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The nature of price returns during periods of high market activity
price returns periods market activity
2010/10/22
By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evidence that the impact...
Price as a matter of choice and nonstochastic randomness
Derivatives Valuation Decision System Nonstochastic Randomness
2010/10/20
The problem of valuation of a European option is considered as a problem of choice, with price being a decision. A version of indifference valuation relation is proposed that includes statistical regu...
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...
A simple model for asset price bubble formation and collapse
simple model asset price bubble formation and collapse
2010/10/21
We consider a simple stochastic differential equation for modeling bubbles in social context. A prime example is bubbles in asset pricing, but similar mechanisms may control a range of social phenome...
The price impact of order book events: market orders, limit orders and cancellations
price impact market orders limit orders cancellations market microstructure order flow
2010/10/29
While the long-ranged correlation of market orders and their impact on prices has been relatively well studied in the literature, the corresponding studies of limit orders and cancellations are scarce...
Interacting Many-Investor Models, Opinion Formation and Price Formation with Non-extensive Statistics
Many-Investor Models Opinion Formation Price Formation Non-extensive Statistics
2010/10/19
We seek to utilize the nonextensive statistics to the microscopic modeling of the interacting many-investor dynamics that drive the price changes in a market. The statistics of price changes are known...
In this paper we outline initial concepts for an immune inspired algorithm to evaluate price time series data. The proposed solution evolves a short term pool of trackers dynamically through a process...
Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation
Cointegrated Vector Autoregression -stable Approximate Bayesian Computation
2010/10/21
We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in...
Optimal Execution Strategy in the Presence of Price Impact
Price impact impulse control singular control
2010/10/21
We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affecting the price of th...
Price dynamics in financial markets: a kinetic approach
Price dynamics financial markets kinetic approach
2010/10/21
The use of kinetic modelling based on partial differential equations for the dynamics of stock price formation in financial markets is briefly reviewed. The importance of behavioral aspects in market...
Bounds on Stock Price probability distributions in Local-Stochastic Volatility models
Law of the spot price local-stochastic volatility moment explosion
2010/10/20
We show that in a large class of stochastic volatility models with additional skew-functions (local-stochastic volatility models) the tails of the cumulative distribution of the log-returns behave as...
上海财经大学宏观经济学课件Chapter15 Money and Business Cycles I: The Price-Misperceptions Model
上海财经大学 宏观经济学 课件 Chapter15 Money and Business Cycles I The Price-Misperceptions Model
2010/6/28
上海财经大学宏观经济学课件Chapter15 Money and Business Cycles I: The Price-Misperceptions Model。
上海财经大学宏观经济学课件Chapter10 The Demand for Money and the Price Level
上海财经大学宏观经济学 课件 Chapter10 The Demand for Money the Price Level
2010/6/28
上海财经大学宏观经济学课件Chapter10 The Demand for Money and the Price Level。
上海财经大学宏观经济学课件Chapter2 National-Income Accounting: Gross Domestic Product and the Price Level
上海财经大学宏观经济学 课件 Chapter2 National-Income Accounting Gross Domestic Product the Price Level
2010/6/28
上海财经大学宏观经济学课件Chapter2 National-Income Accounting: Gross Domestic Product and the Price Level。
Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look
Market Price Risk Random Field Driven Models Term Structure
2010/10/20
No-arbitrage models of term structure have the feature that the return on zero-coupon bonds is the sum of the short rate and the product of volatility and market price of risk. Well known models rest...