Levels of complexity in financial markets

Bonanno G.; Mantegna RN.; Lillo F.

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Levels of complexity in financial markets

机译：金融市场的复杂程度

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We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather complex under several ways. Specifically, they are complex with respect to their (i) temporal and (ii) ensemble properties. Moreover, the ensemble return properties show a behavior which is specific to the nature of the trading day reflecting if it is a normal or an extreme trading day. (C) 2001 Elsevier Science B.V. All rights reserved. [References: 38]

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《Physica, A. Statistical mechanics and its applications》 |2001年第2期|共12页
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Bonanno G.; Mantegna RN.; Lillo F.;
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正文语种 eng
中图分类物理学;
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1. Levels of complexity in financial markets [J] . Bonanno G., Mantegna RN., Lillo F. Physica, A. Statistical mechanics and its applications . 2001,第1a2期

机译：金融市场的复杂程度
2. Modern Financial Markets and the Complexity of Financial Innovation [J] . Oxana L. Wieland Universal Journal of Accounting and Finance . 2015,第3期

机译：现代金融市场与金融创新的复杂性
3. Linkages between global crude oil market volatility and financial market by complexity synchronization [J] . Xing Yani, Wang Jun Empirical Economics . 2020,第5期

机译：通过复杂同步的全球原油市场波动与金融市场之间的联系
4. Inherent Conflicts in Risk Allocation, Complexity of Financial Engineering, and Fragility of CRT Markets [C] . Zhao Zheng International Conference on Complexity Science and Information Engineering . 2013

机译：内在的风险分配冲突，金融工程复杂性，CRT市场的脆弱性
5. Behavioral Financial Network: An Agent-Based Approach for the Complexity of Heterogeneous Financial Markets [D] . Alsulaiman, Talal 2017

机译：行为金融网络：基于代理的异构金融市场复杂性方法
6. Colloquium PaperAdaptive Agents Intelligence and Emergent Human Organization: Capturing Complexity through Agent-Based Modeling: Short-memory traders and their impact on group learning in financial markets [O] . Blake LeBaron 2002

机译：座谈会论文自适应代理情报和新兴人类组织：通过基于代理的建模来捕捉复杂性：短期交易者及其对金融市场中群体学习的影响
7. Financial Development and the Distributional Effects of Monetary Policy Do the distributional consequences of monetary policy depend on the extent of financial development? Should optimal monetary policy vary across countries? In order to answer these questions, we develop a monetary growth production model with heterogeneous agents. In our economy, optimal policy needs to weigh the effects of policy across two groups — capital owners and individuals who hold liquid assets. While banks help limit the exposure to inflation, there are limits because money alleviates the frictions of private information and limited communication. In this environment, we compare two economies that are identical in every aspect except for their level of financial development. In a country with limited financial development, a stock market is absent. In the other, an equity market is active. In either economy, inflation adversely affects capital formation and output. Individuals who hold liquid assets are always adversely affected by inflation, but the attitude of capital owners depends on the level of financial development. In particular, in the presence of a stock market, the impact of inflation on the welfare of capital owners is non-monotonic. Nevertheless, optimal monetary policy is always more conservative at higher levels of financial development. [O] . TINA M. Edgar A. Ghossoub, TINA M. Robert R. Reedy 100

机译：金融发展和货币政策的分配效应货币政策的分配后果是否取决于金融发展的程度？各国的最优货币政策应该不同吗？为了回答这些问题，我们开发了一个具有异构代理的货币增长生产模型。在我们的经济中，最优政策需要权衡两个群体的政策效应 - 资本所有者和持有流动资产的个人。虽然银行帮助限制通胀风险，但存在限制，因为资金减轻了私人信息的摩擦和有限的沟通。在这种环境下，我们比较两个经济体在各个方面都是相同的，除了它们的金融发展水平。在金融发展有限的国家，缺乏股票市场。另一方面，股票市场活跃。在任一经济体中，通胀都会对资本形成和产出产生不利影响持有流动资产的个人总是受到通货膨胀的不利影响，但资本所有者的态度取决于金融发展的水平。特别是，在股票市场存在的情况下，通货膨胀对资本所有者福利的影响是非单调的。尽管如此，在较高的金融发展水平下，最优货币政策总是更加保守。
8. A Theory of Money and Financial Institutions. Part 24. Trade and Prices in a Closed Economy with Exogenous Uncertainty, Different Levels of Information, Money and Compound Future Markets. [R] . Dubey, P., Shubik, M. 1976

机译：货币与金融机构理论。第24部分。具有外生不确定性，不同信息水平，货币和复合未来市场的封闭经济中的贸易和价格。

Levels of complexity in financial markets

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