Essays about: "econophysics"

Found 4 essays containing the word econophysics.

  1. 1. The Predictability of Speculative Bubbles : An examination of the log-periodic power law model

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Marcus Gustavsson; Daniel Levén; [2015]
    Keywords : Econophysics; mathematical finance; LPPL; log-periodic power law model; JLS-model; power law; speculative bubbles; bubble forecasting; modeling asset price dynamics; financial bubbles; bubbles; crashes;

    Abstract : In this thesis we examine the ability of the log-periodic power law model to accurately predict the end of speculative bubbles on financial markets through modeling of asset price dynamics on a selection of historical bubbles. The methods we use are based on a nonlinear least squares estimation which yields predictions of when the bubble will change regime. READ MORE

  3. 2. Natural Phenomenon & Market Crashes

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Erik Björkegren; [2009]
    Keywords : Didier Sornette; market crash; power law; log-periodicity; critical point; econophysics; Subprime Mortgage Crisis; OMXS30; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : In recent years a lot of criticism against the main assumptions of economic modeling has come to up, this has led to physicists entering the field of economics. By applying models originally developed for physics to economics, especially finance, analyzing methods with a different approach can be used. READ MORE

  4. 3. Behavioural Finance : The psychological impact and overconfidence in financial markets

    University essay from Institutionen för teknik och samhälle

    Author : Sixten Fagerström; [2008]
    Keywords : Behavioural finance; Overconfidence; Over-optimism; Cognitive psychology; Irrational markets; Econophysics;

    Abstract : Purpose The main purpose of this paper is to investigate overconfidence and over-optimism in the market. This leads the reader to the question, are the analysts “right” concerning their forecasts? The reader will also get to understand various and sometimes forgotten factors that affect we human beings in our decision making when it comes to investing and analysing which is also known as the behavioural finance theory. READ MORE

  5. 4. Noise Reducing Methods for Correlation Matrices - Improved Return and Risk Possible in Portfolio Management?

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Per Johan Andersson; Andreas Öberg; [2003]
    Keywords : Markowitz Mean Variance Theory; Random Matrix Theory; Power Mapping; Filtering techniques; Correlations; Risk and Diversification; Management of enterprises; Företagsledning; management; Business and Economics;

    Abstract : The importance of the alluring goal of having the “perfect” or “true” information is more than visible in the financial world. In portfolio management financial correlation matrices measure the unsystematic correlations between assets e.g. stocks. READ MORE