FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W651609428> ?p ?o ?g. }

• W651609428 abstract "In recent years, researchers analyzed the historical data from the financial markets. They found that the statistical result is different from the classical financial theories, models, and methods. The difference is challenging the three hypotheses which are rational people hypothesis, efficient market hypothesis and random walk hypothesis. We need new perspective and tools to re-study the financial market as a complex system. A cellular automata based heterogeneous financial market model is proposed in this categories which dissertation. In this model, the market participant id divided in to two is the fundamentalists and chartists. A learn rules is used to make sure all the market participant can convert in these two categories. The method emulates the interact behaviors between the market participants, and emulates the overall market behavior. The author analyzes the randomness sources, mean-reverting property, bubble happen and bust, and stationary of this model. The author analyzes the relationships between cellular automata based heterogeneous financial market model and the Ornstein-Uhlenbeck model and GARCH models. The data simulated by the financial market model is fit the characteristics such as the fat tail of return's distribution, negative skewness, relationship between return and trading volume, the randomness of volatility, and volatility cluster, which the classical theory is failed to explain. How to add more heterogeneity into the model is discussed in this dissertation. In this dissertation, by using the cellular automata as a tool, an option pricing model and a heterogeneous financial market model are proposed. The result of the option pricing model is close to the result calculated by the formula. The simulation of heterogeneous financial market model can explain many phenomenons which can not be explained by the classical theory, such as the fat-tail of return and the bubble happen and bust. The author also preliminary designs the financial market model based on the asynchronous cellular automata. These models and conclusions indicate that cellular automata have a ability to show the randomness of the financial markets and simulate the behaves of the participants in the financial maket." @default.
• W651609428 created "2016-06-24" @default.
• W651609428 creator A5028293090 @default.
• W651609428 creator A5053935232 @default.
• W651609428 creator A5069849278 @default.
• W651609428 creator A5081062397 @default.
• W651609428 date "2015-01-01" @default.
• W651609428 modified "2023-10-14" @default.
• W651609428 title "Simulation of Heterogeneous Financial Market Model Based on Cellular Automaton" @default.
• W651609428 cites W1995748446 @default.
• W651609428 cites W1999996900 @default.
• W651609428 cites W2017957151 @default.
• W651609428 cites W2023576194 @default.
• W651609428 cites W2031817855 @default.
• W651609428 cites W2052361262 @default.
• W651609428 cites W2087183994 @default.
• W651609428 cites W2090353374 @default.
• W651609428 cites W2138293190 @default.
• W651609428 cites W2263098707 @default.
• W651609428 cites W2751862591 @default.
• W651609428 cites W3118259273 @default.
• W651609428 doi "https://doi.org/10.11648/j.sjams.20150303.18" @default.
• W651609428 hasPublicationYear "2015" @default.
• W651609428 type Work @default.
• W651609428 sameAs 651609428 @default.
• W651609428 citedByCount "0" @default.
• W651609428 crossrefType "journal-article" @default.
• W651609428 hasAuthorship W651609428A5028293090 @default.
• W651609428 hasAuthorship W651609428A5053935232 @default.
• W651609428 hasAuthorship W651609428A5069849278 @default.
• W651609428 hasAuthorship W651609428A5081062397 @default.
• W651609428 hasBestOaLocation W6516094281 @default.
• W651609428 hasConcept C10138342 @default.
• W651609428 hasConcept C106159729 @default.
• W651609428 hasConcept C114118609 @default.
• W651609428 hasConcept C149782125 @default.
• W651609428 hasConcept C151730666 @default.
• W651609428 hasConcept C162324750 @default.
• W651609428 hasConcept C19244329 @default.
• W651609428 hasConcept C201543015 @default.
• W651609428 hasConcept C23922673 @default.
• W651609428 hasConcept C2776142675 @default.
• W651609428 hasConcept C2780299701 @default.
• W651609428 hasConcept C2780762169 @default.
• W651609428 hasConcept C29368100 @default.
• W651609428 hasConcept C33400823 @default.
• W651609428 hasConcept C41008148 @default.
• W651609428 hasConcept C86803240 @default.
• W651609428 hasConcept C91602232 @default.
• W651609428 hasConcept C97713585 @default.
• W651609428 hasConceptScore W651609428C10138342 @default.
• W651609428 hasConceptScore W651609428C106159729 @default.
• W651609428 hasConceptScore W651609428C114118609 @default.
• W651609428 hasConceptScore W651609428C149782125 @default.
• W651609428 hasConceptScore W651609428C151730666 @default.
• W651609428 hasConceptScore W651609428C162324750 @default.
• W651609428 hasConceptScore W651609428C19244329 @default.
• W651609428 hasConceptScore W651609428C201543015 @default.
• W651609428 hasConceptScore W651609428C23922673 @default.
• W651609428 hasConceptScore W651609428C2776142675 @default.
• W651609428 hasConceptScore W651609428C2780299701 @default.
• W651609428 hasConceptScore W651609428C2780762169 @default.
• W651609428 hasConceptScore W651609428C29368100 @default.
• W651609428 hasConceptScore W651609428C33400823 @default.
• W651609428 hasConceptScore W651609428C41008148 @default.
• W651609428 hasConceptScore W651609428C86803240 @default.
• W651609428 hasConceptScore W651609428C91602232 @default.
• W651609428 hasConceptScore W651609428C97713585 @default.
• W651609428 hasLocation W6516094281 @default.
• W651609428 hasOpenAccess W651609428 @default.
• W651609428 hasPrimaryLocation W6516094281 @default.
• W651609428 hasRelatedWork W113164612 @default.
• W651609428 hasRelatedWork W1568446225 @default.
• W651609428 hasRelatedWork W1584986017 @default.
• W651609428 hasRelatedWork W1608288550 @default.
• W651609428 hasRelatedWork W1976503548 @default.
• W651609428 hasRelatedWork W2047229686 @default.
• W651609428 hasRelatedWork W2150739154 @default.
• W651609428 hasRelatedWork W2154267573 @default.
• W651609428 hasRelatedWork W2392822272 @default.
• W651609428 hasRelatedWork W2598166955 @default.
• W651609428 hasRelatedWork W2782667201 @default.
• W651609428 hasRelatedWork W3100085027 @default.
• W651609428 hasRelatedWork W3123449228 @default.
• W651609428 hasRelatedWork W3123648868 @default.
• W651609428 hasRelatedWork W3125459023 @default.
• W651609428 hasRelatedWork W3164270517 @default.
• W651609428 hasRelatedWork W3200304699 @default.
• W651609428 hasRelatedWork W74852942 @default.
• W651609428 hasRelatedWork W942539725 @default.
• W651609428 hasRelatedWork W1731422057 @default.
• W651609428 isParatext "false" @default.
• W651609428 isRetracted "false" @default.
• W651609428 magId "651609428" @default.
• W651609428 workType "article" @default.