177,411 research outputs found
Valutazione del comportamento sovra-sottosterzante di un autoveicolo mediante banco handling
No full textDynamics of financial time series in an inhomogeneous framework
No full textIn this paper we provide a microeconomic model to investigate the
long term memory of financial time series of one share. In the
framework we propose, each trader selects a volume of shares to
trade and a strategy. Strategies differ for the proportion of
fundamentalist/chartist evaluation of price. The share price is
determined by the aggregate price. The analyses of volume
distribution give an insight of imitative structure among traders.
The main property of this model is the functional relation between
its parameters at the micro and macro level. This allows an
immediate calibration of the model to the long memory degree of
the time series under examination, therefore opening the way to
the understanding the emergence of stylized facts of the market
through opinion aggregation
Options with underlying asset driven by a fractional brownian motion: crossing barriers estimates
No full textThis paper aims at supplying a decision support system tool to investors having options written on an underlying asset driven by a fractional Brownian motion (fBm). The results presented
here rely on the theory of nonlinear transformations of fBm and provide the calculus of the probability estimate that the underlying asset crosses nonlinear barriers. Recent results stating a
Black and Scholes-like pricing formula for fBm monitor the expected behaviour of options on the basis of the dynamics of the underlying asset. We rely on the results drawn for plain vanilla options, leaving their extension to barrier options for future work. The theory of speculative bubbles due to endogenous causes provides a useful suggestion for the detection of periods in which these results should be used. The application of the above results is shown through the NASDAQ case study
The Role of Diversity in Persistence Aggregation
No full textThis paper deals with the theoretical analysis of the long-term memory property of time series generated by the aggregation of heterogeneous terms. The diversity is captured by the different features, regarding the persistence of each component. It is shown that the memory of the aggregation is driven by the one related to some key components. The argument is carried out by developing an equilibrium model for asset prices in a financial market with heterogeneous agents
Black-Scholes-Schrödinger-Zipf-Mandelbrot model framework for improving a study of the coauthor core score
No full textThe data and findings by Miskiewicz (2013) on the relationship between the number (J) of publications ranked according to their decreasing importance, for some scientist with her/his coauthors (CA), i.e. J α 1/r α, as found in Ausloos (2013), when specific types of publications, i.e. proceedings (in a generalized sense) and peer-review journals, are considered, are reexamined along the Zipf-Mandelbrot law Mandelbrot (1977), i.e. J α 1/(ν+r)ζ. The statistics are much improved. The exponent α and ζ are compared. The m a core value, i.e. the core number of CAs [1] is unaffected, of course. A Black-Scholes-Schrödinger model framework is proposed to describe the findings. © 2014 Elsevier B.V. All rights reserved
Microeconomic modeling of financial time series with long term memory
No full textIn this paper we fix a microeconomic model of exchange rates and we give the explicit relation between model’s parameters and ats long memory properties. This avoids long numerical calibration procedures and allows to build the model with the parameters suitable for the required long memory degree
Evaluation at Rotundo st. 4A in Vilnius
No full text2006 m. vykdyti žvalgomieji archeologiniai tyrinëjimai Vilniuje, A. Rotundo g. 4A. Tyrinëjimai vykdyti sklype, esančiame A. Rotundo g. R pusëje. Sklypo Š, R ir P pakraštys buvo užstatytas vienaukščiais mûriniais gamybinës paskirties pastatais. Nugriovus šiuos statinius, sklype numatyta statyti daugiaaukštį gyvenamąjį namą. Žvalgomųjų archeologinių tyrinëjimų tikslas – nustatyti, ar šioje vietoje yra susiformavęs kultûrinis sluoksnis, ištirti jo pobûdį, storį ir bûklę. Iškasti 5 šurfai (ištirtas 20 m2 plotas). Sklypo P dalyje (šurfe 5) aptiktas griautinis kapas bei dar vieno kapo duobës kraštas. Žvalgomųjų archeologinių tyrinëjimų išvada – bûtina sklypą išsamiai ištirti. Archeologinių tyrinëjimų metu ištirtas 1787 m2 plotas. Tyrinëjimų metu aptikti 56 kapai. Juose rasti 85 žmonių skeletai. Dalyje kapų aptikta po 2–5 skeletus (žmonës palaidoti vienas šalia kito arba keliais lygiais). [...]In 2006 an field evaluation was conducted in Vilnius at A. Rotundo St. 4A. An area of 1787 m2 was excavated. 56 burials were discovered during the investigations. 85 human skeletons (72 males, 2 females, and 8 children) were found. The individuals were buried in coffins, the majority oriented with their heads to the W. Russian Orthodox copper crosses were found in the neck or chest area in eight burials. Copper buttons were found in ten of the burials. These were probably military uniform buttons. That the majority of the individuals were males 20–40 years of age as well as that uniform buttons were found allows one to draw the conclusion that Tsarist Russian army soldiers or officers were buried at this site. No fatal injuries were established during an osteological analysis of the bones. It is conjectured that a cemetery for cholera victims had been at this location in the mid-19th century
Investigating the Configurations in Cross-Shareholding: A Joint Copula-Entropy Approach
No full textThe complex nature of the interlacement of economic actors is quite evident at the level of the Stock market, where any company may actually interact with the other companies buying and selling their shares. In this respect, the companies populating a Stock market, along with their connections, can be effectively modeled through a directed network, where the nodes represent the companies, and the links indicate the ownership. This paper deals with this theme and discusses the concentration of a market. A cross-shareholding matrix is considered, along with two key factors: the node out-degree distribution which represents the diversification of investments in terms of the number of involved companies, and the node in-degree distribution which reports the integration of a company due to the sales of its own shares to other companies. While diversification is widely explored in the literature, integration is most present in literature on contagions. This paper captures such quantities of interest in the two frameworks and studies the stochastic dependence of diversification and integration through a copula approach. We adopt entropies as measures for assessing the concentration in the market. The main question is to assess the dependence structure leading to a better description of the data or to market polarization (minimal entropy) or market fairness (maximal entropy). In so doing, we derive information on the way in which the in- and out-degrees should be connected in order to shape the market. The question is of interest to regulators bodies, as witnessed by specific alert threshold published on the US mergers guidelines for limiting the possibility of acquisitions and the prevalence of a single company on the market. Indeed, all countries and the EU have also rules or guidelines in order to limit concentrations, in a country or across borders, respectively. The calibration of copulas and model parameters on the basis of real data serves as an illustrative application of the theoretical proposal
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