systems. The resulting functional is shown to be very accurate for finite systems with an arbitrary number of electrons with respect to numerically exact refer…
Colle-Salvetti-type local density functional for the exchange-correlation energy in two dimensions
2010
We derive an approximate local density functional for the exchange-correlation energy to be used in density-functional calculations of two-dimensional systems. In the derivation we employ the Colle-Salvetti wave function within the scheme of Salvetti and Montagnani [Phys. Rev. A 63, 052109 (2001)] to satisfy the sum rule for the exchange-correlation hole. We apply the functional for the two-dimensional homogeneous electron gas as well as to a set of quantum dots and find a very good agreement with exact reference data.
Semi-local density functional for the exchange-correlation energy of electrons in two dimensions
2010
We present a practical and accurate density functional for the exchange-correlation energy of electrons in two dimensions. The exchange part is based on a recent two-dimensional generalized-gradient approximation derived by considering the limits of small and large density gradients. The fully local correlation part is constructed following the Colle-Salvetti scheme and a Gaussian approximation for the pair density. The combination of these expressions is shown to provide an efficient density functional to calculate the total energies of two-dimensional electron systems such as semiconductor quantum dots. Excellent performance of the functional with respect to numerically exact reference da…
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…
Global Powers and the International Currencies: What Does the Last Years Suggest for the Future?
2018
Starting from the literature that identifies different factors which determine whether a currency plays a global role, we propose an analysis of international status of major currencies using the following criteria: the demographic, economic, commercial, and financial size and importance of the currency issuer, the currency issuer’s financial market, and the history of using currency. We consider that the international use of a currency is mainly defined by the issuer’s place in the global economy, including its share of world trade and the size of its economy and financial market. The US dollar’s reference position was less influenced by the introduction of the euro, but nowadays it may be…
Financial Market Development in Emerging Asia: the Corporate Governance Perspective (Presentation Slides)
2018
Presentation on why Asia is different from Europe and the USA from a corporate governance perspective: weak formal institutions (e.g. law enforcement), diverse informal institutions (e.g. in terms of social elite) and with institutional dynamism (ongoing development of regulations, e.g. privatization) using economic liberalization as primary engine of growth.
Limit theorems and price changes in financial markets
1998
Abstract We discuss the relation between limit theorems in probability theory and price change statistics in financial markets. An analysis of the published empirical results and theoretical models show that the problem of the statistical properties of price (or index) changes is still open. By using the limit theorems of probability theory and the current assumption that stock prices are well described by martingales, we point out that the probability density function (PDF) of price changes is expected to belong to theclass of infinitely divisible PDFs.