Econofasica
Mostrando 1-2 de 2 artigos, teses e dissertações.
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1. EconofÃsica: dinÃmica de agentes heterogÃneos no estudo da volatilidade
We perform a computer simulation study for the volatility within the context of multi-agent dynamics in financial markets. We consider the USDF model of price formation on square lattices and introduce the parameter pF for the fraction of fundamentalist agents present in the system. Then we analysis the influence of these agents on the volatility. The result
Publicado em: 2008
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2. Modelo exponencial para opÃÃes: aplicaÃÃes ao Ãndice Ibovespa
In this thesis we perform an empirical analysis of the Brazilian stock and options markets. In the first part of our study we carry out a statistical analysis of the Ibovespa stock index of the SÃo Paulo Stock Exchange. It is shown that the daily returns of Ibovespa follow not a Gaussian distribution but rather an exponential law, in addition, this exponent
Publicado em: 2007