کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
979541 | 933365 | 2007 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Persistence and financial markets
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The persistence phenomenon is studied in a financial context by using a novel mapping of the time evolution of the values of shares in a portfolio onto Ising spins. The method is applied to historical data from the London Financial Times Stock Exchange 100 index (FTSE 100) over an arbitrarily chosen period. By following the time dependence of the spins, we find evidence for a power law decay of the proportion of shares that remain either above or below their 'starting' values. As a result, we estimate a persistence exponent for the underlying financial market to be â0.5. Preliminary results from computer simulations on persistence in the economic dynamics of a toy model appear to reproduce the behaviour observed in real markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 383, Issue 1, 1 September 2007, Pages 22-27
Journal: Physica A: Statistical Mechanics and its Applications - Volume 383, Issue 1, 1 September 2007, Pages 22-27
نویسندگان
S. Jain,