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  • 2020-2022
  • 2015-2019
  • 2000-2004  (4)
  • 2015
  • 2001  (4)
  • PACS. 02.50.Ey Stochastic processes – 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion – 89.90.+n Other topics in areas of applied and interdisciplinary physics  (2)
  • PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes  (2)
Datenquelle
Materialart
Erscheinungszeitraum
  • 2020-2022
  • 2015-2019
  • 2000-2004  (4)
Jahr
  • 2015
  • 2001  (4)
Schlagwörter
  • 1
    Digitale Medien
    Digitale Medien
    Empirical properties of the variety of a financial portfolio and the single-index model (2001)
    Springer
    The European physical journal 20 (2001), S. 503-509 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 02.50.Ey Stochastic processes – 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion – 89.90.+n Other topics in areas of applied and interdisciplinary physics
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We investigate the variety of a portfolio of stocks in normal and extreme days of market activity. We show that the variety carries information about the market activity which is not present in the single-index model and we observe that the variety time evolution is not time reversal around the crash days. We obtain the theoretical relation between the square variety and the mean return of the ensemble return distribution predicted by the single-index model. The single-index model is able to mimic the average behavior of the square variety but fails in describing quantitatively the relation between the square variety and the mean return of the ensemble distribution. The difference between empirical data and theoretical description is more pronounced for large positive values of the mean return of the ensemble distribution. Other significant deviations are also observed for extreme negative values of the mean return.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100510170229
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  • 2
    Digitale Medien
    Digitale Medien
    Beliefs and stochastic modelling of interest rate scenario risk (2001)
    Springer
    The European physical journal 20 (2001), S. 511-515 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We present a framework that allows for a systematic assessment of risk given a specific model and belief on the market. Within this framework the time evolution of risk is modeled in a twofold way. On the one hand, risk is modeled by the time discrete and nonlinear garch(1,1) process, which allows for a (time-)local understanding of its level, together with a short term forecast. On the other hand, via a diffusion approximation, the time evolution of the probability density of risk is modeled by a Fokker-Planck equation. Then, as a final step, using Bayes theorem, beliefs are conditioned on the stationary probability density function as obtained from the Fokker-Planck equation. We believe this to be a highly rigorous framework to integrate subjective judgments of future market behavior and underlying models. In order to demonstrate the approach, we apply it to risk assessment of empirical interest rate scenario methodologies, i.e. the application of Principal Component Analysis to the the dynamics of bonds.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/PL00011107
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  • 3
    Digitale Medien
    Digitale Medien
    Extracting factors for interest rate scenarios (2001)
    Springer
    The European physical journal 20 (2001), S. 517-522 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 05.45.Tp Time series analysis – 02.50.Ey Stochastic processes
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: Factor based interest rate models are widely used for risk managing purposes, for option pricing and for identifying and capturing yield curve anomalies. The movements of a term structure of interest rates are commonly assumed to be driven by a small number of orthogonal factors such as SHIFT, TWIST and BUTTERFLY (BOW). These factors are usually obtained by a Principal Component Analysis (PCA) of historical bond prices (interest rates). Although PCA diagonalizes the covariance matrix of either the interest rates or the interest rate changes, it does not use both covariance matrices simultaneously. Furthermore higher linear and nonlinear correlations are neglected. These correlations as well as the mean reverting properties of the interest rates become crucial, if one is interested in a longer time horizon (infrequent hedging or trading). We will show that Independent Component Analysis (ICA) is a more appropriate tool than PCA, since ICA uses the covariance matrix of the interest rates as well as the covariance matrix of the interest rate changes simultaneously. Additionally higher linear and nonlinear correlations may be easily incorporated. The resulting factors are uncorrelated for various time delays, approximately independent but nonorthogonal. This is in contrast to the factors obtained from the PCA, which are orthogonal and uncorrelated for identical times only. Although factors from the ICA are nonorthogonal, it is sufficient to consider only a few factors in order to explain most of the variation in the original data. Finally we will present examples that ICA based hedges outperforms PCA based hedges specifically if the portfolio is sensitive to structural changes of the yield curve.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/
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  • 4
    Digitale Medien
    Digitale Medien
    Langevin dynamics of financial systems: A second-order analysis (2001)
    Springer
    The European physical journal 22 (2001), S. 123-127 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 02.50.Ey Stochastic processes – 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion – 89.90.+n Other topics in areas of applied and interdisciplinary physics
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We address the issue of stock market fluctuations within Langevin Dynamics (LD) and the thermodynamics definitions of multifractality in order to study its second-order characterization given by the analogous specific heat Cq, where q is an analogous temperature relating the moments of the generating partition function for the financial data signals. Due to non-linear and additive noise terms within the LD, we found that Cq can display a shoulder to the right of its main peak as also found in the S&P500 historical data which may resemble a classical phase transition at a critical point.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/PL00011127
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