Год выпуска: 2010 Автор: Baosheng Yuan Издательство: LAP Lambert Academic Publishing Страниц: 232 ISBN: 9783838359045
Описание
This thesis studies three most important and difficult problems in financial risk: 1). Scaling, clustering and dynamics of volatility of financial asset returns; 2). Statistical and dynamical properties of the market; and 3). Driven force underlying the market volatility. The Value at Risk (VaR) measure currently used in financial industry is far from a reliable tool due to its lack of volatility clustering measure. This thesis presents a solution to this problem. Next, the dynamics of the market is studied from the perspective of interacting and competing agents with self-segregation or herding behaviors. This model shows that investor''s winning strategy depends on the market dynamics: active when market is highly volatile and clustered and inactive otherwise. Last, a heterogeneous agent-based model is developed to investigate the impact of investor''s sentiments on asset price dynamics. The simulation results show that investor''s dynamical risk aversion ...
