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I mercati finanziari come sistemi complessi: il modello di Vaga

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Author Info
Gianni Degasperi
Luca Erzegovesi () (DISA, Faculty of Economics, Trento University)
Abstract

Il paper si propone di presentare i concetti fondamentali e le applicazioni di alcune promettenti teorie intese a rappresentare i mercati finanziari come sistemi dinamici complessi che evolvono tra diversi stati, caratterizzati da distinte configurazioni di rendimento e rischio. In particolare ci si sofferma sul modello del mercato azionario di Vaga, basato sul modello del ferromagnetismo di Ising, evidenziandone le possibili applicazioni all'analisi e alla previsione della volatilità.

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File URL: http://repec.cs.unitn.it/AL/Doc/007.pdf
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Publisher Info
Paper provided by Department of Computer and Management Sciences, University of Trento, Italy in its series Alea Tech Reports with number 007.

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Length: 61 pages
Date of creation: Sep 1999
Date of revision: 14 Jun 2008
Handle: RePEc:trt:aleatr:007

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References listed on IDEAS
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  1. Enrico Zaninotto, 1997. "Comitati volontari e standard de-iure," Quaderni DISA 003, Department of Computer and Management Sciences, University of Trento, Italy.
  2. Enrico Zaninotto, 1997. "Coordinamento e standardizzazione," Quaderni DISA 002, Department of Computer and Management Sciences, University of Trento, Italy.
  3. Mariangela Franch & Luisa Mich & Alessandro Narduzzo & Enrico Zaninotto, 1997. "Un metodo per l'analisi dei bisogni di telecomunicazioni. Applicazioni al settore degli elettrodomestici e al settore del Turismo," Quaderni DISA 004, Department of Computer and Management Sciences, University of Trento, Italy.
  4. Luca Erzegovesi, 1999. "Capire la volatilità con il modello binomiale," Alea Tech Reports 004, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  5. Alessandro Beber, 1999. "Introduzione all'analisi tecnica," Alea Tech Reports 002, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  6. Alessandro Beber, 1999. "Il dibattito su dignità ed efficacia dell'analisi tecnica nell'economia finanziaria," Alea Tech Reports 003, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  7. Hsieh, David A, 1991. " Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, vol. 46(5), pages 1839-77, December. [Downloadable!] (restricted)
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