VittingNowakRotundoEtAl2009

Référence

Vitting Andersenn, J., Nowak, A., Rotundo, G., Parrott, L. (2009) Tremor price dynamics in the world's network of stock exchanges. ArXiv e-prints. (URL )

Résumé

We use insight from a model of earth tectonic plate movement to obtain a new understanding of the build up and release of stress in the price dynamics of the worlds stock exchanges. Nonlinearity enters the model due to a behavioral attribute of humans reacting disproportionately to big changes. This nonlinear response allows us to classify price movements of a given stock index as either being generated due to specific economic news for the country in question, or by the ensemble of the worlds stock exchanges reacting together like a complex system. Similar in structure to the Capital Asset Pricing Model in Finance, the model predicts how an individual stock exchange should be priced in terms of the performance of the global market of exchanges, but with human behavioral characteristics included in the pricing. A number of the models assumptions are validated against empirical data for 24 of the worlds leading stock exchanges. We show how treshold effects can lead to synchronization in the global network of stock exchanges.

Format EndNote

Vous pouvez importer cette référence dans EndNote.

Format BibTeX-CSV

Vous pouvez importer cette référence en format BibTeX-CSV.

Format BibTeX

Vous pouvez copier l'entrée BibTeX de cette référence ci-bas, ou l'importer directement dans un logiciel tel que JabRef .

@ARTICLE { VittingNowakRotundoEtAl2009,
    AUTHOR = { Vitting Andersenn, J. and Nowak, A. and Rotundo, G. and Parrott, L. },
    TITLE = { Tremor price dynamics in the world's network of stock exchanges },
    JOURNAL = { ArXiv e-prints },
    YEAR = { 2009 },
    NOTE = { CEFRSC },
    ABSTRACT = { We use insight from a model of earth tectonic plate movement to obtain a new understanding of the build up and release of stress in the price dynamics of the worlds stock exchanges. Nonlinearity enters the model due to a behavioral attribute of humans reacting disproportionately to big changes. This nonlinear response allows us to classify price movements of a given stock index as either being generated due to specific economic news for the country in question, or by the ensemble of the worlds stock exchanges reacting together like a complex system. Similar in structure to the Capital Asset Pricing Model in Finance, the model predicts how an individual stock exchange should be priced in terms of the performance of the global market of exchanges, but with human behavioral characteristics included in the pricing. A number of the models assumptions are validated against empirical data for 24 of the worlds leading stock exchanges. We show how treshold effects can lead to synchronization in the global network of stock exchanges. },
    KEYWORDS = { Quantitative Finance - General Finance, Physics - Physics and Society, Quantitative Finance - Statistical Finance },
    OWNER = { Luc },
    TIMESTAMP = { 2010.10.05 },
    URL = { http://adsabs.harvard.edu/abs/2009arXiv0912.3771V },
}

********************************************************** *************************** FRQNT ************************ **********************************************************

Le CEF est un
regroupement stratégique du

********************************************************** *********************** Infolettre *********************** **********************************************************

Abonnez-vous à
l'Infolettre du CEF!

********************************************************** ***************** Pub - Chenilles espionnes ****************** **********************************************************

**********************************************************

***************** Pub - Symphonies_Boreales ****************** **********************************************************

********************************************************** ***************** Boîte à trucs *************** **********************************************************

CEF-Référence
La référence vedette !

  • Voici une liste (clairement incomplète) des packages R axés sur l'écologie! N'hésitez pas à ajouter à la liste

Voir les autres...