1,720,974 research outputs found
Modeling and Simulation of an Artificial Stock Option Market
No full textSince their introduction in 1973, options have become an important and very popular financial instrument. However, despite much research performed on the subject, the effects of option trading on the underlying asset market are still debated. Both empirical and theoretical studies have failed to point out how price volatility and volumes of the underlying asset are affected. In this paper we present the first study on the effects of an option market related to an underlying stock market, using an artificial financial market based on heterogeneous agents. We modeled a realistic European option using two market models. The microstructure of the first model is kept as simple as possible, being composed only of random traders. The second model is more complex and realistic, involving the presence of various kinds of trading strategies (random, fundamentalist and chartist). We show that the introduction of options, in the proposed models, tends to decrease the volatility of the underlying stock price. Moreover, the traders’ wealth can be strongly affected by the use of option hedging
Using an artificial financial market for assessing the impact of Tobin-like transaction taxes
No full textThe Tobin tax is a solution proposed by many economists for limiting the speculation in foreign exchange and stock markets and for making these markets stabler. In this paper we present a study on the effects of a transaction tax on one and on two related markets, using an artificial financial market based on heterogeneous agents.
The microstructure of the market is composed of four kinds of traders: random traders, fundamentalists, momentum traders and contrarians, and the resources allocated to them are limited. In each market it is possible to levy a transaction tax. In the case of two markets, each trader can choose in which market to trade, and an attraction function is defined that drives their choice based on perceived profitability. We performed extensive simulations and found that the tax actually increases volatility and decreases trading volumes. These findings are discussed in the paper
Non-Xpers: una analisi empirica sulla soddisfazione dei processi di sviluppo software adottati e possibili implicazioni
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Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Variations on the Author
Full text link“Variations on the Author” discusses two of Eduardo Coutinho’s recent films (Um Dia na Vida, from 2010, and Últimas Conversas, posthumously released in 2015) and their contribution to the general question of documentary authorship. The director’s filmography is characterized by a consistent yet self-effacing form of authorial self-inscription: Coutinho often features as an interviewer that rather than express opinions propels discourses; an interviewer that is good at listening. This mode of self-inscription characterizes him as an author who is not expressive but who is nonetheless markedly present on the screen. In Um Dia na Vida, however, Coutinho is completely absent form the image, while Últimas Conversas, on the contrary, includes a confessional prologue that moves the director from the margins to the center of his films. This article examines the ways in which these works stand out in the filmography of a director who offers new insights into the notion of cinematic authorship
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