Observatorio de I+D+i UPM

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
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Esta actividad pertenece a memorias de investigación

• Autor: Juan Antonio Hernández (Iberbanda)
• Autor: Rosa Maria Benito Zafrilla (UPM)
• Autor: Juan Carlos Losada Gonzalez (UPM)

• Creador: Grupo de Investigación: Grupo de Sistemas Complejos
• Departamento: Física y Mecánica Fundamentales y Aplicada a la Ingeniería Agroforestal