کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7375296 | 1480068 | 2018 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The consentaneous model of the financial markets exhibiting spurious nature of long-range memory
ترجمه فارسی عنوان
مدل توجیهی بازارهای مالی، ماهیت فریب حافظه بلندمدت را نشان می دهد
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کلمات کلیدی
بازارهای مالی، حافظه جعلی، محاسبات تصادفی، مدل سازی مبتنی بر عامل، رفتار مخرب،
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
چکیده انگلیسی
It is widely accepted that there is strong persistence in the volatility of financial time series. The origin of the observed persistence, or long-range memory, is still an open problem as the observed phenomenon could be a spurious effect. Earlier we have proposed the consentaneous model of the financial markets based on the non-linear stochastic differential equations. The consentaneous model successfully reproduces empirical probability and power spectral densities of volatility. This approach is qualitatively different from models built using fractional Brownian motion. In this contribution we investigate burst and inter-burst duration statistics of volatility in the financial markets employing the consentaneous model. Our analysis provides an evidence that empirical statistical properties of burst and inter-burst duration can be explained by non-linear stochastic differential equations driving the volatility in the financial markets. This serves as an strong argument that long-range memory in finance can have spurious nature.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 505, 1 September 2018, Pages 1075-1083
Journal: Physica A: Statistical Mechanics and its Applications - Volume 505, 1 September 2018, Pages 1075-1083
نویسندگان
V. Gontis, A. Kononovicius,