منابع مشابه
Inverse Statistics for Stocks and Markets
In recent publications, the authors have considered inverse statistics of the Dow Jones Industrial Averaged (DJIA) [1, 2, 3]. Specifically, we argued that the natural candidate for such statistics is the investment horizons distribution. This is the distribution of waiting times needed to achieve a predefined level of return obtained from detrended historic asset prices. Such a distribution typ...
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Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit time follows a power law p(τρ) ∼ ρ −α with α ≈ 1.5 at large τρ and the optimal investment horizon τ∗ ρ scales as ρ γ [1,2,3]. We have performed an extensive anal...
متن کاملOptimal Investment Horizons for Stocks and Markets
The inverse statistics is the distribution of waiting times needed to achieve a predefined level of return obtained from (detrended) historic asset prices [1, 2]. Such a distribution typically goes through a maximum at a time coined the optimal investment horizon, τ ρ , which defines the most likely waiting time for obtaining a given return ρ. By considering equal positive and negative levels o...
متن کاملSimple Simulational Model for Stocks Markets
A new model for stocks markets using integer values for each stock price is presented. In contrast with previously reported models, the variables used in the model are not of binary type, but of more general integer type. It is shown how the behavior of the noisy and fundamentalists traders can be taken into account simultaneously in the time evolution of each stock price. The simulated time se...
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در این رساله به بررسی رفتار جواب های رده ای از معادلات دیفرانسیل با مشتقات جزیی در دامنه های کراندار می پردازیم . این معادلات به فرم نیم-خطی و غیر خطی برای مسایل مستقیم و معکوس مورد مطالعه قرار می گیرند . به ویژه، تاثیر شرایط مختلف فیزیکی را در مساله، نظیر وجود موانع و منابع، پراکندگی و چسبندگی در معادلات موج و گرما بررسی می کنیم و به دنبال شرایطی می گردیم که متضمن وجود سراسری یا عدم وجود سراسر...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.844364