Zobrazeno 1 - 10
of 36
pro vyhledávání: '"Wolfgang Breymann"'
Publikováno v:
Journal of Big Data, Vol 6, Iss 1, Pp 1-24 (2019)
Abstract Large financial organizations have hundreds of millions of financial contracts on their balance sheets. Moreover, highly volatile financial markets and heterogeneous data sets within and across banks world-wide make near real-time financial
Externí odkaz:
https://doaj.org/article/9c7355f00e364be3bdd18fdcf62a8506
Publikováno v:
Handbook of Big Data Analytics Volume 2: Applications in ICT, security and business analytics ISBN: 9781839530593
Future regulatory reporting should be automated to make it more efficient. Moreover, automation enables the supervising authorities to effectively oversee and identify risks of individual financial institutions and the entire financial market. During
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6982910eaefc83824475c8c47064c749
https://doi.org/10.1049/pbpc037g_ch16
https://doi.org/10.1049/pbpc037g_ch16
Publikováno v:
Applied Data Science ISBN: 9783030118204
Applied Data Science
Applied Data Science
The state of data in finance makes near real-time and consistent assessment of financial risks almost impossible today. The aggregate measures produced by traditional methods are rigid, infrequent, and not available when needed. In this chapter, we m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b5946d9de53af8076c424c65c191289f
https://doi.org/10.1007/978-3-030-11821-1_21
https://doi.org/10.1007/978-3-030-11821-1_21
Erworben im Rahmen der Schweizer Nationallizenzen (http://www.nationallizenzen.ch)
Most of the papers that study the distributional and fractal properties of financial instruments focus on stock prices or foreign exchange rates. This typically l
Most of the papers that study the distributional and fractal properties of financial instruments focus on stock prices or foreign exchange rates. This typically l
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c4150eacb8d88d017832b458ae2f0907
http://doc.rero.ch/record/311323/files/10051_2009_Article_9506.pdf
http://doc.rero.ch/record/311323/files/10051_2009_Article_9506.pdf
The purpose of this study is to propose a bearer service, which generates and maintains a “digital doppelganger” for every financial contract in the form of a dynamic transaction document that is a standardised “data facility” automatically m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eca3311e6330592b337bfcf402c58eaf
https://hdl.handle.net/11475/15742
https://hdl.handle.net/11475/15742
Publikováno v:
Physica D: Nonlinear Phenomena. 187:108-127
The escape-rate formalism and the thermostating algorithm describe relaxation towards a decaying state with absorbing boundaries and a steady state of periodic systems, respectively. It has been shown that the key features of the transport properties
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c0565acf3973cec3268fb9c807928153
https://doi.org/10.1016/j.physd.2003.09.005
https://doi.org/10.1016/j.physd.2003.09.005
Publikováno v:
Quantitative Finance. 3:1-14
Stylized facts for univariate high-frequency data in finance are well known. They include scaling behaviour, volatility clustering, heavy tails and seasonalities. The multivariate problem, however, has scarcely been addressed up to now. In this paper
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::76150c54dceb015747a4cde8745ee59c
https://doi.org/10.1080/713666155
https://doi.org/10.1080/713666155
Publikováno v:
International Journal of Theoretical and Applied Finance. :357-360
A time series model for the FX dynamics is presented which takes into account structural peculiarities of the market, namely its heterogeneity and an information flow from long to short time horizons. The model emerges from an analogy between FX dyna
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::354ca83c058b4c40227f23f8b6500f5f
https://doi.org/10.1142/s021902490000019x
https://doi.org/10.1142/s021902490000019x
Publikováno v:
physica status solidi (b). 205:219-222
Using the semi-classical approximation we calculate the quantum fluctuations of the two‐dimensional electronic scattering cross‐section from three hard disks in a magnetic field. The three‐disk billiard is a schematic model for a three‐lead m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c000059c4ba54270102bbea2e624e75a
https://doi.org/10.1002/(sici)1521-3951(199801)205:1<219::aid-pssb219>3.0.co
https://doi.org/10.1002/(sici)1521-3951(199801)205:1<219::aid-pssb219>3.0.co
Autor:
Wolfgang Breymann
Publikováno v:
Journal of the American Statistical Association. 101:850-852
(2006). Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management. Journal of the American Statistical Association: Vol. 101, No. 474, pp. 850-852.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::af24dccdf49e0e9ee82e4099fb926e7f
https://doi.org/10.1198/jasa.2006.s104
https://doi.org/10.1198/jasa.2006.s104