Results 1 to 10 of about 261 (32)

Competition of Commodities for the Status of Money in an Agent-based Model [PDF]

, 2014
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
Drożdż, Stanisław, Górski, Andrzej Z., Gębarowski, Robert, Oświęcimka, Paweł   +3 more
core   +1 more source

Structure and temporal change of the credit network between banks and large firms in Japan [PDF]

, 2009
We present a new approach to understanding credit relationships between commercial banks and quoted firms, and with this approach, examine the temporal change in the structure of the Japanese credit network from 1980 to 2005.
Aoyama, Hideaki, Fujiwara, Yoshi, Ikeda, Yuichi, Iyetomi, Hiroshi, Souma, Wataru   +4 more
core   +3 more sources

Minding impacting events in a model of stochastic variance [PDF]

, 2011
We introduce a generalisation of the well-known ARCH process, widely used for generating uncorrelated stochastic time series with long-term non-Gaussian distributions and long-lasting correlations in the (instantaneous) standard deviation exhibiting a ...
AM Reynolds, AT Skjeltorp, AY Khrennikov, B Hoskins, B Pobodnik, B Podobnik, BM Hill, C Beck, C Beck, C Beck, C Dose, C Gourieroux, C Tsallis, C-K Peng, CWJ Granger, Evaldo M. F. Curado, F Clementi, Fabio Rapallo, Fernando D. Nobre, G Zumbach, GW Flake, HE Roman, I Giardina, IS Gradshteyn, J Barunik, J Voit, JD Martin-Guerrero, JP Bouchaud, JP Bouchaud, L Borland, L Borland, L Borland, M Dacorogna, M Gell-Mann, M Gell-Mann, M Porto, MA Hauser, MH DeGroot, P Embrechts, P Gronke, PG Donaldson, RF Engle, RN Mantegna, S Campbell, S Lee, S Thurner, SM Duarte Queirós, SM Duarte Queirós, SMD Queirós, SMD Queirós, Sílvio M. Duarte Queirós, T Bollerslev, T Lux, TG Andersen, Z Ding   +54 more
core   +4 more sources

The fine-structure of volatility feedback I: multi-scale self-reflexivity

, 2013
We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today's volatility can be expressed as a general quadratic form of the past daily returns.
Akaike, Bacry, Bekaert, Blanc, Blanc, Bollerslev, Bollerslev, Borland, Bouchaud, Bouchaud, Bouchaud, Calvet, Chicheportiche, Cont, Cutler, Engle, Fair, Filimonov, Floros, Hagan, Hardiman, He, Henry-Labordère, Heston, Jean-Philippe Bouchaud, Joulin, Lillo, Ling, Lux, Lynch, Mandelbrot, Mandelbrot, Meng, Muzy, Müller, Parisi, Pomeau, Reigneron, Rogers, Rémy Chicheportiche, Sentana, Shao, Shiller, Sornette, Sornette, Soros, Teyssière, Tóth, Xie, Zawadowski, Zumbach, Zumbach   +51 more
core   +3 more sources

The optimal corridor for implied volatility: from calm to turmoil periods [PDF]

, 2013
Corridor implied volatility is obtained from model-free implied volatility by truncating the integration domain between two barriers. Empirical evidence on volatility forecasting, in various markets, points to the utility of trimming the risk-neutral ...
Muzzioli, S.
core   +1 more source

Note on log-periodic description of 2008 financial crash

, 2010
We analyze the financial crash in 2008 for different financial markets from the point of view of log-periodic function model. In particular, we consider Dow Jones index, DAX index and Hang Seng index.
Bartolozzi, Cajueiro, Drozdz, Drozdz, Drozdz, Drozdz, Feigenbaum, Ijiri, Jiang, Johansen, Johansen, Johansen, Katarzyna Bolonek-Lason, Laloux, Laloux, Laloux, Onsager, Oswiecimka, Piotr Kosinski, Plerou, Podobnik, Podobnik, Podobnik, Sornette, Sornette, Sornette, Sornette, Vandewalle, Zhou   +28 more
core   +1 more source

Critical reflexivity in financial markets: a Hawkes process analysis

, 2013
We model the arrival of mid-price changes in the E-Mini S&P futures contract as a self-exciting Hawkes process. Using several estimation methods, we find that the Hawkes kernel is power-law with a decay exponent close to -1.15 at short times, less than ...
Bercot, Nicolas, Bouchaud, Jean-Philippe, Hardiman, Stephen J.   +2 more
core   +1 more source

The new face of multifractality: Multi-branchedness and the phase transitions in time series of mean inter-event times

, 2020
Empirical time series of inter-event or waiting times are investigated using a modified Multifractal Detrended Fluctuation Analysis operating on fluctuations of mean detrended dynamics.
Gubiec, Tomasz, Klamut, Jarosław, Kutner, Ryszard, Struzik, Zbigniew R.   +3 more
core   +1 more source

Community detection for correlation matrices [PDF]

, 2014
A challenging problem in the study of complex systems is that of resolving, without prior information, the emergent, mesoscopic organization determined by groups of units whose dynamical activity is more strongly correlated internally than with the rest ...
Garlaschelli, Diego, MacMahon, Mel
core   +4 more sources

Market panic on different time-scales [PDF]

, 2010
Cross-sectional signatures of market panic were recently discussed on daily time scales in [1], extended here to a study of cross-sectional properties of stocks on intra-day time scales.
Borland, Lisa, Hassid, Yoan
core