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Memorias de investigación
Artículos en revistas:
An adaptive stochastic model for financial markets
Año:2012
Áreas de investigación
  • Física química y matemáticas
Datos
Descripción
An adaptive stochastic model is introduced to simulate the behavior of real asset markets. The model adapts itself by changing its parameters automatically on the basis of the recent historical data. The basic idea underlying the model is that a random variable uniformly distributed within an interval with variable extremes can replicate the histograms of asset returns. These extremes are calculated according to the arrival of new market information. This adaptive model is applied to the daily returns of three well-known indices: Ibex35, Dow Jones and Nikkei, for three complete years. The model reproduces the histograms of the studied indices as well as their autocorrelation structures. It produces the same fat tails and the same power laws, with exactly the same exponents, as in the real indices. In addition, the model shows a great adaptation capability, anticipating the volatility evolution and showing the same volatility clusters observed in the assets. This approach provides a novel way to model asset markets with internal dynamics which changes quickly with time, making it impossible to define a fixed model to fit the empirical observations.
Internacional
Si
JCR del ISI
No
Título de la revista
Chaos, Solitons, And Fractals
ISSN
0960-0779
Factor de impacto JCR
1,222
Información de impacto
Volumen
45
DOI
10.1016/j.chaos.2012.03.005
Número de revista
6
Desde la página
899
Hasta la página
908
Mes
JUNIO
Ranking
Esta actividad pertenece a memorias de investigación
Participantes
  • Autor: Juan Antonio Hernández (Iberbanda)
  • Autor: Rosa Maria Benito Zafrilla (UPM)
  • Autor: Juan Carlos Losada Gonzalez (UPM)
Grupos de investigación, Departamentos, Centros e Institutos de I+D+i relacionados
  • Creador: Grupo de Investigación: Grupo de Sistemas Complejos
  • Departamento: Física y Mecánica Fundamentales y Aplicada a la Ingeniería Agroforestal
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