Financial Market Complexity

相似文件 换一批

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

  214767.rar (3.81 MB, 需要: 50 个论坛币)

2008-5-25 10:00:00 上传

Financial Market Complexity
需要: 50 个论坛币  [购买]

HANDOUT 1 This handout
HANDOUT 2 (‘Chapter 1’) Financial markets as complex systems
1.1 Real problems in finance
1.2 Complex systems and Complexity
1.3 Financial market overview
1.3.1 The role of financial centres
1.3.2 Types of financial market
1.3.3 Financial assets
1.3.3.1 Debt, equity and foreign exchange
1.3.3.2 Time of settlement
1.3.3.3 Obligation to exchange
1.3.4 Financial market agents
1.3.4.1 Market service providers
1.3.4.2 Market service users
1.3.5 The price of an asset
1.3.5.1 Role of the market-maker
1.3.5.2 Demand for assets
1.3.6 Orders and market clearing
1.3.6.1 Market impact
1.3.6.2 Clearing the market
1.3.7 Chartism vs. fundamentalism
1.4 Observing the market
HANDOUT 3 (‘Chapter 2’) Standard finance theory
2.1 The problem for standard finance theory
2.2 Taking a random walk
2.2.1 Back to basics
2.2.2 Price-changes over one timestep
2.2.3 Price-changes over multiple timesteps
2.2.3.1 Implications for risk
2.2.3.2 Statistical properties of the moments
2.2.3.3 Probability distribution function: PDF
2.2.3.4 Central Limit Theorem
2.2.4 Continuous-time evolution equation for the PDF of price-changes
2.2.5 Stochastic differential equations for the evolution of the price
2.3 Risk: tails of the unexpected
2.4 Eliminating risk within the Black-Scholes option pricing theory
2.4.1 Introducing derivatives
2.4.1.1 Futures and forwards
2.4.1.2 Options
2.4.2 Types of options
2.4.3 Going, going, gone: the magic of zero risk

3.1 Facing the stylized facts
3.2 Statistical tools and datasets
3.3 Empirical analysis
3.4 Challenging the standard theory
3.5 Toward a general stochastic process framework
3.6 Effects of temporal correlations in a market
3.6.1 Winning by losing
3.6.2 Drawdowns and crashes
HANDOUT 5 (‘Chapter 4’) Financial market models with global interactions
4.1 A bottom-up approach
4.2 Two’s company, but three’s a crowd
4.3 “To bar, or not to bar …”
4.4 From the bar to the market
4.4.1 What is the global information in a financial market?
4.4.2 How do financial market agents decide how to trade?
4.4.3 How do financial market agents ‘win’?
4.4.4 What else is missing?
4.4.4.1 Agent wealth
4.4.4.2 Trading timescales
4.5 Choosing a model
4.6 The ‘El Farol Market Model’
4.6.1 Specifying the model
4.6.2 Parametrizing the model
4.6.3 Reproducing the stylized facts
4.7 Dynamics of the ‘El Farol Market Model’
4.8 Statics of the ‘El Farol Market Model’: the origins of volatility
4.8.1 Numerical results for the volatility
4.8.2 Qualitative explanation for the variation of volatility
4.8.3 Quantitative explanation for the variation of volatility
4.8.3.1 Analytic form for volatility in the crowded regime
4.8.3.2 Analytic form for volatility in the dilute regime
HANDOUT 6 (‘Chapter 6’) Non-zero risk in the real world
6.1 The other side of derivatives
6.2 Hedging to reduce risk
6.3 Zero risk?
6.4 Pricing and hedging with real-world asset movements
6.4.1 Variation of wealth
6.4.2 Price for a real-world option
6.4.3 Implementing the real-world pricing formula
6.4.4 Quantifying the risk analytically
6.4.5 Risk-minimizing hedging strategy
6.4.6 Implementing the optimal strategy
6.4.6.1 Using real data
6.4.6.2 Using surrogate data

6.4.6.3 Implementation
6.4.7 The residual risk
6.4.8 Risk premium
6.4.9 Black-Scholes as a special case
6.4.9.1 The option price
6.4.9.2 The hedging strategy
6.4.9.3 The residual risk
6.4.10 Expanding around the Black-Scholes result
6.4.10.1 Expansion of the option price
6.4.10.2 Expansion of the optimal hedging strategy
HANDOUT 7 (‘Chapter 7’) Deterministic dynamics, chaos and crashes
7.1 Living with non-linearity
7.2 Non-linear dynamical models for finance and economics
7.2.1 n =1 dimensional systems: continuous time
7.2.2 n = 2 dimensional systems: continuous time
7.2.3 n = 3 dimensional systems: continuous time
7.2.4 n !1 dimensional systems: discrete time
7.3 Financial crashes and drawdowns
7.3.1 Extreme behaviour
7.3.2 Signs of a crash
7.3.3 Birth and recurrence of crashes
7.4 Predicting the future: Who wants to be a Millionaire?

[此贴子已经被作者于2008-5-25 10:46:48编辑过]

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏2 回帖

关键词：Complexity financial inancial Financia nancial financial market Complexity

不好意思，发错了，如何转移到本版上传下载区？