کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4636234 | 1340720 | 2006 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Volatility, risk modeling and utility
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Volatility, risk modeling and utility Volatility, risk modeling and utility](/preview/png/4636234.png)
چکیده انگلیسی
This article develops the foundations for several new models of risk and volatility. Methods used include utility analysis and mathematical psychology. Risk and volatility can be modeled as aggregations of preferences of market participants, and or optimization problems. Market risk assessment is a multi-criteria process that typically requires information processing, and thus cannot be defined accurately by rigid quantitative models. Existing market-risk models (GARCH, ARMA, S-V, VAR, etc.) are inaccurate. Its possible to quantify elements of trading dynamics and market psychology, and hence develop more accurate risk models. Areas for further research include: (a) development of dynamic market-risk models that incorporate psychology, more elements of trading dynamics, knowledge differences, information, and trading rules in each market; and (b) further development of concepts in belief systems.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 182, Issue 2, 15 November 2006, Pages 1749-1754
Journal: Applied Mathematics and Computation - Volume 182, Issue 2, 15 November 2006, Pages 1749-1754
نویسندگان
Michael Nwogugu,