Selfsimilarity In Long Horizon Asset Returns
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Author | : Dilip B. Madan |
Publisher | : Cambridge University Press |
Total Pages | : 283 |
Release | : 2022-02-03 |
Genre | : Mathematics |
ISBN | : 1316518094 |
Explore how market valuation must abandon linearity to deliver efficient resource allocation.
Author | : Patrice Abry |
Publisher | : John Wiley & Sons |
Total Pages | : 382 |
Release | : 2013-03-01 |
Genre | : Mathematics |
ISBN | : 1118622901 |
Scaling is a mathematical transformation that enlarges or diminishes objects. The technique is used in a variety of areas, including finance and image processing. This book is organized around the notions of scaling phenomena and scale invariance. The various stochastic models commonly used to describe scaling — self-similarity, long-range dependence and multi-fractals — are introduced. These models are compared and related to one another. Next, fractional integration, a mathematical tool closely related to the notion of scale invariance, is discussed, and stochastic processes with prescribed scaling properties (self-similar processes, locally self-similar processes, fractionally filtered processes, iterated function systems) are defined. A number of applications where the scaling paradigm proved fruitful are detailed: image processing, financial and stock market fluctuations, geophysics, scale relativity, and fractal time-space.
Author | : Norman Ehrentreich |
Publisher | : Springer Science & Business Media |
Total Pages | : 238 |
Release | : 2007-10-30 |
Genre | : Business & Economics |
ISBN | : 3540738789 |
This book reconciles the existence of technical trading with the Efficient Market Hypothesis. By analyzing a well-known agent-based model, the Santa Fe Institute Artificial Stock Market (SFI-ASM), it finds that when selective forces are weak, financial evolution cannot guarantee that only the fittest trading rules will survive. Its main contribution lies in the application of standard results from population genetics which have widely been neglected in the agent-based community.
Author | : Masaaki Kijima |
Publisher | : World Scientific |
Total Pages | : 258 |
Release | : 2011 |
Genre | : Mathematics |
ISBN | : 9814366021 |
This book contains the proceedings of the KIER-TMU International Workshop on Financial Engineering 2010, which was held in Tokyo, in order to exchange new ideas in financial engineering among industry professionals and researchers from various countries. It has been held for two consecutive years since 2009, as a successor to the Daiwa International Workshop, which was held from 2004 to 2008, and is organized by the Institute of Economic Research of Kyoto University (KIER) and the Graduate School of Social Sciences of Tokyo Metropolitan University (TMU).The workshop serves as a bridge between academic researchers and practitioners. This book consists of eleven papers ? all refereed ? representing or related to the presentations at the workshop. The papers address state-of-the-art techniques in financial engineering. The Proceedings of the 2009 workshop was also published by World Scientific Publishing.
Author | : Steven Durlauf |
Publisher | : Springer |
Total Pages | : 417 |
Release | : 2016-04-30 |
Genre | : Business & Economics |
ISBN | : 0230280838 |
Specially selected from The New Palgrave Dictionary of Economics 2nd edition, each article within this compendium covers the fundamental themes within the discipline and is written by a leading practitioner in the field. A handy reference tool.
Author | : Alexandrova-Kabadjova, Biliana |
Publisher | : IGI Global |
Total Pages | : 459 |
Release | : 2012-08-31 |
Genre | : Business & Economics |
ISBN | : 1466620129 |
Simulation has become a tool difficult to substitute in many scientific areas like manufacturing, medicine, telecommunications, games, etc. Finance is one of such areas where simulation is a commonly used tool; for example, we can find Monte Carlo simulation in many financial applications like market risk analysis, portfolio optimization, credit risk related applications, etc. Simulation in Computational Finance and Economics: Tools and Emerging Applications presents a thorough collection of works, covering several rich and highly productive areas of research including Risk Management, Agent-Based Simulation, and Payment Methods and Systems, topics that have found new motivations after the strong recession experienced in the last few years. Despite the fact that simulation is widely accepted as a prominent tool, dealing with a simulation-based project requires specific management abilities of the researchers. Economic researchers will find an excellent reference to introduce them to the computational simulation models. The works presented in this book can be used as an inspiration for economic researchers interested in creating their own computational models in their respective fields.
Author | : Cornelis Los |
Publisher | : Routledge |
Total Pages | : 483 |
Release | : 2003-07-24 |
Genre | : Business & Economics |
ISBN | : 1134469322 |
This book covers the latest theories and empirical findings of financial risk, its measurement and management, and its applications in the world of finance.
Author | : Alberto A. Pinto |
Publisher | : Springer |
Total Pages | : 384 |
Release | : 2016-07-30 |
Genre | : Business & Economics |
ISBN | : 3319325434 |
This book gathers carefully selected works in Mathematical Economics, on myriad topics including General Equilibrium, Game Theory, Economic Growth, Welfare, Social Choice Theory, Finance. It sheds light on the ongoing discussions that have brought together leading researchers from Latin America and Southern Europe at recent conferences in venues like Porto, Portugal; Athens, Greece; and Guanajuato, Mexico. With this volume, the editors not only contribute to the advancement of research in these areas, but also inspire other scholars around the globe to collaborate and research these vibrant, emerging topics.
Author | : Edgar E. Peters |
Publisher | : John Wiley & Sons |
Total Pages | : 352 |
Release | : 1994-02-08 |
Genre | : Business & Economics |
ISBN | : 9780471585244 |
A leading pioneer in the field offers practical applications of this innovative science. Peters describes complex concepts in an easy-to-follow manner for the non-mathematician. He uses fractals, rescaled range analysis and nonlinear dynamical models to explain behavior and understand price movements. These are specific tools employed by chaos scientists to map and measure physical and now, economic phenomena.
Author | : Jacques Lévy-Véhel |
Publisher | : Springer Science & Business Media |
Total Pages | : 288 |
Release | : 2005-12-06 |
Genre | : Technology & Engineering |
ISBN | : 1846280486 |
The application of fractals in the engineering sciences is evolving swiftly and the editors have turned to Springer for the third time to bring you the latest research emerging from the rapid growth in techniques available for the employment of the ideas of fractals and complexity to a variety of disciplines in and associated with the engineering field. The strong potential of this research can be seen in real industrial situations with recent progress being made in areas such as chemical engineering, internet traffic, physics and finance. Image processing continues to be a major field of application for fractal analysis and is well-represented here. It is important to note that the applications models are presented with a firm basis in theoretical argument, the qualitative observation of fractal phenomena no longer being sufficient. Consisting of papers written by a world-wide pool of experts, the multidisciplinary approach of this third volume will be of particular interest to industrial researchers and practitioners as well as to academics from many backgrounds. Fractals in Engineering: New Trends in Theory and Applications continues the publication of engineering-related research in fractal techniques begun in Fractals in Engineering and Fractals: Theory and Applications in Engineering (Springer London 1997 and 1999).