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  • Articles: DFG German National Licenses  (4)
  • 2020-2024
  • 2000-2004  (4)
  • 1890-1899
  • 1840-1849
  • 2004
  • 2003  (4)
  • 74B20  (2)
  • 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
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    Paper (German National Licenses)
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  • 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
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    Paper (German National Licenses)
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  • 3
    Electronic Resource
    Electronic Resource
    Cavity formation at the center of a sphere composed of two compressible hyper-elastic materials (2003)
    Springer
    Applied mathematics and mechanics 24 (2003), S. 1009-1016 
    Details
    ISSN: 1573-2754
    Keywords: compressible hyper-elastic material ; cavitated bifurcation ; catastrophe and concentration of stress ; energy comparison ; O343 ; 74B20
    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 cavitated bifurcation problem in a solid sphere composed of two compressible hyper-elastic materials under a uniform boundary radial stretch was examined. The solutions, including the trivial solution and the cavitated solutions, were obtained. The bifurcation curves and the stress contributions subsequent to cavitation were discussed. The phenomena of the right and the left bifurcations as well as the catastrophe and concentration of stresses are observed. The stability of solutions is discussed through the energy comparison.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02437633
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    Paper (German National Licenses)
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  • 4
    Electronic Resource
    Electronic Resource
    Analysis of elastic layers with dilative eigenstrains varying through the thickness (2003)
    Springer
    Applied mathematics and mechanics 24 (2003), S. 997-1008 
    Details
    ISSN: 1573-2754
    Keywords: eigenstrain ; elastic layer ; three-dimensional analysis ; O781 ; 74B20
    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 Elastic layers with varying dilative eigenstrains through the thickness were concerned. A general procedure was proposed for the analysis of such layers under arbitrary loads. The study is based on the state-space method and an asymptotic expansion technique. When the external loads are uniform, the expansion terminates after some leading terms, and an explicit representation for the mechanical field in a layer is obtained. This representation relies only on the displacement components of the mid-plane, which are governed by a set of two-dimensional differential equations similar to those in the classical plate theory. Consequently, obtaining the solution to the two-dimensional equations immediately gives the three-dimensional responses of the layer. As an illustrative example, a clamped elliptical layer under a uniformly distributed transverse load is analyzed in detail.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02437632
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    Paper (German National Licenses)
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