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Topic: Volatility (physics)

    Note: these results are not from the primary (high quality) database.

Power-Laws in Economy and Finance: Some Ideas From Physics (SMEALSearch) - Pal,Rangaswamy,Giles,Debnath From an empirical point of view, the exponents describing the tails of the price increments distribution and the decay of the volatility correlations are rather robust and suggest universality. Recent progress in the empirical study of the volatility suggests that the volatility results from some sort of multiplicative cascade. However, many of the models that appear naturally (for example, to account for the distribution of wealth) contain some multiplicative noise, which generically leads to non universal exponents. gunther.smeal.psu.edu /12865.html   (375 words)

The Statistical Physics of financial markets On a short time scale the volatility is dominated by the actions of the short-time traders, while the long-term traders cause the volatility on a long time grid. This distribution avoids too many large events, has a finite variance (therefore converges to a Gaussian distribution for long time-scales, which is observed) and shows scaling on short time scales. This suggests "that the same mechanism operates at all time scales, and that there is a single universal distribution function characterizing it" [28]. iapetus.phy.umist.ac.uk /Teaching/LitStudies/Essays/Econophysics.html   (5078 words)

Citebase - Stock market crashes, Precursors and Replicas We propose that large stock market crashes are analogous to critical points studied in statistical physics with log-periodic correction to scaling. We study the statistical properties of volatility---a measure of how much the market is likely to fluctuate. We present a synthesis of all the available empirical evidence in the light of recent theoretical developments for the existence of characteristic log-periodic signatures of growing bubbles in a variety of markets including 8 unrelated crashes from 1929 to 1998 on stock markets as diverse as the... citebase.eprints.org /cgi-bin/citations?archiveID=oai:arXiv.org:cond-mat/9510036   (5078 words)

NLUUG najaarsconferentie 2000 After an education in physics in Groningen and after a transformation into computing science in Eindhoven, Wietse now is a research staff member at IBM in the USA. The paradox of persistence and volatility is one of the topics that will be discussed. Wietse Venema is the author of famous and notorious software such as the TCP Wrapper, the Postfix mail system, and, co-authored with Dan Farmer, SATAN and the recently released Coroner's Toolkit for computer forensic analysis. www.nluug.nl /events/nj2000/abstracts/venema.html   (131 words)

Moscow State Engineering Physics Institute Technical University: 3D View of the Web A science journalist explores universality, a concept of theoretical physics which holds that chaotic events (World War I) and disastrous physical phenomena (the 1988 Yellowstone Fire) happen because elements have reached a `critical state` that leads to the collapse of structure. In his new book, Riccardo Rebonato introduces financial professionals to the practical and subtle use of the concepts of volatility (the degree of randomness in a price movement) and correlation (the relationship between the changes in value of two financial assets) in the pricing of complex options. Prior to joining NatWest, he was, at the same time, Head of the Complex Derivatives Trading desk and of the Complex Derivatives Research Group at Barclays Capital, where he worked for nine years. www.resolve3d.com /Reference/Education/CollegesandUniversities/Europe/Russia/MoscowStateEngineeringPhysicsInstitute-TechnicalUniversity   (131 words)

how to find the correlation coefficient correlation decay distribution fluctuation function kinetics long physics plasma wave correlation distribution linear probability random regression sampling variable volatility of thumb" to ascertain when a correlation coefficient is "high... correlation-article.look-to.com /how-to-find-the-correlation-coefficient.html   (204 words)

James Hudson, Atmospheric Sciences Center, Desert Research Institute He compares the CCN spectra with cloud droplet spectra to obtain a better fundamental understanding of cloud physics. Recent work has also involved physical characterization of CCN (volatility and the relationship between physical size and critical supersaturation) in order to understand sources. This and the interstitial and droplet residue measurements are now better done with the two matched DRI CCN spectrometers as has been done in two of his most recent aircraft research projects. www.dri.edu /People/hudson   (161 words)

Ssn_16.html FeRAM technology covered focuses on FeRAM device physics, reliability and device trends for 0.25 to 0.18 um and beyond. Low and medium density FeRAM promise 1V operation, 1-10ns write, and non-volatility with virtually no endurance limit. Embedded FeRAM technology is compatible with evolving CMOS technology. www.isscc.org /isscc/2000/ap/ap/Ssn_16.html   (450 words)

Amazon.com: The Crisis of Global Capitalism: Open Society Endangered: Books: George Soros By 'dynamic disequilibrium' Soros sometimes means far from equilibrium markets with volatility and fat tails (normal liquid markets), and sometimes he means market crashes. A good dose of Newtonian physics, or at least a basic course in dynamical systems earlier at the London School of Economics might have prevented such misconceptions. 62, `static disequilibrium' should be replaced by `closed system with small fluctuations', maybe equilibrium, maybe far from equilibrium. www.amazon.com /exec/obidos/tg/detail/-/1891620274?v=glance   (4089 words)

Expert in: Condensed Matter Physics In cases where the Czochralski method of single crystal growth is inappropriate (primarily due to excessive volatility) Expert uses the Bridgman method of single crystal growth. Czochralski and Bridgman methods are used for single crystal growth; atomic absorption spectrophotometry for analysis. High purity and intentionally doped single crystals of alkali halides, hydrides and cyanides are grown by the Czochralski and Bridgman techniques under Expert's supervision. www.intota.com /viewbio.asp?bioID=614724&perID=713124   (465 words)

MSN Encarta - Alfred Nobel In 1867 Nobel achieved his goal; by using an organic packing material to reduce the volatility of the nitroglycerin, he produced what he called dynamite. His will provided that the major portion of his $9 million estate be set up as a fund to establish yearly prizes for merit in physics, chemistry, medicine and physiology, literature, and world peace. Alfred Nobel (1833-96), Swedish chemist, inventor, and philanthropist, born in Stockholm. encarta.msn.com /encyclopedia_761570873/Nobel_Alfred_Bernhard.html   (248 words)

course_descriptions Further topics will include calibration to volatility skew, the use of trinomial trees to control for mean reversion, and the use of Monte Carlo simulations to price mortgage products. The course covers from classical mechanics, Newtonian, Lagrangian and Hamiltonian formulation, to equilibrium, nonequilibrium statistical physics, including phase transitions, Landau theory and renormalization groups, transport equations, linear response theory and fluctuation-dissipation theorem, to continuum theory -- fluids and solids, including continuum introduction to nonlinear elasticity, to quantum mechanics and Macromolecules. Two theorems that are widely used in Finance, Girsanov's Theorem and The Martingale Representation Theorem will be presented next. www.math.nyu.edu /degree/course_descriptions.html   (248 words)

Chemistry / Physics Week 6 Syllabi Notes Ketones can be aromatic or alicyclic, are water soluble, are usually liquids, the lower wt ones are flammable, and as molecular wt increases volatility decreases, water solub decr and flammability decreases. Halogens - Halogens are chlorine, fluorine, bromine and iodine. Saturated hydrocarbons form substitution while alicyclic, aromatic, and certain hetercyclic compounds either add or substitute halogens. mna2001.tripod.com /chemphysics/chemphysicsnotes8.11.htm   (248 words)

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