搜索结果: 1-7 共查到“货币银行学 properties”相关记录7条 . 查询时间(0.296 秒)
Path properties and regularity of affine processes on general state spaces
affine processes path properties regularity Markov semimartingales
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2011/7/20
We provide a new proof for regularity of affine processes on general state spaces by methods from the theory of Markovian semimartingales. On the way to this result we also show that the definition of...
Scaling properties of first-passage time probabilities in financial markets
Scaling properties first-passage time probabilities financial markets
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2011/7/19
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 futures...
The fine structure of spectral properties for random correlation matrices: an application to financial markets
financial correlation matrices eigenvalue factor models
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2011/3/23
We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirically, and which have ...
Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series
Non-stationary Time Series Wavelet Transform Fractals, Power Law
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2010/10/19
We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock mark...
Scale invariant properties of public debt growth
invariant properties public debt
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2010/10/18
Public debt is one of the important economic variables that quantitatively describes a nation's economy. Because bankruptcy is a risk faced even by institutions as large as governments (e.g. Iceland)...
Statistical properties of agent-based models in markets with continuous double auction mechanism
Statistical properties agent-based models continuous double auction mechanism
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2010/10/18
Real world markets display power-law features in variables such as price fluctuations in stocks. To further understand market behavior, we have conducted a series of market experiments on our web-base...
Spectral Risk Measures: Properties and Limitations
coherent risk measures spectral risk measures exponential utility power utility
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2011/3/31
Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been little guidance on the choice of utility function underlying them. This paper address...