Long-time fluctuations in a dynamical model of stock market indices
نویسندگان
چکیده
منابع مشابه
Long-time fluctuations in a dynamical model of stock market indices.
Financial time series typically exhibit strong fluctuations that cannot be described by a Gaussian distribution. Recent empirical studies of stock market indices examined whether the distribution P(r) of returns r(tau) after some time tau can be described by a (truncated) Lévy-stable distribution L(alpha)(r) with some index 0<alpha< or =2. While the Lévy distribution cannot be expressed in a cl...
متن کاملA Dynamical Approach to Stock Market fluctuations
The recent turbulence on the world’s stock markets has reinvigorated the attack on classical economic models of stock market fluctuations. The key problem is determining a dynamic model, which is consistent with observed fluctuations and which reflects investor behavior. Here, we use a novel equation-free approach developed in nonlinear dynamics literature to identify the salient statistical fe...
متن کاملPredator-Prey Model for Stock Market Fluctuations
We present a dynamical model for the price evolution of financial assets. The model is based in a two level structure. In the first stage one finds an agentbased model that describes the present state of the investors’ beliefs, perspectives or strategies. The dynamics is inspired in a model for describing predator-prey population evolution: agents change their mind through selfor mutual influen...
متن کاملRational Stock-Market Fluctuations
Which pricing kernel restrictions are needed to make low dimensional Markov models consistent with given sets of predictions on aggregate stock-market fluctuations ? This paper develops theoretical test conditions addressing this and related reverse engineering issues arising within a fairly general class of long-lived asset pricing models. These conditions solely affect the first primitives of...
متن کاملA Simple Dynamical Model of the Stock Market
Introduction It is difficult to generate a faithful model of the stock market that is easy to simulate, due to the dependence of stock prices on a huge number of variable factors. There may be several approaches to the problem, and there have been studies that treat investors as percolation clusters to find the statistics of price variations [2]. In general, models of the stock market tend to b...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Physical Review E
سال: 2001
ISSN: 1063-651X,1095-3787
DOI: 10.1103/physreve.64.026101