Library

X
feed icon rss

Your email was sent successfully. Check your inbox.

An error occurred while sending the email. Please try again.

Proceed reservation?

Export
Filter
  • Articles: DFG German National Licenses  (5)
  • 2000-2004  (5)
  • 1990-1994
  • 1960-1964
  • 1950-1954
  • 1925-1929
  • 1890-1899
  • 1830-1839
  • 2003  (5)
  • 1830
  • 93C99  (3)
  • PACS. 89.65.Gh Economics, business, and financial markets  (2)
  • 1
    Electronic Resource
    Electronic Resource
    Modeling and asset allocation for financial markets based on a discrete time microstructure model (2003)
    Springer
    The European physical journal 31 (2003), S. 285-293 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 89.65.Gh Economics, business, and financial markets
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: On the basis of the market microstructure theory and the continuous time stochastic volatility-style microstructure model, a discrete time stochastic volatility microstructure model with state-observability is proposed for describing the dynamics of financial markets. From the discrete time microstructure model proposed, estimates of two immeasurable state variables representing the market excess demand and liquidity respectively may be obtained. A simple trading strategy for dynamic asset allocation, based on the indirectly obtained excess demand information instead of the prediction for price, is presented. An approach to the estimation of the discrete time microstructure model using the extended Kalman filter and the maximum likelihood method is also presented. Case studies on financial market modeling and the estimated model-based asset dynamic allocation control for the JPY/USD (Japanese Yen/US Dollar) exchange rate and Japan TOPIX (TOkyo stock Price IndeX) show satisfactory modeling precision and control performance.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1140/epjb/e2003-00033-7
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 2
    Electronic Resource
    Electronic Resource
    Bubbles, crashes and intermittency in agent based market models (2003)
    Springer
    The European physical journal 31 (2003), S. 421-437 
    Details
    ISSN: 1434-6036
    Keywords: PACS. 89.65.Gh Economics, business, and financial markets
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the possibility of not participating to the market. The price is updated according to the excess demand, and the wealth of the agents is properly accounted for. Only two parameters play a significant role: one describes the impact of trading on the price, and the other describes the propensity of agents to be trend following or contrarian. We observe three different regimes, depending on the value of these two parameters: an oscillating phase with bubbles and crashes, an intermittent phase and a stable `rational' market phase. The statistics of price changes in the intermittent phase resembles that of real price changes, with small linear correlations, fat tails and long range volatility clustering. We discuss how the time dependence of these two parameters spontaneously drives the system in the intermittent region. We analyze quantitatively the temporal correlation of activity in the intermittent phase, and show that the `random time strategy shift' mechanism that we proposed earlier allows one to understand the observed long ranged correlations. Other mechanisms leading to long ranged correlations are also reviewed. We discuss several other issues, such as the formation of bubbles and crashes, the influence of transaction costs and the distribution of agents wealth.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1140/epjb/e2003-00050-6
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 3
    Electronic Resource
    Electronic Resource
    Controllability of a class of hybrid dynamic systems (III)—Multiple time-delay case (2003)
    Springer
    Applied mathematics and mechanics 24 (2003), S. 1063-1074 
    Details
    ISSN: 1573-2754
    Keywords: hybrid dynamic system ; switched linear system ; time-delay ; controllability ; controllable set ; switching sequence ; switching path ; TP13 ; TP273 ; O317 ; 93B05 ; 93B27 ; 93C99
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mechanical Engineering, Materials Science, Production Engineering, Mining and Metallurgy, Traffic Engineering, Precision Mechanics , Mathematics , Physics
    Notes: Abstract The controllability for switched linear systems with time-delay in controls is first investigated. The whole work contains three parts. This is the third part. The definition and determination of controllability of switched linear systems with multiple time-delay in control functions is mainly investigated. The sufficient and necessary conditions for the one-periodic, multiple-periodic controllability of periodic-type systems and controllability of aperiodic systems are presented, respectively. Finally, the case of distinct delays is discussed, it is shown that the controllability is independent of the size of delays.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02437638
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 4
    Electronic Resource
    Electronic Resource
    Controllability of a class of hybrid dynamic systems (II)—Single time-delay case (2003)
    Springer
    Applied mathematics and mechanics 24 (2003), S. 1051-1062 
    Details
    ISSN: 1573-2754
    Keywords: hybrid dynamic system ; switched linear system ; time-delay ; controllability ; controllable set ; switching sequence ; switching path ; TP13 ; TP273 ; O317 ; 93B05 ; 93B27 ; 93C99
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mechanical Engineering, Materials Science, Production Engineering, Mining and Metallurgy, Traffic Engineering, Precision Mechanics , Mathematics , Physics
    Notes: Abstract The controllability for switched linear systems with time-delay in controls is first investigated. The whole work contains three parts. This is the second part. The definition and determination of controllability of switched linear systems with single time-delay in control functions is mainly investigated. The sufficient and necessary conditions for the oneperiodic, multiple-periodic controllability of periodic-type systems and controllability of periodic systems are presented, respectively.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02437637
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
  • 5
    Electronic Resource
    Electronic Resource
    Controllability of a class of hybrid dynamic systems (I)—Basic properties and preliminary results (2003)
    Springer
    Applied mathematics and mechanics 24 (2003), S. 1041-1050 
    Details
    ISSN: 1573-2754
    Keywords: hybrid dynamic system ; switched linear system ; time-delay ; controllability ; generalized cyclic invariant subspace ; switching sequence ; switching path ; TP13 ; TP273 ; O317 ; 93B05 ; 93B27 ; 93C99
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mechanical Engineering, Materials Science, Production Engineering, Mining and Metallurgy, Traffic Engineering, Precision Mechanics , Mathematics , Physics
    Notes: Abstract The controllability for switched linear system with time-delay in controls was first investigated. The whole work contains three parts. This is the first part, including problem formulation and some preliminaries. Firstly, the mathematical model of switched linear systems with time-delay in control functions was presented. Secondly, the concept of column space, cyclic invariant subspace and generalized cyclic invariant subspace were introduced. And some basic properties, such as separation lemma, were presented. Finally, a basic lemma was given to reveal the relation between the solution set of a centain integral equations and the generalized cyclic invariant subspace. This lemma will play an important role in the determination of controllability. All these definitions and lemmas are necessary research tools for controllability analysis.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02437636
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Paper (German National Licenses)
    Fulltext
Close ⊗
This website uses cookies and the analysis tool Matomo. More information can be found here...