|
Liquid markets and market liquids: collective and single-asset dynamics in financial markets
L. Matassini and G. Cuniberti.
Applications of Physics in Financial Analysis
2000.07; Liège, Belgium
| We characterize the collective and single asset
phenomena of a liquid market. We show that neglecting
interactions between different assets prevent from
grasping the deep structure of the underlying process,
which is intrinsically multivariate. The introduction
of a mapping from an N asset market to a liquid
of N particles, which is studied by means of
its (known) kinematic behavior, allows us to separate
the background assets dynamics contribution from a
truly single asset one. The detrended market liquid
behaves effectively as an interacting particle system
and, consequently, the pair interaction can be
statistically characterized. As an application of our
model we present the results obtained by an empirical
analysis of the 30 assets belonging to the German stock
market index DAX (Deutscher Aktienindex) for the
period of time 1987-1999, and the correspondent
interaction potential among asset pairs.
|
|
|
people| research | teaching | links | internal | home
|
last modified: 2018.04.11 Mi
|
Prof. Dr. Gianaurelio Cuniberti
secretariat:
postal address:
Institute for Materials Science
TU Dresden
01062 Dresden, Germany
visitors and courier address:
|