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Quantum Financial Economics - Risk and Returns
Quantum Financial Economics Multifractal Self-Organized Criticality Quantum Chaotic Volatility
2011/8/17
Abstract: Financial volatility risk is addressed through a multiple round evolutionary quantum game equilibrium leading to Multifractal Self-Organized Criticality (MSOC) in the financial returns and i...
Financial factor influence on scaling and memory of trading volume in stock market
Financial facto trading volume stock market
2011/9/13
We study the daily trading volume volatility of 17,197 stocks in the U.S. stock markets during the period 1989–2008 and analyze the time return intervals between volume volatilities above a given th...
Temporal Evolution of Financial Market Correlations
Financial Market Correlations Statistical
2010/11/17
We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes c...
Is It Real, or Is It Randomized?: A Financial Turing Test
Market Effciency Human Pattern Recognition Machine/Human Interfaces Technical Analysis Video Games
2010/4/27
We construct a financial "Turing test" to determine whether human subjects can differentiate between actual vs. randomized financial returns. The experiment consists of an online video-game (this http...
Diagnosis and Prediction of Tipping Points in Financial Markets: Crashes and Rebounds
fnancial bubble crash negative bubble rebound prediction log-periodic power law positive feedback errordiagram
2010/4/27
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of ...
Fitting the Log Periodic Power Law to financial crashes: a critical analysis
Log Periodic Power Law financial crashes critical analysis
2010/4/27
A number of papers claim that a Log Periodic Power Law (LPPL) fitted to financial market bubbles that precede large market falls or 'crashes', contain parameters that are confined within certain range...
New Financial Research Program: General Option-Price Wave Modeling
General option-price wave modeling new financial research program
2010/4/27
Recently, a novel adaptive wave model for financial option pricing has been proposed in the form of adaptive nonlinear Schr\"{o}dinger (NLS) equation [Ivancevic a], as a high-complexity alternative to...
Using Financial Ratios to Identify Romanian Distressed Companies
distress company financial ratio cluster CHAID logit model
2010/4/27
In the context of the current financial crisis, when more companies are facing bankruptcy or insolvency, the paper aims to find methods to identify distressed firms by using financial ratios. The stud...