摘要翻译:
我们利用地球板块运动模型的洞察力,对世界股票交易所价格动态中应力的建立和释放有了新的理解。非线性进入模型是由于人类对大变化的反应不成比例的行为属性。这种非线性反应使我们可以将给定股票指数的价格波动归类为:要么是由有关国家的特定经济消息引起的,要么是由世界证券交易所的集合而产生的,就像一个复杂的系统一样。在结构上类似于金融学中的资本资产定价模型,该模型根据全球交易所市场的表现来预测单个证券交易所应该如何定价,但在定价中包含了人类的行为特征。模型中的许多假设都是根据世界上24个主要证券交易所的经验数据进行验证的。我们展示了treshold效应如何在全球证券交易所网络中导致同步。
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英文标题:
《Tremor price dynamics in the world's network of stock exchanges》
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作者:
Jorgen Vitting Andersen, Andrzej Nowak, Giulia Rotundo and Lael
Parrott
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最新提交年份:
2009
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:General Finance 一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类:Physics 物理学
二级分类:Physics and Society 物理学与社会
分类描述:Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体(人类或其他)的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统(如能源网、运输网络)的物理和工程。
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一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要:
We use insight from a model of earth tectonic plate movement to obtain a new understanding of the build up and release of stress in the price dynamics of the worlds stock exchanges. Nonlinearity enters the model due to a behavioral attribute of humans reacting disproportionately to big changes. This nonlinear response allows us to classify price movements of a given stock index as either being generated due to specific economic news for the country in question, or by the ensemble of the worlds stock exchanges reacting together like a complex system. Similar in structure to the Capital Asset Pricing Model in Finance, the model predicts how an individual stock exchange should be priced in terms of the performance of the global market of exchanges, but with human behavioral characteristics included in the pricing. A number of the models assumptions are validated against empirical data for 24 of the worlds leading stock exchanges. We show how treshold effects can lead to synchronization in the global network of stock exchanges.
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PDF链接:
https://arxiv.org/pdf/0912.3771