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  • Digitale Medien  (8)
  • 2025-2025
  • 2015-2019
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  • 2003  (6)
  • 2002  (2)
  • PACS. 89.65.Gh Economics, business, and financial markets  (3)
  • switching path  (3)
  • PACS. 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion – 02.50.Ey Stochastic processes – 05.10.Gg Stochastic analysis methods (Fokker-Planck, Langevin, etc.)  (2)
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  • Digitale Medien  (8)
Erscheinungszeitraum
  • 2025-2025
  • 2015-2019
  • 2000-2004  (8)
  • 1990-1994
  • 1985-1989
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Jahr
  • 2003  (6)
  • 2002  (2)
  • 2001  (1)
Schlagwörter
  • 1
    Digitale Medien
    Digitale Medien
    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
    Schlagwort(e): PACS. 89.65.Gh Economics, business, and financial markets
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: 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.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1140/epjb/e2003-00033-7
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  • 2
    Digitale Medien
    Digitale Medien
    Bubbles, crashes and intermittency in agent based market models (2003)
    Springer
    The European physical journal 31 (2003), S. 421-437 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 89.65.Gh Economics, business, and financial markets
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: 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.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1140/epjb/e2003-00050-6
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  • 3
    Digitale Medien
    Digitale Medien
    Lie algebraic approach for Fokker-Planck dynamics with space-dependent diffusion and mean-reverting drift (2003)
    Springer
    The European physical journal 32 (2003), S. 503-505 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion – 02.50.Ey Stochastic processes – 05.10.Gg Stochastic analysis methods (Fokker-Planck, Langevin, etc.)
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: Using the Lie algebraic approach we have derived the exact diffusion propagator of the Fokker-Planck equation with a time-dependent variable diffusion coefficient and a time-dependent mean-reverting force between two absorbing boundaries. The exact diffusion propagator not only enables us to study the time evolution of the corresponding stochastic system, but the knowledge of the propagator can also provide a benchmark for testing approximate numerical or analytical procedures. Furthermore, the Lie algebraic method is very simple and could be easily extended to the more general Fokker-Planck equations with well-defined algebraic structures.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1140/epjb/e2003-00119-2
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  • 4
    Digitale Medien
    Digitale Medien
    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
    Schlagwort(e): hybrid dynamic system ; switched linear system ; time-delay ; controllability ; controllable set ; switching sequence ; switching path ; TP13 ; TP273 ; O317 ; 93B05 ; 93B27 ; 93C99
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Maschinenbau , Mathematik , Physik
    Notizen: 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.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/BF02437638
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  • 5
    Digitale Medien
    Digitale Medien
    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
    Schlagwort(e): hybrid dynamic system ; switched linear system ; time-delay ; controllability ; controllable set ; switching sequence ; switching path ; TP13 ; TP273 ; O317 ; 93B05 ; 93B27 ; 93C99
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Maschinenbau , Mathematik , Physik
    Notizen: 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.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/BF02437637
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  • 6
    Digitale Medien
    Digitale Medien
    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
    Schlagwort(e): hybrid dynamic system ; switched linear system ; time-delay ; controllability ; generalized cyclic invariant subspace ; switching sequence ; switching path ; TP13 ; TP273 ; O317 ; 93B05 ; 93B27 ; 93C99
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Maschinenbau , Mathematik , Physik
    Notizen: 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.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/BF02437636
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  • 7
    Digitale Medien
    Digitale Medien
    Exact propagator of the Fokker-Planck equation with a space-dependent diffusion coefficient and a time-dependent mean-reverting force (2002)
    Springer
    The European physical journal 25 (2002), S. 479-482 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion – 02.50.Ey Stochastic processes – 05.10.Gg Stochastic analysis methods (Fokker-Planck, Langevin, etc.)
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We have investigated the algebraic structure of the Fokker-Planck equation with a variable diffusion coefficient and a time-dependent mean-reverting force. Such a model could be useful to study the general problem of a Brownian walker with a space-dependent diffusion coefficient. We also show that this model is related to the Fokker-Planck equation with a constant diffusion coefficient and a time-dependent anharmonic potential of the form V(x, t) = ½a(t)x 2 + b ln x, which has been widely applied to model different physical and biological phenomena, e.g. the study of neuron models and stochastic resonance in monostable nonlinear oscillators. Using the Lie algebraic approach we have derived the exact diffusion propagators for the Fokker-Planck equations associated with different boundary conditions, namely (i) the case of a single absorbing barrier, and (ii) the case of two absorbing barriers. These exact diffusion propagators enable us to study the time evolution of the corresponding stochastic systems.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1140/epjb/e20020053
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  • 8
    Digitale Medien
    Digitale Medien
    Portfolio optimization with short-selling and spin-glass (2002)
    Springer
    The European physical journal 27 (2002), S. 263-272 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 89.65.Gh Economics, business, and financial markets
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: In this paper, we solve a general problem of optimizing a portfolio in a futures markets framework, extending the previous work of Galluccio et al. [Physica A 259, 449 (1998)]. We allow for long buying/short selling of a relatively large number of assets, assuming a fixed level of margin requirement. Because of non-linearity in the constraint, we derive a multiple equilibrium solution, in a size exponential respect to the number of assets. That means that we can not obtain the unique efficiency frontier, but many of them and each one is related to different levels of risk. Such a problem is analogous to that of finding the ground state in long-ranged Ising spin glass with external field. In order to get the best portfolio (i.e. that is along the best efficiency frontier), we have to implement a two-step procedure, performing the exhaustive enumeration of all local minima. We develop a concrete application, where the different part of the proposed solution are computed.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1140/epjb/e20020143
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