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On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree
ultrametricity minimum spanning tree liquidity Jakarta Stock Exchange
2015/7/31
We analyze the evolving price °uctuations by using ultrametric distance of minimally spanning ˉnancial tree of stocks traded in Jakarta Stock Exchange 2000-2004. Ultrametricity is derived from transfo...
Market dynamics immediately before and after financial shocks: quantifying the Omori, productivity and Bath laws
Market dynamics financial shocks
2010/10/1
We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatility V(T_{c}) has a pe...
Geometric Arbitrage Theory and Market Dynamics
Geometric Arbitrage Theory Market Dynamics
2009/10/12
We have embedded the classical theory of stochastic finance into a differential geometric
framework called Geometric Arbitrage Theory and show that it is possible to.
Optimal intervention in the foreign exchange market when interventions affect market dynamics
exchange rate optimal impulse control quasi-variational inequalities stopping times
2009/1/1
We address the problem of optimal Central Bank intervention in the exchange rate market when interventions create feedback in the rate dynamics. In particular, we extend the work done on optimal impul...