Fintech as a transformation driver of global financial markets

A Transformation-based Nonparametric Estimator of Multivariate Densities with an Application to Global Financial Markets

We propose a probability-integral-transformation-based estimator of multivariate densities. Given a sample of random vectors, we first transform the data into their corresponding marginal distributions. We then estimate the density of the transformed data via the Exponential Series Estimator in Wu (2010). The density of the original data is then estimated as the product of the density of the tr...

Community Analysis of Global Financial Markets

Irena Vodenska 1,2,*, Alexander P. Becker 1, Di Zhou 1, Dror Y. Kenett 1, H. Eugene Stanley 1 and Shlomo Havlin 3 1 Center for Polymer Studies and Department of Physics, Boston University, 590 Commonwealth Avenue, Boston, MA 02215, USA; [email protected] (A.P.B.); [email protected] (D.Z.); [email protected] (D.Y.K.); [email protected] (H.E.S.) 2 Administrative Sciences Department, Metropolitan Colleg...

The New Challenge for Global Financial Markets

Financial markets as adaptative ecosystems

The option markets offer a very interesting example of the adaptation of a population (the traders) to a complex environment, through trial and errors and natural selection (unefficent traders disappear quickly). The problem is the following: an ‘option’ is an insurance contract protecting its owner against the rise (or fall) of financial assets, such as stocks, currencies, etc. The problem of ...

Financial markets as adaptive systems

– We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset fluctuations: “fat tails” and correlations in the scale of fluctuations. These aspects, although not included in the pricing models, are very precisely reflected in t...