𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Amplified imitation in percolation model of stock market

✍ Scribed by D. Makowiec; P. Gnaciński; W. Miklaszewski

Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
566 KB
Volume
331
Category
Article
ISSN
0378-4371

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Performance of GARCH models in forecasti
Performance of GARCH models in forecasting stock market volatility
✍ Choo Wei Chong; Muhammad Idrees Ahmad; Mat Yusoff Abdullah 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 127 KB 👁 2 views

This paper studies the performance of GARCH model and its modi®cations, using the rate of returns from the daily stock market indices of the Kuala Lumpur Stock Exchange (KLSE) including Composite Index, Tins Index, Plantations Index, Properties Index, and Finance Index. The models are stationary GAR

Evolution and anti-evolution in a minima
Evolution and anti-evolution in a minimal stock market model
✍ R Rothenstein; K Pawelzik 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 577 KB

We present a novel microscopic stock market model consisting of a large number of random agents modeling traders in a market. Each agent is characterized by a set of parameters that serve to make iterated predictions of two successive returns. The future price is determined according to the o er and

A double-threshold GARCH model of stock
A double-threshold GARCH model of stock market and currency shocks on stock returns
✍ Yung-Lieh Yang; Chia-Lin Chang 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 491 KB

International integration of financial markets provides a channel for currency movements to affect stock prices. This paper applies a four-regime double-threshold GARCH (DTGARCH) model of stock market returns to investigate empirically the effects of daily currency movements on five stock market ret