Dynamic equilibrium and volatility in financial asset markets
نویسندگان
چکیده
منابع مشابه
Volatility of Volatility of Financial Markets
We present empirical evidence for considering volatility of Eurodollar futures as a stochastic process, requiring a generalization of the standard Black-Scholes (BS) model which treats volatility as a constant. We use a previous development of a statistical mechanics of financial markets (SMFM) to model these issues. Ke ywords: options; eurodollar; volatility; statistical mechanics
متن کاملFinancial Innovation and Asset Price Volatility
We compare asset prices in an overlapping generations model for incomplete and complete markets. Individuals within a generational cohort have heterogeneous beliefs about future states of the economy and thus would like to make bets against each other. In the incomplete-markets economy, agents cannot make such bets. Asset price volatility is very small. The situation changes dramatically when m...
متن کاملDynamic Correlation between Oil Markets and Financial Markets and Oil and Petrochemical Industries in Iran
In this paper we study the effect of volatility in Brent oil prices on the important indices of financial markets in Iran, as well as the return on gold, from 2008 to 2018 using the Multivariate Exponential GARCH Model (MVEGARCH). We also use the ADCC-FIGARCH model to examine the asymmetric dynamic conditional correlation between Brent oil prices and financial markets in Iran. The results of th...
متن کاملVolatility, persistence, and survival in financial markets.
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price fluctuations as a non-Markovian stochastic process using the first-passage statistical concepts of persistence and survival. We report the results of empiri...
متن کاملAsset-asset interactions and clustering in financial markets
The collective phenomena of a liquid market is characterized in terms of a particle system scenario. This physical analogy enables us to disentangle intrinsic features from purely stochastic ones. The latter are the result of environmental changes due to a ‘heat bath’ acting on the many-asset system, quantitatively described in terms of a time dependent effective temperature. The remaining intr...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 1998
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(97)80001-2