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https://scholarbank.nus.edu.sg/handle/10635/27849
DC Field | Value | |
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dc.title | Scaling, clustering and dynamics of volatility in financial time series | |
dc.contributor.author | YUAN BAOSHENG | |
dc.date.accessioned | 2011-10-18T18:02:14Z | |
dc.date.available | 2011-10-18T18:02:14Z | |
dc.date.issued | 2006-05-24 | |
dc.identifier.citation | YUAN BAOSHENG (2006-05-24). Scaling, clustering and dynamics of volatility in financial time series. ScholarBank@NUS Repository. | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/27849 | |
dc.description.abstract | This thesis investigates scaling, clustering and dynamics of volatility in financial time series (FTS) and studies the underlying mechanism. We propose a direct measure of volatility clustering (VC) based on the conditional probability distribution (CPD) of returns of FTS; We demonstrate that the CPDs of real FTS exhibits universal scaling, characterized by a collapse of the CPDs into to a universal curve with a power-law tail. We construct a simple phenomenological model to explain the emergence of VC and the associated volatility scaling. We introduce dynamical risk aversion (DRA) to study the impact of heterogeneous agents on the price dynamics; and we show that the DRA is the primary driving force responsible for excess price fluctuations and the associated VC. We lastly investigate herding behavior in financial markets in the context of an evolutionary Minority Game; we discover a general mechanism for the transition of agents from segregation into opposing groups to clustering towards cautious behavior. All these results may shed some light in understanding the dynamics of FTS and their underlying mechanism. | |
dc.language.iso | en | |
dc.subject | Scaling, volatility clusteing, dynamics, Financial Time Seires, Conditional probability measure | |
dc.type | Thesis | |
dc.contributor.department | PHYSICS | |
dc.contributor.supervisor | CHEN KAN | |
dc.description.degree | Ph.D | |
dc.description.degreeconferred | DOCTOR OF PHILOSOPHY | |
dc.identifier.isiut | NOT_IN_WOS | |
Appears in Collections: | Ph.D Theses (Open) |
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File | Description | Size | Format | Access Settings | Version | |
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Yuan Baosheng PhD Thesis Final.pdf | 10.16 MB | Adobe PDF | OPEN | None | View/Download |
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