Price dynamics and market power in an agent-based power exchange [5848-31] (Englisch)
- Neue Suche nach: Cincotti, S.
- Neue Suche nach: Guerci, E.
- Neue Suche nach: Raberto, M.
- Neue Suche nach: SPIE-- the International Society for Optical Engineering
- Neue Suche nach: Cincotti, S.
- Neue Suche nach: Guerci, E.
- Neue Suche nach: Raberto, M.
- Neue Suche nach: Abbott, Derek
- Neue Suche nach: SPIE-- the International Society for Optical Engineering
In:
Noise and fluctuations in econophysics and finance
;
233-240
;
2005
-
ISBN:
-
ISSN:
- Aufsatz (Konferenz) / Print
-
Titel:Price dynamics and market power in an agent-based power exchange [5848-31]
-
Beteiligte:Cincotti, S. ( Autor:in ) / Guerci, E. ( Autor:in ) / Raberto, M. ( Autor:in ) / Abbott, Derek / SPIE-- the International Society for Optical Engineering
-
Kongress:Technical conference, Noise and fluctuations in econophysics and finance ; 2005 ; Austin, TX
-
Erschienen in:PROCEEDINGS- SPIE THE INTERNATIONAL SOCIETY FOR OPTICAL ENGINEERING ; 5848 ; 233-240
-
Verlag:
- Neue Suche nach: SPIE
-
Erscheinungsdatum:01.01.2005
-
Format / Umfang:8 pages
-
ISBN:
-
ISSN:
-
Medientyp:Aufsatz (Konferenz)
-
Format:Print
-
Sprache:Englisch
-
Schlagwörter:
-
Datenquelle:
© Metadata Copyright the British Library Board and other contributors. All rights reserved.
Inhaltsverzeichnis Konferenzband
Die Inhaltsverzeichnisse werden automatisch erzeugt und basieren auf den im Index des TIB-Portals verfügbaren Einzelnachweisen der enthaltenen Beiträge. Die Anzeige der Inhaltsverzeichnisse kann daher unvollständig oder lückenhaft sein.
- 1
-
From default probabilities to credit spreads: credit risk models explain market prices (Keynote Address) [5848-01]Denzler, S. M. / Dacorogna, M. M. / Muller, U. A. / McNeil, A. J. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 1
-
From default probabilities to credit spreads: credit risk models explain market prices (Keynote Address)Denzler, Stefan M. / Dacorogna, Michel M. / Muller, Ulrich A. / McNeil, Alexander J. et al. | 2005
- 17
-
Forecasting of magnitude and duration of currency crises based on the analysis of distortions of fractal scaling in exchange rate fluctuationsUritskaya, Olga Y. et al. | 2005
- 17
-
Forecasting of magnitude and duration of currency crises based on the analysis of distortions of fractal scaling in exchange rate fluctuations [5848-05]Uritskaya, O. Y. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 27
-
A theory of fluctuations in stock prices: effects of discretenessAlejandro-Quinones, Angel L. / Bassler, Kevin E. / McCauley, Joseph L. / Gunaratne, Gemunu H. et al. | 2005
- 27
-
A theory of fluctuations in stock prices: effects of discreteness [5848-07]Alejandro-Quinones, A. L. / Bassler, K. E. / McCauley, J. L. / Gunaratne, G. H. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 39
-
A wavelet analysis of scaling laws and long-memory in stock market volatility [5848-50]Vuorenmaa, T. A. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 39
-
A wavelet analysis of scaling laws and long-memory in stock market volatilityVuorenmaa, Tommi A. et al. | 2005
- 55
-
A non-Gaussian model of stock returns: option smiles, credit skews, and a multi-time scale memory (Keynote Address) [5848-11]Borland, L. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 55
-
A non-Gaussian model of stock returns: option smiles, credit skews, and a multi-time scale memory(Keynote Address)Borland, Lisa et al. | 2005
- 66
-
Path integrals in fluctuating markets with a non-Gaussian option pricing modelBonnet, Frederic D. R. / van der Hoek, John / Allison, Andrew / Abbott, Derek et al. | 2005
- 66
-
Path integrals in fluctuating markets with a non-Gaussian option pricing model [5848-12]Bonnet, F. D. R. / van der Hoek, J. / Allison, A. / Abbott, D. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 86
-
What shakes the FX tree? Understanding currency dominance, dependence, and dynamics (Keynote Address)Johnson, Neil F. / McDonald, Mark / Suleman, Omer / Williams, Stacy / Howison, Sam et al. | 2005
- 86
-
What shakes the FX tree? Understanding currency dominance, dependence, and dynamics (Keynote Address) [5848-15]Johnson, N. F. / McDonald, M. / Suleman, O. / Williams, S. / Howison, S. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 100
-
Correlation filtering in financial time series (Invited Paper) [5848-17]Aste, T. / Di Matteo, T. / Tumminello, M. / Mantegna, R. N. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 100
-
Correlation filtering in financial time series (Invited Paper)Aste, T. / Di Matteo, Tiziana / Tumminello, M. / Mantegna, R. N. et al. | 2005
- 110
-
Pricing of options on assets with level dependent stochastic volatilitySkabelin, Alexander et al. | 2005
- 110
-
Pricing of options on assets with level dependent stochastic volatility [5848-19]Skabelin, A. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 125
-
The subtle nature of market efficiency (Invited Paper) [5848-20]Bouchaud, J.-P. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 125
-
The subtle nature of market efficiency (Invited Paper)Bouchaud, Jean-Philippe et al. | 2005
- 131
-
Variable step random walks, self-similar distributions, and pricing of options (Invited Paper) [5848-21]Gunaratne, G. H. / McCauley, J. L. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 131
-
Variable step random walks, self-similar distributions, and pricing of options (Invited Paper)Gunaratne, Gemunu H. / McCauley, Joseph L. et al. | 2005
- 140
-
Asymmetry and multifractality in finance with an application to option smilesPochart, Benoit et al. | 2005
- 140
-
Asymmetry and multifractality in finance with an application to option smiles [5848-22]Pochart, B. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 151
-
Power-law distributions in economics: a nonextensive statistical approach (Invited Paper)Duarte Queiros, Silvio M. / Anteneodo, Celia / Tsallis, Constantino et al. | 2005
- 151
-
Power-law distributions in economics: a nonextensive statistical approach (Invited Paper) [5848-23]Queiros, S. M. D. / Anteneodo, C. / Tsallis, C. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 165
-
On the interplay between fluctuations and efficiency in a model economy with heterogeneous adaptive consumers (Invited Paper)De Martino, Andrea / Marsili, Matteo et al. | 2005
- 165
-
On the interplay between fluctuations and efficiency in a model economy with heterogeneous adaptive consumers (Invited Paper) [5848-24]De Martino, A. / Marsili, M. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 174
-
De-noising with wavelets method in chaotic time series: application in climatology, energy, and finance (Invited Paper)Guegan, Dominique / Hoummiya, Kebira et al. | 2005
- 174
-
De-noising with wavelets method in chaotic time series: application in climatology, energy, and finance (Invited Paper) [5848-49]Guegan, D. / Hoummiya, K. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 186
-
A closed-form exact solution for the value of American put and its optimal exercise boundary (Invited Paper) [5848-26]Zhu, S.-P. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 186
-
A closed-form exact solution for the value of American put and its optimal exercise boundary (Invited Paper)Zhu, Song-Ping et al. | 2005
- 200
-
Speculative equilibria and asymptotic dominance in a market with adaptive CRRA traders (Invited Paper) [5848-27]Anufriev, M. / Bottazzi, G. / Pancotto, F. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 200
-
Speculative equilibria and asymptotic dominance in a market with adaptive CRRA traders (Invited Paper)Anufriev, Mikhail / Bottazzi, Giulio / Pancotto, Francesca et al. | 2005
- 215
-
Poisson-process generalization for the trading waiting-time distribution in a double-auction mechanism [5848-28]Cincotti, S. / Ponta, L. / Raberto, M. / Scalas, E. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 215
-
Poisson-process generalization for the trading waiting-time distribution in a double-auction mechanismCincotti, Silvano / Ponta, Linda / Raberto, Marco / Scalas, Enrico et al. | 2005
- 225
-
Competitive advantage for multiple-memory strategies in an artificial marketMitman, Kurt E. / Choe, Sehyo C. / Johnson, Neil F. et al. | 2005
- 225
-
Competitive advantage for multiple-memory strategies in an artificial market [5848-30]Mitman, K. E. / Choe, S. C. / Johnson, N. F. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 233
-
Price dynamics and market power in an agent-based power exchange [5848-31]Cincotti, S. / Guerci, E. / Raberto, M. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 233
-
Price dynamics and market power in an agent-based power exchangeCincotti, Silvano / Guerci, Eric / Raberto, Marco et al. | 2005
- 241
-
Fluctuation in option pricing using cellular automata based market models [5848-32]Gao, Y. / Beni, G. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 241
-
Fluctuation in option pricing using cellular automata based market modelsGao, Yuying / Beni, Gerardo et al. | 2005
- 252
-
Complex dynamics and empirical evidence (Invited Paper)Delli Gatti, Domenico / Gaffeo, Edoardo / Giulioni, Gianfranco / Gallegati, Mauro / Kirman, Alan / Palestrini, Antonio / Russo, Alberto et al. | 2005
- 252
-
Complex dynamics and empirical evidence (Invited Paper) [5848-34]Gatti, D. D. / Gaffeo, E. / Giulioni, G. / Gallegati, M. / Kirman, A. / Palestrini, A. / Russo, A. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 263
-
Optimal investment strategies and hedging of derivatives in the presence of transaction costs (Invited Paper) [5848-36]Muratore-Ginanneschi, P. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 263
-
Optimal investment strategies and hedging of derivatives in the presence of transaction costs (Invited Paper)Muratore-Ginanneschi, Paolo et al. | 2005
- 274
-
Rate of convergence of approximations of some convex functionals of stochastic differential equations [5848-37]Schurz, H. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 274
-
Rate of convergence of approximations of some convex functionals of stochastic differential equationsSchurz, Henri et al. | 2005
- 291
-
Risk analytics for hedge fundsPareek, Ankur et al. | 2005
- 291
-
Risk analytics for hedge funds [5848-38]Pareek, A. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 303
-
Lumpy investment, sectoral propagation, and business cycles (Invited Paper)Nirei, Makoto et al. | 2005
- 303
-
Lumpy investment, sectoral propagation, and business cycles (Invited Paper) [5848-40]Nirei, M. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 318
-
Serial correlation in the Italian futures marketBianco, Simone / Reno, Roberto et al. | 2005
- 318
-
Serial correlation in the Italian futures market [5848-43]Bianco, S. / Reno, R. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 330
-
Analysis in correlation for the Korean stock marketJung, Woo-Sung / Chae, Seungbyung / Yang, Jae-Suk / Kwon, Okyu / Moon, Hie-Tae et al. | 2005
- 330
-
Analysis in correlation for the Korean stock market [5848-44]Jung, W.-S. / Chae, S. / Yang, J.-S. / Kwon, O. / Moon, H.-T. / SPIE-- the International Society for Optical Engineering et al. | 2005
- 339
-
What physicists should know about financeSchmidt, Anatoly B. et al. | 2005
- 339
-
What physicists should know about finance [5848-45]Schmidt, A. B. / SPIE-- the International Society for Optical Engineering et al. | 2005