expected payoff of trading strategies involving european options for fuzzy financial market

EXPECTED PAYOFF OF TRADING STRATEGIES INVOLVING EUROPEAN OPTIONS FOR FUZZY FINANCIAL MARKET

Uncertainty inherent in the financial market was usually consid- ered to be random. However, randomness is only one special type of uncer- tainty and appropriate when describing objective information. For describing subjective information it is preferred to assume that uncertainty is fuzzy. This paper defines the expected payoof trading strategies in a fuzzy financial market within the framewor...

Price Dynamics and Market Volatility: Behavioral Heterogeneity under Switching Trading Strategies on Artificial Financial Market

In recent years, studying stock markets using multi-agent based models has grow into an important research area due to the fact that this line of attack replicates the nature of the financial market where varied traders with a mixture of expectations and diverse points of rationality network with each other through the market. The main aim of this paper is to include selected finding from behav...

An Agent-Based Financial Market Simulator for Evaluation of Algorithmic Trading Strategies

Algorithmic trading strategies are most often evaluated by running against historical data and observing the results. This limits the evaluation scenarios to situations similar to those for which historical data is available. In order to evaluate high frequency trading systems in a broader setting, a different approach is required. This paper presents an agent-based financial market simulator t...

Option Pricing Formula for Fuzzy Financial Market

The option pricing problem is one of central contents in modern finance. In this paper, European option pricing formula is formulated for fuzzy financial market and some mathematical properties of them are discussed. This formula may be regarded as the fuzzy counterpart of Black-Scholes option pricing formula. In addition, some illustrative examples are also documented with MATLAB codes. c ©200...

Reform Options for the European Emissions Trading System ( EU ETS )

Trading strategies in the Italian interbank market

Using a data set which includes all transactions among banks in the Italian money market, we study their trading strategies and the dependence among them. We use the Fourier method to compute the variance-covariance matrix of trading strategies. Our results indicate that well defined patterns arise. Two main communities of banks, which can be coarsely identified as small and large banks, emerge...