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Statistical Finance
Statistical finance, is the application of econophysics to financial markets. Instead of the normative roots of finance, it uses a positivist framework. It includes exemplars from statistical physics with an emphasis on emergent or collective properties of financial markets. Empirically observed stylized facts are the starting point for this approach to understanding financial markets. Stylized facts # Stock markets are characterised by bursts of price volatility. # Price changes are less volatile in bull markets and more volatile in bear markets. # Price change correlations are stronger with higher volatility, and their auto-correlations die out quickly. # Almost all real data have more extreme events than suspected. # Volatility correlations decay slowly. # Trading volumes have memory the same way that volatilities do. # Past price changes are negatively correlated with future volatilities. Research objectives Statistical finance is focused on three areas: # Empirical stud ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Econophysics
Econophysics is a Heterodox economics, heterodox interdisciplinary research field, applying theories and methods originally developed by physicists in order to solve problems in economics, usually those including uncertainty or stochastic processes and Chaos theory, nonlinear dynamics. Some of its application to the study of financial markets has also been termed statistical finance referring to its roots in statistical physics. Econophysics is closely related to social physics. History Physicists' interest in the social sciences is not new (see e.g.,); Daniel Bernoulli, as an example, was the originator of utility-based preferences. One of the founders of neoclassical economic theory, former Yale University Professor of Economics Irving Fisher, was originally trained under the renowned Yale physicist, Josiah Willard Gibbs. Likewise, Jan Tinbergen, who won the first Nobel Memorial Prize in Economic Sciences in 1969 for having developed and applied dynamic models for the analysis of ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Finite-time Singularity
In mathematics, a singularity is a point at which a given mathematical object is not defined, or a point where the mathematical object ceases to be well-behaved in some particular way, such as by lacking differentiability or analyticity. For example, the real function : f(x) = \frac has a singularity at x = 0, where the numerical value of the function approaches \pm\infty so the function is not defined. The absolute value function g(x) = , x, also has a singularity at x = 0, since it is not differentiable there. The algebraic curve defined by \left\ in the (x, y) coordinate system has a singularity (called a cusp) at (0, 0). For singularities in algebraic geometry, see singular point of an algebraic variety. For singularities in differential geometry, see singularity theory. Real analysis In real analysis, singularities are either discontinuities, or discontinuities of the derivative (sometimes also discontinuities of higher order derivatives). There are four kinds of discon ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Paul Jefferies
Anthony Paul Jefferies (born July 1, 1985), known professionally as Nineteen85, is a Canadian record producer and songwriter. Nineteen85 holds the distinction of winning an ASCAP Music Award back-to-back in 2014 and 2015. He is best known for producing records for Drake, notably some of his most successful singles, "One Dance", "Hotline Bling" and "Hold On, We're Going Home". In 2014 he was named by ''Complex'' magazine as one of 15 new producers to watch for. In 2015, he founded the R&B duo Dvsn with singer Daniel Daley. He has been nominated for three Grammys, including for "Producer of the Year (Non-Classical)". Production discography Singles produced Other songs 2011 Donnis – ''Southern Lights'' * 08. "Everybody" Shaun Boothe – ''Waiting Room'' * 02. "Do It For You" (featuring Kim Davis) *03. "Let Me Go (Remix)" (featuring CyHi The Prynce) *04. "One Side" *07. "Poor Boy (Remix)" (featuring Kardinal Offishall) *08. "1 2 3" (featuring STS) *09. "The Aren ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Neil F
Neil is a masculine name of Gaelic and Irish origin. The name is an anglicisation of the Irish ''Niall'' which is of disputed derivation. The Irish name may be derived from words meaning "cloud", "passionate", "victory", "honour" or "champion".. As a surname, Neil is traced back to Niall of the Nine Hostages who was an Irish king and eponymous ancestor of the Uí Néill and MacNeil kindred. Most authorities cite the meaning of Neil in the context of a surname as meaning "champion". Origins The Gaelic name was adopted by the Vikings and taken to Iceland as ''Njáll'' (see Nigel). From Iceland it went via Norway, Denmark, and Normandy to England. The name also entered Northern England and Yorkshire directly from Ireland, and from Norwegian settlers. ''Neal'' or ''Neall'' is the Middle English form of ''Nigel''. As a first name, during the Middle Ages, the Gaelic name of Irish origins was popular in Ireland and later Scotland. During the 20th century ''Neil'' began to be used in En ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Rosario N
Rosario () is the largest city in the central Argentine province of Santa Fe. The city is located northwest of Buenos Aires, on the west bank of the Paraná River. Rosario is the third-most populous city in the country, and is also the most populous city in Argentina that is not a capital (provincial or national). With a growing and important metropolitan area, Greater Rosario has an estimated population of 1,750,000 . One of its main attractions includes the neoclassical, Art Nouveau, and Art Deco architecture that has been retained over the centuries in hundreds of residences, houses and public buildings. Rosario is the head city of the Rosario Department and is located at the heart of the major industrial corridor in Argentina. The city is a major railroad terminal and the shipping center for north-eastern Argentina. Ships reach the city via the Paraná River, which allows the existence of a port. The Port of Rosario is subject to silting and must be dredged periodically. ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Marc Potters
Marc or MARC may refer to: People * Marc (given name), people with the first name * Marc (surname), people with the family name Acronyms * MARC standards, a data format used for library cataloging, * MARC Train, a regional commuter rail system of the State of Maryland, serving Maryland, Washington, D.C., and eastern West Virginia * MARC (archive), a computer-related mailing list archive * M/A/R/C Research, a marketing research and consulting firm * Massachusetts Animal Rights Coalition, a non-profit, volunteer organization * Matador Automatic Radar Control, a guidance system for the Martin MGM-1 Matador cruise missile * Mid-America Regional Council, the Council of Governments and the Metropolitan Planning Organization for the bistate Kansas City region * Midwest Association for Race Cars, a former American stock car racing organization * Revolutionary Agrarian Movement of the Bolivian Peasantry (''Movimiento Agrario Revolucionario del Campesinado Boliviano''), a defunct right-w ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Jean-Philippe Bouchaud
Jean-Philippe Bouchaud (born 1962) is a French physicist. He is co-founder and chairman of Capital Fund Management (CFM), adjunct professor at École Normale Supérieure and co-director of the CFM-Imperial Institute of Quantitative Finance at Imperial College London. He is a member of the French Academy of Sciences, and held the Bettencourt Innovation Chair at Collège de France in 2020. Biography Born in Paris in 1962, Jean-Philippe Bouchaud studied at the French Lycée in London. Graduating from École Normale Supérieure in 1985, he carried out his PhD at the Laboratory of Hertzian Spectroscopy, studying spin-polarized quantum gases with Claire Lhuillier. He then worked for the French National Center for Scientific Research, in particular on liquid Helium 3 and diffusion in random media. He spent a year at the Cavendish Laboratory, University of Cambridge in 1992 before joining the Laboratory of Condensed Matter Physics (SPEC) of the French Atomic Energy and Alternative En ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Time Series Analysis
In mathematics, a time series is a series of data points indexed (or listed or graphed) in time order. Most commonly, a time series is a sequence taken at successive equally spaced points in time. Thus it is a sequence of discrete-time data. Examples of time series are heights of ocean tides, counts of sunspots, and the daily closing value of the Dow Jones Industrial Average. A time series is very frequently plotted via a run chart (which is a temporal line chart). Time series are used in statistics, signal processing, pattern recognition, econometrics, mathematical finance, weather forecasting, earthquake prediction, electroencephalography, control engineering, astronomy, communications engineering, and largely in any domain of applied science and engineering which involves temporal measurements. Time series ''analysis'' comprises methods for analyzing time series data in order to extract meaningful statistics and other characteristics of the data. Time series ''forecasting'' ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Statistical Physics
Statistical physics is a branch of physics that evolved from a foundation of statistical mechanics, which uses methods of probability theory and statistics, and particularly the Mathematics, mathematical tools for dealing with large populations and approximations, in solving physical problems. It can describe a wide variety of fields with an inherently stochastic nature. Its applications include many problems in the fields of physics, biology, chemistry, and neuroscience. Its main purpose is to clarify the properties of matter in aggregate, in terms of physical laws governing atomic motion. Statistical mechanics develop the Phenomenology (particle physics), phenomenological results of thermodynamics from a probabilistic examination of the underlying microscopic systems. Historically, one of the first topics in physics where statistical methods were applied was the field of classical mechanics, which is concerned with the motion of particles or objects when subjected to a force. ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Modeling And Analysis Of Financial Markets
Financial modeling is the task of building an abstract representation (a model) of a real world financial situation. This is a mathematical model designed to represent (a simplified version of) the performance of a financial asset or portfolio of a business, project, or any other investment. Typically, then, financial modeling is understood to mean an exercise in either asset pricing or corporate finance, of a quantitative nature. It is about translating a set of hypotheses about the behavior of markets or agents into numerical predictions. At the same time, "financial modeling" is a general term that means different things to different users; the reference usually relates either to accounting and corporate finance applications or to quantitative finance applications. While there has been some debate in the industry as to the nature of financial modeling—whether it is a tradecraft, such as welding, or a science—the task of financial modeling has been gaining acceptance ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Mathematical Finance
Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling of financial markets. In general, there exist two separate branches of finance that require advanced quantitative techniques: derivatives pricing on the one hand, and risk and portfolio management on the other. Mathematical finance overlaps heavily with the fields of computational finance and financial engineering. The latter focuses on applications and modeling, often by help of stochastic asset models, while the former focuses, in addition to analysis, on building tools of implementation for the models. Also related is quantitative investing, which relies on statistical and numerical models (and lately machine learning) as opposed to traditional fundamental analysis when managing portfolios. French mathematician Louis Bachelier's doctoral thesis, defended in 1900, is considered the first scholarly work on mathematical fina ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Econophysics
Econophysics is a Heterodox economics, heterodox interdisciplinary research field, applying theories and methods originally developed by physicists in order to solve problems in economics, usually those including uncertainty or stochastic processes and Chaos theory, nonlinear dynamics. Some of its application to the study of financial markets has also been termed statistical finance referring to its roots in statistical physics. Econophysics is closely related to social physics. History Physicists' interest in the social sciences is not new (see e.g.,); Daniel Bernoulli, as an example, was the originator of utility-based preferences. One of the founders of neoclassical economic theory, former Yale University Professor of Economics Irving Fisher, was originally trained under the renowned Yale physicist, Josiah Willard Gibbs. Likewise, Jan Tinbergen, who won the first Nobel Memorial Prize in Economic Sciences in 1969 for having developed and applied dynamic models for the analysis of ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
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