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I mercati finanziari come sistemi complessi: il modello di Vaga

Author

Listed:
  • 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.

Suggested Citation

  • Gianni Degasperi & Luca Erzegovesi, 1999. "I mercati finanziari come sistemi complessi: il modello di Vaga," Alea Tech Reports 007, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    • Handle: RePEc:trt:aleatr:007
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    References listed on IDEAS

    as
    1. Mantegna,Rosario N. & Stanley,H. Eugene, 2007. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521039871.
    2. 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.
    3. Luca Erzegovesi, 1999. "Rischio e incertezza in finanza: classificazione e logiche di gestione," Alea Tech Reports 006, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
    4. Hsieh, David A, 1991. "Chaos and Nonlinear Dynamics: Application to Financial Markets," Journal of Finance, American Finance Association, vol. 46(5), pages 1839-1877, December.
    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.
    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.
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