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Scaling properties of first-passage time probabilities in financial markets
financial markets first-passage time probability Statistical Finance
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2011/9/29
Abstract: Financial markets provide an ideal frame for the study of first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six...
The Fundamental Theorem of Asset Pricing, the Hedging Problem and Maximal Claims in Financial Markets with Short Sales Prohibitions
Fundamental Theorem of Asset Pricing Hedging Problem Maximal claims Supermartingale
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2011/3/2
This paper consists of two parts. In the first part, by building on the work of Jouini
and Kallal in [26], Sch¨urger in [37], Frittelli in [15], Pham and Touzi in [34] and Napp in [33], we prove the ...
Mesoscopic modelling of financial markets
Mesoscopic modelling financial markets
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2010/12/15
We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is de...
Large-volatility dynamics in financial markets
Large-volatility dynamics financial markets
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2010/4/27
We investigate the large-volatility dynamics in financial markets, based on the minutely and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volati...
Reverse Engineering Financial Markets with Majority and Minority Games using Genetic Algorithms
agent-based models Genetic Algorithms
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2010/4/27
Using virtual stock markets with artificial interacting software investors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial ...
Minimal Martingale Measures for Discrete-time Incomplete Financial Markets
Minimal martingale measures incomplete financial markets
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2007/12/11
In this note, we give a characterization of the minimal martingale measure for a general discrete-time incomplete financial market. Then we concretely work out the minimal martingale measure for a spe...