Using Jeff Holman's comments in Quantitative Finance to illustrate 4 critical errors students should learn to avoid: 1) Mistaking tails (4th moment) for volatility (2nd moment), 2) Missing Jensen's Inequality, 3) Analyzing the hedging wihout the underlying, 4) The necessity of a numeraire in finance.
{"title":"Four Points Beginner Risk Managers Should Learn from Jeff Holman's Mistakes in the Discussion of Antifragile","authors":"N. Taleb","doi":"10.2139/SSRN.2368561","DOIUrl":"https://doi.org/10.2139/SSRN.2368561","url":null,"abstract":"Using Jeff Holman's comments in Quantitative Finance to illustrate 4 critical errors students should learn to avoid: 1) Mistaking tails (4th moment) for volatility (2nd moment), 2) Missing Jensen's Inequality, 3) Analyzing the hedging wihout the underlying, 4) The necessity of a numeraire in finance.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124047252","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2013-12-10DOI: 10.5506/APHYSPOLBSUPP.7.307
M. Jagielski, R. Kutner
We found a unified formula for description of the household incomes of all society classes, for instance, for the European Union in years 2005-2010. The formula is more general than well known that of Yakovenko et al. because, it satisfactorily describes not only the household incomes of low- and medium-income society classes but also the household incomes of the high-income society class. As a striking result, we found that the high-income society class almost disappeared in year 2009, in opposite to situation in remaining years, where this class played a significant role.
{"title":"Modelling of the European Union income distribution by extended Yakovenko formula","authors":"M. Jagielski, R. Kutner","doi":"10.5506/APHYSPOLBSUPP.7.307","DOIUrl":"https://doi.org/10.5506/APHYSPOLBSUPP.7.307","url":null,"abstract":"We found a unified formula for description of the household incomes of all society classes, for instance, for the European Union in years 2005-2010. The formula is more general than well known that of Yakovenko et al. because, it satisfactorily describes not only the household incomes of low- and medium-income society classes but also the household incomes of the high-income society class. As a striking result, we found that the high-income society class almost disappeared in year 2009, in opposite to situation in remaining years, where this class played a significant role.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123631122","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2013-09-19DOI: 10.1007/978-3-642-31301-1_5
He Chen, J. Inoue
{"title":"Dynamics of probabilistic labor markets: statistical physics perspective","authors":"He Chen, J. Inoue","doi":"10.1007/978-3-642-31301-1_5","DOIUrl":"https://doi.org/10.1007/978-3-642-31301-1_5","url":null,"abstract":"","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"183 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124611927","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2013-07-24DOI: 10.5890/JAND.2014.06.005
V. Kulkarni
Apparently random financial fluctuations often exhibit varying levels of complexity, chaos. Given limited data, predictability of such time series becomes hard to infer. While efficient methods of Lyapunov exponent computation are devised, knowledge about the process driving the dynamics greatly facilitates the complexity analysis. This paper shows that quarterly inventory changes of wheat in the global market, during 1974-2012, follow a nonlinear deterministic process. Lyapunov exponents of these fluctuations are computed using sliding time windows each of length 131 quarters. Weakly chaotic behavior alternates with non-chaotic behavior over the entire period of analysis. More importantly, in this paper, a cubic dependence of price changes on inventory changes leads to establishment of deterministic Duffing-Oscillator-Model(DOM) as a suitable candidate for examining inventory fluctuations of wheat. DOM represents the interaction of commodity production cycle with an external intervention in the market. Parameters obtained for shifting time zones by fitting the Fourier estimated time signals to DOM are able to generate responses that reproduce the true chaotic nature exhibited by the empirical signal at that time. Endowing the parameters with suitable meanings, one may infer that temporary changes in speculation reflect the pattern of inventory volatility that drives the transitions between chaotic and non-chaotic behavior.
{"title":"Complexity, Chaos, and the Duffing-Oscillator Model: An Analysis of Inventory Fluctuations in Markets","authors":"V. Kulkarni","doi":"10.5890/JAND.2014.06.005","DOIUrl":"https://doi.org/10.5890/JAND.2014.06.005","url":null,"abstract":"Apparently random financial fluctuations often exhibit varying levels of complexity, chaos. Given limited data, predictability of such time series becomes hard to infer. While efficient methods of Lyapunov exponent computation are devised, knowledge about the process driving the dynamics greatly facilitates the complexity analysis. This paper shows that quarterly inventory changes of wheat in the global market, during 1974-2012, follow a nonlinear deterministic process. Lyapunov exponents of these fluctuations are computed using sliding time windows each of length 131 quarters. Weakly chaotic behavior alternates with non-chaotic behavior over the entire period of analysis. More importantly, in this paper, a cubic dependence of price changes on inventory changes leads to establishment of deterministic Duffing-Oscillator-Model(DOM) as a suitable candidate for examining inventory fluctuations of wheat. DOM represents the interaction of commodity production cycle with an external intervention in the market. Parameters obtained for shifting time zones by fitting the Fourier estimated time signals to DOM are able to generate responses that reproduce the true chaotic nature exhibited by the empirical signal at that time. Endowing the parameters with suitable meanings, one may infer that temporary changes in speculation reflect the pattern of inventory volatility that drives the transitions between chaotic and non-chaotic behavior.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132236064","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper deals with forward performances of HARA type. Precisely, for a market model in which stock price processes are modeled by a locally bounded $d$-dimensional semimartingale, we elaborate a complete and explicit characterization for this type of forward utilities. Furthermore, the optimal portfolios for each of these forward utilities are explicitly described. Our approach is based on the minimal Hellinger martingale densities that are obtained from the important statistical concept of Hellinger process. These martingale densities were introduced recently, and appeared herein tailor-made for these forward utilities. After outlining our parametrization method for the HARA forward, we provide illustrations on discrete-time market models. Finally, we conclude our paper by pointing out a number of related open questions.
{"title":"Explicit Description of HARA Forward Utilities and Their Optimal Portfolios","authors":"Tahir Choulli, Junfeng Ma","doi":"10.4213/TVP5044","DOIUrl":"https://doi.org/10.4213/TVP5044","url":null,"abstract":"This paper deals with forward performances of HARA type. Precisely, for a market model in which stock price processes are modeled by a locally bounded $d$-dimensional semimartingale, we elaborate a complete and explicit characterization for this type of forward utilities. Furthermore, the optimal portfolios for each of these forward utilities are explicitly described. Our approach is based on the minimal Hellinger martingale densities that are obtained from the important statistical concept of Hellinger process. These martingale densities were introduced recently, and appeared herein tailor-made for these forward utilities. After outlining our parametrization method for the HARA forward, we provide illustrations on discrete-time market models. Finally, we conclude our paper by pointing out a number of related open questions.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115787886","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Writing the article-Time independent pricing of options in range bound markets; the question in the title came naturally to my mind. It is stated, in the above article, that in certain market conditions the stock price is subjected to an equation that exactly matches a time independent Schrodinger equation. The time independent equation for options valuation is used further to explain a stock market phenomenon that resembles an alpha particle decay tunneling effect. The transmission coefficient for the stock price tunneling effect it is also deduced. Although, it may not have important impact in quantum physics, the philosophical aspects residing in the use of quantum mechanics for stock market specific are very important.
{"title":"Are Financial Markets an aspect of Quantum World","authors":"O. Racorean","doi":"10.25103/JESTR.081.07","DOIUrl":"https://doi.org/10.25103/JESTR.081.07","url":null,"abstract":"Writing the article-Time independent pricing of options in range bound markets; the question in the title came naturally to my mind. It is stated, in the above article, that in certain market conditions the stock price is subjected to an equation that exactly matches a time independent Schrodinger equation. The time independent equation for options valuation is used further to explain a stock market phenomenon that resembles an alpha particle decay tunneling effect. The transmission coefficient for the stock price tunneling effect it is also deduced. Although, it may not have important impact in quantum physics, the philosophical aspects residing in the use of quantum mechanics for stock market specific are very important.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129121277","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2013-04-11DOI: 10.1007/978-3-319-00023-7
Tiziano Squartini, D. Garlaschelli
{"title":"Jan Tinbergen's legacy for economic networks: from the gravity model to quantum statistics","authors":"Tiziano Squartini, D. Garlaschelli","doi":"10.1007/978-3-319-00023-7","DOIUrl":"https://doi.org/10.1007/978-3-319-00023-7","url":null,"abstract":"","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"66 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123510722","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it "fully reflects" or "rapidly adjusts to" some information flow including the evolution of asset prices. By contrast, No Weak Arbitrage together with market sensitivity is sufficient and necessary for a market to be informationally efficient.
{"title":"A Modern Approach to the Efficient-Market Hypothesis","authors":"Gabriel Frahm","doi":"10.2139/ssrn.2216104","DOIUrl":"https://doi.org/10.2139/ssrn.2216104","url":null,"abstract":"Market efficiency at least requires the absence of weak arbitrage opportunities, but this is not sufficient to establish a situation where the market is sensitive, i.e., where it \"fully reflects\" or \"rapidly adjusts to\" some information flow including the evolution of asset prices. By contrast, No Weak Arbitrage together with market sensitivity is sufficient and necessary for a market to be informationally efficient.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-02-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114530825","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
An approach is proposed to determine structural shift in time-series assuming non-linear dependence of lagged values of dependent variable. Copulas are used to model non-linear dependence of time series components.
{"title":"Copula-Based Univariate Time Series Structural Shift Identification Test","authors":"H. Penikas","doi":"10.2139/SSRN.2196716","DOIUrl":"https://doi.org/10.2139/SSRN.2196716","url":null,"abstract":"An approach is proposed to determine structural shift in time-series assuming non-linear dependence of lagged values of dependent variable. Copulas are used to model non-linear dependence of time series components.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122851616","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
There are few papers about the consumption pattern of the Portuguese wine, using econometrics techniques. This work, pretend to analyze the consumers behavior of the wine produced in Portugal, determining the demand equation with panel data methods. There were used statistical data available in the Alentejo Regional Winegrowing Commission (CVRA) website. These data were obtained from a study about the market analysis, made, in 2009, by the A.C. Nielsen. The data are disaggregated by region and type of wine (Doc Verde+Regional Minho, Doc Regiao do Douro+Regional Terras Durienses, Doc Regiao da Bairrada+Regional Beiras, Doc Regiao do Dao+Regional Beiras, Doc da Regiao de Lisboa+Regional de Lisboa, Doc da Regiao do Tejo+Regional do Tejo, Doc da Regiao de Setubal+Regional Terras do Sado, Doc Alentejo+Regional Alentejano e Doc da Regiao do Algarve+Regional do Algarve), year (2008 and 2009) and by form of consumption (take home, direct consumption and discount). This work found some linear regularity in the consumers behavior of the Portuguese wine.
运用计量经济学方法研究葡萄牙葡萄酒消费模式的文献很少。这项工作，假装分析在葡萄牙生产的葡萄酒的消费者行为，确定与面板数据方法的需求方程。阿连特茹地区葡萄酒种植委员会(CVRA)网站上有使用的统计数据。这些数据来自于一项关于市场分析的研究，在2009年，由A.C.尼尔森。数据是按地区和类型的葡萄酒(Doc佛得角+米尼奥区域,医生Regiao做杜罗河+区域岩壁Durienses, Doc Regiao da Bairrada +区域贝拉,Doc Regiao做刀+区域贝拉,Doc da Regiao de葡京+区域de葡京,Doc da Regiao塔霍河+区域做塔霍河,Doc da Regiao德塞图巴尔+区域岩壁做茶道,医生阿连特茹+区域Alentejano e Doc da Regiao阿尔加维+区域做阿尔加维),年(2008和2009)和形式的消费(带回家,直接消费和折扣)。这项工作在葡萄牙葡萄酒的消费者行为中发现了一些线性规律。
{"title":"Consumers behavior of Portuguese wine","authors":"V. Martinho","doi":"10.7813/jee.2013/4-1/3","DOIUrl":"https://doi.org/10.7813/jee.2013/4-1/3","url":null,"abstract":"There are few papers about the consumption pattern of the Portuguese wine, using econometrics techniques. This work, pretend to analyze the consumers behavior of the wine produced in Portugal, determining the demand equation with panel data methods. There were used statistical data available in the Alentejo Regional Winegrowing Commission (CVRA) website. These data were obtained from a study about the market analysis, made, in 2009, by the A.C. Nielsen. The data are disaggregated by region and type of wine (Doc Verde+Regional Minho, Doc Regiao do Douro+Regional Terras Durienses, Doc Regiao da Bairrada+Regional Beiras, Doc Regiao do Dao+Regional Beiras, Doc da Regiao de Lisboa+Regional de Lisboa, Doc da Regiao do Tejo+Regional do Tejo, Doc da Regiao de Setubal+Regional Terras do Sado, Doc Alentejo+Regional Alentejano e Doc da Regiao do Algarve+Regional do Algarve), year (2008 and 2009) and by form of consumption (take home, direct consumption and discount). This work found some linear regularity in the consumers behavior of the Portuguese wine.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124648120","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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