Dienstag, 9. September 2014

Neue Veröffentlichung des Berliner Dozenten Dr. Joachim Kaldasch



Evolutionary model of stockmarkets ist der Titel einer aktuellen Veröffentlichung von Herrn Dr. Joachim Kaldasch, Dozent an der EBC Hochschule Campus Berlin, die im Dezember in der Zeitschrift Physica A: Statistical Mechanics and its Applications (Volume 415, 1 December 2014, Pages 449–462) erscheint. 

Hier gehts zum Artikel von Herrn Dr. Kaldasch http://www.sciencedirect.com/science/article/pii/S0378437114007158 

Abstract
The paper presents an evolutionary economic model for the price evolution of stocks. Treating a stock market as a self-organized system governed by a fast purchase process and slow variations of demand and supply the model suggests that the short term price distribution has the form a logistic (Laplace) distribution. The long term return can be described by Laplace–Gaussian mixture distributions. The long term mean price evolution is governed by a Walrus equation, which can be transformed into a replicator equation. This allows quantifying the evolutionary price competition between stocks. The theory suggests that stock prices scaled by the price over all stocks can be used to investigate long-term trends in a Fisher–Pry plot. The price competition that follows from the model is illustrated by examining the empirical long-term price trends of two stocks. (Quelle: http://www.sciencedirect.com/science/article/pii/S0378437114007158)

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