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Memorias de investigación
Research Publications in journals:
An adaptive stochastic model for financial markets
Year:2012
Research Areas
  • Physics chemical and mathematical
Information
Abstract
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.
International
Si
JCR
No
Title
Chaos, Solitons, And Fractals
ISBN
0960-0779
Impact factor JCR
1,222
Impact info
Volume
45
10.1016/j.chaos.2012.03.005
Journal number
6
From page
899
To page
908
Month
JUNIO
Ranking
Participants
  • Autor: Juan Antonio Hernández (Iberbanda)
  • Autor: Rosa Maria Benito Zafrilla (UPM)
  • Autor: Juan Carlos Losada Gonzalez (UPM)
Research Group, Departaments and Institutes related
  • Creador: Grupo de Investigación: Grupo de Sistemas Complejos
  • Departamento: Física y Mecánica Fundamentales y Aplicada a la Ingeniería Agroforestal
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