搜索结果: 1-13 共查到“数量经济学 Price”相关记录13条 . 查询时间(0.119 秒)
A quantum mechanical model for the relationship between stock price and stock ownership
quantum mechanical model relationship between stock price stock ownership
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2012/9/14
The trade of a fixed stock can be regarded as the basic process that measures its momentary price. The stock price is exactly known only at the time of sale when the stock is between traders, that is,...
Why price inflation in developed countries is systematically underestimated
Why price inflation in developed countries systematically underestimated
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2012/9/14
There is an extensive historical dataset on real GDP per capita prepared by Angus Maddison. This dataset covers the period since 1870 with continuous annual estimates in developed countri...
Physical approach to price momentum and its application to momentum strategy
price momentum momentum/contrarian strategies spontaneous symmetry breaking of arbitrage
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2012/9/14
We introduce various definitions for price momentum of financial instruments in quantitative and mathematical ways. Measurement of the price momentum de-rived from the concept of momentum in physics c...
Adaptive Execution: Exploration and Learning of Price Impact
adaptive execution price impact reinforcement learning regret bound
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2012/9/14
We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change isa linear combination of observed factors, impact...
A new look at short-term implied volatility in asset price models with jumps
exponential Levy models Blumenthal-Getoor index short-dated options implied volatility.
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2012/9/14
We analyse the behaviour of the implied volatility smile for options close to expiry in the exponential Levy class of asset price models with jumps. We introduce a new renormalisation of the strike v...
Universality class of balanced flows with bottlenecks: granular flows, pedestrian fluxes and financial price dynamics
Universality class of balanced flows bottlenecks granular flows pedestrian fluxes financial price dynamics
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2012/6/4
We propose and document the evidence for an analogy between the dynamics of granular counter-flows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensi...
Characterizing price index behavior through fluctuation dynamics
price index behavior fluctuation dynamics Statistical Finance
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2012/6/4
We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets...
Price and Quantity Trajectories: Second-order Dynamics
disequilibrium economics Walrasian adjustment Marshallian adjustment SMD theorem Helmholtz-Hodge decomposition theorem
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2012/4/28
In two previous papers the author developed a second-order price adjustment (t\^atonnement) process. This paper extends the approach to include both quantity and price adjustments. We demonstrate thre...
Quantum Neural Computation for Option Price Modelling
Option price modelling Quantum neural computation nonlinear Schr¨odinger equations leverage effect bidirectional associative memory
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2010/10/29
We propose a new cognitive framework for option price modelling, using quantum
neural computation formalism. Briefly, when we apply a classical nonlinear neuralnetwork
learning to a linear quantum S...
Optimal execution of Portfolio transactions with geometric price process
Optimal execution Portfolio geometric price process
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2010/11/2
In this paper we derive the Markowitz-optimal, deterministic-execution trajectory for a trader who wishes to buy or sell a large position of a share which evolves as a geometric Brownian
motion in co...
An Analysis of Oil Price Behaviour
Time series analysis oil prices density forecasting interval forecasting
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2010/9/7
After a brief summary of oil price behaviour from 1946 onwards, the problem of modelling daily oil prices from 1990 onwards is addressed. The arbitrage pricing continuous time models from the literatu...
The Price Model of Common Derivative Securities
derivative securities PDE Ito
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2007/5/22
Considered the Random Differential Equation that state variables based on, the paper thinks that at least n+1 kinds of the price of exchangeable securities depend on PDE，its matrix and corresponding p...
The Price Model of Common Derivative Securities
derivative securities PDE Ito
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2007/4/29
Considered the Random Differential Equation that state variables based on, the paper thinks that at least n+1 kinds of the price of exchangeable securities depend on PDE，its matrix and corresponding p...