Zobrazeno 1 - 10
of 37
pro vyhledávání: '"Khaldoun Khashanah"'
Autor:
Khaldoun Khashanah, Talal Alsulaiman
Publikováno v:
Complexity, Vol 2017 (2017)
We propose a metamodel to assess simulated market stability by introducing information connectivity in an agent-based network. The market is occupied by heterogeneous agents with different behaviors, strategies, and information connectivity. A jump-d
Externí odkaz:
https://doaj.org/article/925e4a77bcc84617ad346184096a0c96
Novel technologies allow cryptocurrency exchanges to offer innovative services that set them apart from other exchanges. In this paper we study the distinct features of cryptocurrency fee schedules and the implications for optimal trade execution. We
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8a4b57ef31d9ebabf97de29e99cd69a3
https://doi.org/10.21203/rs.3.rs-2879458/v1
https://doi.org/10.21203/rs.3.rs-2879458/v1
Autor:
Chenjie Shao, Khaldoun Khashanah
Publikováno v:
Quantitative Finance. 22:241-253
In volatility forecasting literature, Markov switching multifractal (MSM) models are well known for capturing many important stylized facts such as long memory and fat tails. MSM delivers stronger ...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9bf9585dd8576ce5e1c8e351538e384b
https://doi.org/10.1080/14697688.2021.1939116
https://doi.org/10.1080/14697688.2021.1939116
Publikováno v:
International Review of Financial Analysis. 81:102068
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c1049ecd0d40096441204cb56dc82990
https://doi.org/10.1016/j.irfa.2022.102068
https://doi.org/10.1016/j.irfa.2022.102068
Publikováno v:
SSRN Electronic Journal.
We propose a joint distribution that decomposes asset returns into two independent components: an elliptical innovation (Gaussian) and a systematic non-elliptical latent process. The paper provides a tractable approach to estimate the underlying para
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a5e597e2d32f87962b436ba6a2fc2ed4
https://doi.org/10.2139/ssrn.3523379
https://doi.org/10.2139/ssrn.3523379
Publikováno v:
Computational Economics. 53:587-616
We introduce a system of ordinary differential equations to model the micro–macro wealth dynamics of interactions between international enterprise competitiveness and the macroeconomic growth as an open system. The novelty of the approach is to pos
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::733d27c74dd7defc59363ba4d13dfcd8
https://doi.org/10.1007/s10614-017-9748-7
https://doi.org/10.1007/s10614-017-9748-7
Autor:
Talal Alsulaiman, Khaldoun Khashanah
Publikováno v:
Complexity. 21:530-554
This article addresses the stock market as a complex system. The complexity of the stock market arises from the structure of the environment, agent heterogeneity, interactions among agents, and interactions with market regulators. We develop the idea
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c8fcfae4e6f0dba462af90b8c4b235a6
https://doi.org/10.1002/cplx.21834
https://doi.org/10.1002/cplx.21834
Autor:
Khaldoun Khashanah, Hanchao Yang
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 445:318-327
Recently the topic of financial network dynamics has gained renewed interest from researchers in the field of empirical systemic risk measurements. We refer to this type of network analysis as information flow networks analysis (IFNA). This paper pro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8562cd09304016d2ae5e386efdb64566
https://doi.org/10.1016/j.physa.2015.10.012
https://doi.org/10.1016/j.physa.2015.10.012
Autor:
Yue Li, Khaldoun Khashanah
Publikováno v:
Modern Economy. :1303-1330
Purpose: This paper empirically investigates the structural evolution of global financial systems from the system of systems (SoS) view for eleven countries. The financial SoS consists of eleven countries each of which has its own financial system wi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f231ed6ffd7514c80050a0e64e485f92
https://doi.org/10.4236/me.2016.711124
https://doi.org/10.4236/me.2016.711124
Autor:
Nils Bundi, Khaldoun Khashanah
Publikováno v:
Studies in Computational Intelligence ISBN: 9783030054137
COMPLEX NETWORKS (2)
COMPLEX NETWORKS (2)
In the “too-interconnected-to-fail” discussion network theory has emerged as an important tool to identify risk concentrations in interbank networks. Therefore, however, data on bilateral bank exposures, i.e. the edges in such a network, is not a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::aa77036217e1801175e259b19039272c
https://doi.org/10.1007/978-3-030-05414-4_39
https://doi.org/10.1007/978-3-030-05414-4_39