کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1891144 1533637 2016 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Exploring the dynamics of financial markets: from stock prices to strategy returns
ترجمه فارسی عنوان
بررسی پویایی بازارهای مالی: از قیمت سهام به بازده استراتژی
کلمات کلیدی
نوسان، قیمت گذاری گزینه وحشت بازار، دینامیک استراتژی
موضوعات مرتبط
مهندسی و علوم پایه فیزیک و نجوم فیزیک آماری و غیرخطی
چکیده انگلیسی

Exploring the dynamics of financial time-series is an exciting and interesting challenge because of the many truly complex interactions that underly the price formation process. In this contribution we describe some of the anomalous statistical features of such time-series and review models of the price dynamics both across time and across the universe of stocks. In particular we discuss a non-Gaussian statistical feedback process of stock returns which we have developed over the past years with the particular application of option pricing. We then discuss a cooperative model for the correlations of stock dynamics which has its roots in the field of synergetics, where numerical simulations and comparisons with real data are presented. Finally we present summarized results of an empirical analysis probing the dynamics of actual trading strategy return streams.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Chaos, Solitons & Fractals - Volume 88, July 2016, Pages 59–74
نویسندگان
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