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Statistical Properties of Cross-Correlation in the Korean Stock Market
correlation matrix random matrix theory markowitz portfolio theory
2010/10/22
We investigate the statistical properties of the correlation matrix between individual stocks traded in the Korean stock market using the random matrix theory (RMT) and observe how these affect the po...
Statistical causes for the Epps effect in microstructure noise
Statistical Epps effect microstructure noise
2010/10/21
We present two statistical causes for the distortion of correlations on high-frequency financial data. We demonstrate that the asynchrony of trades as well as the decimalization of stock prices has a...
Statistical and Multifractal Properties of the Time Series Generated by a Modified Minority Game
Statistical Multifractal Properties Time Series
2010/10/21
In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price dynamics on the ab...
Statistical Regularities of Equity Market Activity
Statistical Regularities Equity Market Activity
2010/11/3
Equity activity is an essential topic for financial market studies. To explore its statistical reg-ularities, we comprehensively examine the trading value, a measure of the equity activity, of the 331...
Statistical Arbitrage and Optimal Trading with Transaction Costs in Futures Markets
Statistical Arbitrage Optimal Trading Transaction Costs Futures Markets
2010/12/13
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the ...