Financial markets as adaptative ecosystems

Physics – Condensed Matter

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

Revised version, 1 figure added

Scientific paper

We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset fluctuations: `fat tails' and correlations in the scale of fluctuations. These aspects, although not included in the pricing models, are very precisely reflected in the price fixed by the market as a whole. Financial markets thus behave as rather efficient adaptive systems.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

Financial markets as adaptative ecosystems does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Financial markets as adaptative ecosystems, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Financial markets as adaptative ecosystems will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-471441

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.