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华中科技大学投资学课件Chapter2 Financial Markets and Instruments
华中科技大学 投资学 课件 Chapter2 Financial Markets and Instruments
2015/5/19
华中科技大学投资学课件Chapter2 Financial Markets and Instruments。
Empirical evidence is given for a significant difference in the collective trend of the share prices during the stock index rising and falling periods. Data on the Dow Jones Industrial Average and its...
Stock loans in incomplete markets
Stock loans indifference pricing illiquid assets incomplete markets
2010/10/22
A stock loan is a contract whereby a stockholder uses shares as collateral to borrow money from a bank or financial institution. In Xia and Zhou (2007), this contract is modeled as a perpetual Americ...
Tail Behavior of the Central European Stock Markets during the Financial Crisis
Financial crisis tail behavior stock markets
2010/12/6
In the paper we research statistical properties of the Central European stock markets. We focus mainly on the tail behavior of the Czech, Polish, and Hungarian stock markets and compare them to the be...
Kinetic models for socio-economic dynamics of speculative markets
kinetic models opinion formation stock market power laws
2010/10/21
In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different traders populations, chartists and fundamentalists, whi...
The endogenous dynamics of markets: price impact and feedback loops
endogenous dynamics markets price impact feedback loops
2010/10/21
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenou...
Stochastic Switching Games and Duopolistic Competition in Emissions Markets
Stochastic Switching Games Duopolistic Competition Emissions Markets
2010/10/18
We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and prod...
An algorithmic information-theoretic approach to the behaviour of financial markets
nancial markets closing price movements stock market algorithmic probability
2010/10/21
Using frequency distributions of daily closing price time series of several financial market indexes, we investigate whether the bias away from an equiprobable sequence distribution found in the data...
Memory effect and multifractality of cross-correlations in financial markets
Econophysics Stock market
2010/10/20
An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock mark...
Pricing options in illiquid markets: optimal systems, symmetry reductions and exact solutions
Pricing options illiquid markets optimal systems symmetry reductions
2010/10/18
We study a class of nonlinear pricing models which involves the feedback effect from the dynamic hedging strategies on the price of asset introduced by Sircar and Papanicolaou. We are first to study ...
Mutual Fund Theorem for continuous time markets with random coefficients
optimal portfolio Mutual Fund Theorem continuous time market models
2010/11/2
We study the optimal investment problem for a continuous time incomplete market model such that the risk-free rate, the appreciation rates and the volatility of the stocks are all random; they are ass...
Waiting Times in Simulated Stock Markets
Simulated Stock Markets Trading and Market Microstructure
2010/12/13
Exploiting a precise reproduction of a stock exchange, the robustness of the Continuous Double Auction (CDA) mechanism, evaluated by means of the waiting time distributions, has been proved versus 36...