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Hidden Noise Structure and Random Matrix Models of Stock Correlations
Hidden Noise Structure Random Matrix Models Stock Correlations
2010/11/2
We find a novel correlation structure in the residual noise of stock market returns that is remarkably linked to the composition and stability of the top few significant factors driving the returns, a...
On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses
GCC stock markets oil prices linear and nonlinear analyses
2010/11/1
This paper examines the short-run relationships between oil prices and GCC stock markets. Since GCC countries are major world energy market players, their stock markets may be susceptible to oil price...
Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
stock market crash financial bubble Chinese markets rational expectation bubble herding
2010/11/2
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of bi...
Empirical regularities of opening call auction in Chinese stock market
Econophysics Order-driven markets Opening call action Limit-order book Microstructure theory
2010/11/1
We study the statistical regularities of opening call auction using the ultra-high-frequency data of 22 liquid stocks traded on the Shenzhen Stock Exchange in 2003. The distribution of the relative pr...
The Spread of the Credit Crisis: View from a Stock Correlation Network
networks econophysics equities stock market correlation credit crisis
2010/10/29
The credit crisis roiling the world’s financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however,demons...
Simplified stock markets described by number operators
Stock markets Canonical commutation relations
2010/11/1
In this paper we continue our systematic analysis of the operatorial approach previously
proposed in an economical context and we discuss a mixed toy model of a simplified stock market, i.e. a model ...
Stock markets and quantum dynamics: a second quantized description
Stock markets quantum dynamics
2010/11/1
In this paper we continue our descriptions of stock markets in terms of some non abelian operators which are used to describe the portfolio of the various traders and other observable quantities. Afte...
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...
Using transfer entropy, we observed the strength and direction of information flow between stock indices. We uncovered that the biggest source of information flow is America. In contrast, the Asia/Pac...
Empirical shape function of limit-order books in the Chinese stock market
Empirical shape function limit-order books Chinese stock market
2010/12/13
We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange...
Scaling and Memory Effect in Volatility Return Interval of the Chinese Stock Market
Scaling Memory Effect Volatility Return Interval Chinese Stock Market
2010/12/20
We investigate the probability distribution of the volatility return intervals $\tau$ for the Chinese stock market. We rescale both the probability distribution $P_{q}(\tau)$ and the volatility return...
Cross-correlations in Warsaw Stock Exchange
Statistical Finance Data Analysis Statistics Probability Physics Society
2010/12/16
We study the inter-stock correlations for the largest companies listed on Warsaw Stock Exchange and included in the WIG20 index. Our results from the correlation matrix analysis indicate that the Poli...
Critical comparison of several order-book models for stock-market fluctuations
order-book models stock-market fluctuations
2010/12/13
Far-from-equilibrium models of interacting particles in one dimension are used as a basis for modelling the stock-market fluctuations. Particle types and their positions are interpreted as buy and sel...
Multifractal analysis of Chinese stock volatilities based on partition function approach
Multifractal analysis Chinese stock partition function approach
2010/12/13
We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function...
Stock Returns, Order Imbalances, and Commonality: Evidence on Individual, Institutional, and Proprietary Investors in China主讲人 Prof. Jun CaiCity University of Hong Kong