berlino

Information about berlino

Published on April 17, 2008

Author: Waldarrama

Source: authorstream.com

Content

Slide1:  Aspects of Financial Physics Gianaurelio Cuniberti Max-Planck-Institut für Physik komplexer Systeme www.infm.it/econophysics Collaborators: M. Raberto Università di Genova E. Scalas Università del Piemonte Orientale G. Susinno Monis, London A. Valleriani MPIKG, Berlin Slide2:  Why Physicists are interested in Economics (mainly in Finance)? Is it really a new trend? Slide4:  „First you guess. Don‘t laugh, this is the most important step. Then you compute the consequences. Compare the consequences with experience. If it disagrees with experience, the guess is wrong. In this simple statement is the key to science.“ Richard P. Feynman Slide5:  Why Physicists... ? circumstantial reasons: Slide6:  Why Physicists... ? educational reasons: Slide10:  Why Physicists... ? scientific reasons: Statistical Physics offers concepts and methods applied outside the ordinary physics domain: evolution of biological species immunology neural computation image reconstruction optimization theory financial markets financial markets have the additional feature of a huge amount of empirical data, letting theories and conjectures being falsified in the spirit of the scientific method many agent interactions: the realm of Statistical Mechanics Slide12:  Antoine-Augustine Cournot (Gray, Haute-Saone, 1801 — Paris, 1727) mathematician, economist the first brillant example of the application of mathematical ideas in economics: Researches into the Mathematical Principle of the Theory of Wealth (1838); introduced theory of oligopolies in terms of profit maximization Slide13:  Vilfredo Pareto (Paris, 1848 — Geneve, 1923) engineer His first book on the political economy (Cours d‘économie politique) included the famous law of income distribution: where N is the number of people with income X and a,b are constant (a power law). Slide14:  A. Cowles „Can stock market forecasters forecast?“ Econometrica 1, 309 (1933) M.G. Kendall „The analysis of economic time-series“ J. Royal Statist. Soc. 96, 11 (1953) ...The series looks like a „wondering“ one, almost as the Demon of Chance drew a random number [...] and add it to the current price to determine next week‘s price. 1953: circular letter of Savage (Yale) about the work of Bachelier... Slide15:  we (and not only we) have forgotten about Louis Bachelier (Le Havre, 1870 — Saint Servan, 1946) mathematician 1900: in his Sorbonne PhD thesis, introduced the random walk model for asset prices traded in the Paris stock exchange. Later in this century was acknowledged as the father of modern mathematical finance. The Fokker-Planck equation for diffusion of probabilities is already in Bachelier 1900 work. L. Bachelier: Théorie de la Speculation, Gauthier-Villars, Paris (1900), reprinted in 1995, Editions Jaques Gabay, Paris. English translation in P.H. Cootner, The Random Character of Stock Market Prices, MIT press (1964) Slide16:  Elliot Montroll (1916 —1983) statistical physicist studied many complex problems such as pollution control, traffic flow, population dynamics, and development of countries from an agricultural to an industrial society. He felt that a physicit should be able to contribute to these important problems of modern times. E.W. Montroll and W.W. Badger, Quantitative Aspects of Social Phenomena, Gordon and Breach, London (1974) Slide17:  Benoit Mandelbrot (Warszawa, 1923) (applied) mathematician In the sixties, was the first to introduce stable distributions in finance and economics, in order to explain fat tails of empirical distributions. B. Mandelbrot, The variation of Certain speculative Prices, Journal of Business 36, 394 (1963) B. Mandelbrot, Fractals and Scaling in Finance, Springer (1997) Slide18:  Fisher Black (1938 — 1995) physicist Myron S. Scholes (1941) mathematician Robert C. Merton (New York, 1944) electric engineer Merton and Scholes have awarded of the Nobel Prize for Economics in 1997 for a new method to determine the value of derivatives In 1973, Black, Scholes and Merton developed a formula for the valuation of stock options; their methodology paved the way for economic valuation in many areas, generated new types of financial instruments and facilitated more efficient risk management in society Slide21:  SDE: a “poor man” approach riskless curve log P(t) is (drifted) arithmetic Brownian Motion P(t) is (drifted) geometric Brownian Motion are prices geometric BMs? risky curve gaussian white noise Slide22:  Failure of the Classical Theory The Geometric Brownian motion is not appropriate for certain security stocks prices Slide23:  Correlations in the Bond-Future Market future market bund and btp futures opened at different times during the period considered (October ‘91 - January ‘94) symbolic dynamics correlations bund and btp future overnight are crosscorrelated gambling automatic investors are introduced to study the possibility of arbitrage Slide24:  Futures and Returns Slide25:  Symbolic Dynamics the bond walk (=0): Slide26:  Contingency Tables Slide27:  Disjoint Monte Carlo Joint Monte Carlo Slide28:  Gambling: the rules 1. day 0th: before closure, open a short and a long position on btp future 2. day nth: after the opening of bund future market, order the closure of the convenient btp position 3. day nth: before closure, the closed position is opened again 4. increment n, and go to step 2. Assumptions: every operation is costless transactions happen exactly at the opening and closing prices the margin account can be always kept over the maintenance margin Slide29:  Profiles Convenience: Yield profiles: Slide30:  The lotto gambler strategy use past information on the btp walk to forecast (in the spirit of the „technical analysis“) n build the probabilities and draw from them the convenient operation Slide33:  Conclusions motivations for econophysics future market the future prices considered are random variables crosscorrelated gambling there was possibility of arbitrage in the (frictionless) future market EPR bund and btp in the EPR scenario: quantum entanglements and non-locality are, here, prior information Slide34:  Gambling: the rules 1. day (n-1)th: before closure, open a short and a long position on btp future 2. day nth: after the opening of bund future market, order the closure of the convenient btp position 3. day nth: before closure, close the position still open 4. increment n, and go to step 1. Assumptions: every operation is costless transactions happen exactly at the opening and closing prices the margin account can be always kept over the maintenance margin Slide37:  Useful Books: Anderson, Arrow, and Pines. The Economy as an Evolving Complex System. (1988) Bouchaud and Potters. Théorie des Risques Financiers. (1997) Campbell, Lo, and MacKinaly. The Econometrics of Financial Markets. (1997) Embrecht, Klueppelberg, and Mikosch. Modelling Extemal Events for Insurance and Finance. (1997) Gouriéroux. ARCH Models and Financial Applications. (1997) Georgescu-Roegen. The Entropy Law and the Economic Process. (197) Hull. Options, Futures, and other Derivatives. 3rd Ed (1996) Karatzas, and Shreve. Brownian Motion and Stochastic Calculus. (1998) Kloeden, and Platen. Numerical Solution of Stochastic Differential Equations. (1992) Mantegna, and Stanley. Scaling Concepts in Finance. (1998) Musiela, and Rutkowski. Martingale Methods in Financial Modelling. (1997) Wilmott. Option Pricing. (1997) ...ad libitum in www.infm.it/econophysics Slide38:  Prior Information in the Bond Future Market: a Possibility for Arbitrage? Gianaurelio Cuniberti Max-Planck-Institut für Physik komplexer Systeme Marco Raberto INFM and Università di Genova Enrico Scalas INFM and Università del Piemonte Orientale www.infm.it/econophysics

Related presentations


Other presentations created by Waldarrama

ISP 20071031
30. 11. 2007
0 views

ISP 20071031

Mexican Revolution
13. 04. 2008
0 views

Mexican Revolution

CHINA
26. 03. 2008
0 views

CHINA

God is Love
17. 06. 2007
0 views

God is Love

GENOCIDE FRAMEWORK
28. 12. 2007
0 views

GENOCIDE FRAMEWORK

quidnunc
22. 04. 2008
0 views

quidnunc

pandemics
10. 04. 2008
0 views

pandemics

WF Surface Water
07. 04. 2008
0 views

WF Surface Water

LopezBGET12May05
30. 03. 2008
0 views

LopezBGET12May05

Tut Prager
28. 03. 2008
0 views

Tut Prager

AMY IMS CLIVARSSG15
27. 03. 2008
0 views

AMY IMS CLIVARSSG15

boone
04. 10. 2007
0 views

boone

After The Tornado
05. 10. 2007
0 views

After The Tornado

Tornadoes
07. 10. 2007
0 views

Tornadoes

gp 9 forest resources
10. 10. 2007
0 views

gp 9 forest resources

maki
06. 09. 2007
0 views

maki

Teaching Hockey Sense
06. 09. 2007
0 views

Teaching Hockey Sense

lecture16
06. 09. 2007
0 views

lecture16

Mouth Protection Info For Clinic
06. 09. 2007
0 views

Mouth Protection Info For Clinic

peter huybers
06. 09. 2007
0 views

peter huybers

P E at Arnold House
06. 09. 2007
0 views

P E at Arnold House

The Kerr Metric
29. 11. 2007
0 views

The Kerr Metric

BHEU2004 NF SP EWS v11
03. 12. 2007
0 views

BHEU2004 NF SP EWS v11

Presentation Bejakovic
05. 12. 2007
0 views

Presentation Bejakovic

911
02. 11. 2007
0 views

911

dalhousie
12. 11. 2007
0 views

dalhousie

SEGUNDA GUERRA MUNDIAL
13. 11. 2007
0 views

SEGUNDA GUERRA MUNDIAL

Svarc
14. 11. 2007
0 views

Svarc

7 CECCHINI Marco
16. 11. 2007
0 views

7 CECCHINI Marco

Las Mujeres Jaguar
20. 11. 2007
0 views

Las Mujeres Jaguar

visual studio 2008 linq
28. 11. 2007
0 views

visual studio 2008 linq

WoodandRyan
24. 12. 2007
0 views

WoodandRyan

CreditCards
25. 12. 2007
0 views

CreditCards

southeastasia
28. 12. 2007
0 views

southeastasia

BC8 11 2
01. 01. 2008
0 views

BC8 11 2

dw space
02. 01. 2008
0 views

dw space

NHSL Dont forget workforce
07. 01. 2008
0 views

NHSL Dont forget workforce

Prasser Project Conf 2006 final
26. 11. 2007
0 views

Prasser Project Conf 2006 final

ASD BASIC
28. 12. 2007
0 views

ASD BASIC

OQ Presentation2
04. 12. 2007
0 views

OQ Presentation2

HIPAA Education BasicFinal0103
23. 12. 2007
0 views

HIPAA Education BasicFinal0103

NCIA CARDÃ ACA
28. 12. 2007
0 views

NCIA CARDÃ ACA

2002 annual meeting print
19. 02. 2008
0 views

2002 annual meeting print

Gang Primer 1ID1
26. 02. 2008
0 views

Gang Primer 1ID1

Prasad p3
06. 09. 2007
0 views

Prasad p3

PotatoesI
04. 03. 2008
0 views

PotatoesI

UNIT ONE INTRODUCTION
06. 03. 2008
0 views

UNIT ONE INTRODUCTION

Prezentacja4
18. 03. 2008
0 views

Prezentacja4

NC2005 Denbeck
06. 09. 2007
0 views

NC2005 Denbeck

Ceremonial Speech
31. 12. 2007
0 views

Ceremonial Speech

03conv d3 champs
06. 09. 2007
0 views

03conv d3 champs

BCH Slide PresentationFinal
06. 09. 2007
0 views

BCH Slide PresentationFinal

G050504 00
03. 10. 2007
0 views

G050504 00

02 TCSS Semi Formal Dance
27. 11. 2007
0 views

02 TCSS Semi Formal Dance

Changes in Medina County
11. 12. 2007
0 views

Changes in Medina County

sunum39
21. 11. 2007
0 views

sunum39

S14 44
17. 12. 2007
0 views

S14 44

God Embraces vs 2
17. 06. 2007
0 views

God Embraces vs 2

gender issues
17. 06. 2007
0 views

gender issues

Funny Bunny Camille Page
17. 06. 2007
0 views

Funny Bunny Camille Page

Funny Turns
17. 06. 2007
0 views

Funny Turns

history of comedy presentation
17. 06. 2007
0 views

history of comedy presentation

history of english
17. 06. 2007
0 views

history of english

hinman romeo
17. 06. 2007
0 views

hinman romeo

Helping Children Love to Read
17. 06. 2007
0 views

Helping Children Love to Read

health humor
17. 06. 2007
0 views

health humor

happiness Belarus
17. 06. 2007
0 views

happiness Belarus

group F
17. 06. 2007
0 views

group F

Gripping
17. 06. 2007
0 views

Gripping

gallows humor
17. 06. 2007
0 views

gallows humor

fwe 05
17. 06. 2007
0 views

fwe 05

bremsstrahlung nss2006
22. 11. 2007
0 views

bremsstrahlung nss2006

praes lehnert
14. 03. 2008
0 views

praes lehnert

Dabholkar2
28. 11. 2007
0 views

Dabholkar2

HELP PP
17. 06. 2007
0 views

HELP PP

Gaubatz
06. 11. 2007
0 views

Gaubatz

Women Energy
04. 01. 2008
0 views

Women Energy

chi course06 4 23
03. 10. 2007
0 views

chi course06 4 23

ALDA
06. 09. 2007
0 views

ALDA

CobraKai MarketingPresentation
06. 09. 2007
0 views

CobraKai MarketingPresentation

NAU Hockey Club
06. 09. 2007
0 views

NAU Hockey Club

AGM CoachingandNewNCCP
06. 09. 2007
0 views

AGM CoachingandNewNCCP

hackman CLC
17. 06. 2007
0 views

hackman CLC

Yi Capstone071604
07. 12. 2007
0 views

Yi Capstone071604

Hotchkiss REU03
07. 11. 2007
0 views

Hotchkiss REU03

CASE ITINERARIO
01. 11. 2007
0 views

CASE ITINERARIO