Conveners
S8: S8
- Katarzyna Sznajd-Weron (Department of Theoretical Physics, Faculty of Fundamental Problems of Technology, Wroclaw University of Science and Technology)
The problem of estimating covariance matrix plays a fundamental role in portfolio selection. Recently a new estimator of large-dimensional covariance matrices has been proposed to reduce out-of-sample risk of large portfolios. The estimator is called non-linear shrinkage estimators. We derive an analytic formula for the non-linear shrinkage estimator of large dimensional covariance for...
There are two primary goals of this talk. First, we propose a flexible algorithm that can simulate various scenarios of state/government intervention. Secondly, we analyze in detail the scenario with the widest possible spectrum of stationary states. It exhibits the critical behavior of the market of competing firms, depending on the degree of government intervention and the activity level of...
Recently a simple master equation with growth and reset terms was considered for modeling in a unified manner distributions observed in complex systems [1]. Income and wealth are two basic socio-economic quantities that are frequently used to characterize social inequalities. Beginning with the pioneering work of Vilfredo Pareto, the distribution of these quantities were intensively studied...
Financial markets are characterized by an enormous network of connections and factors that can influence the structure and dynamics of the system. One of the youngest part of the modern financial markets are cryptocurrencies. Since the Bitcoin invention in 2009, the cryptocurrency market has experienced striking development over the last few years - from being entirely peripheral to the...
We are studying the transfer entropy, under different estimations and variants, between a set of Twitter accounts belonging to politicians and millionaires to measure the effect that their comments have on the behavior of bitcoin. Additionally, we have included among the possible drivers of bitcoin to Google Trends and a heterogeneous portfolio of metals and composite indices. The...
