Financial markets’ deterministic aspects modeled by a low-dimensional equation
dc.contributor.author
Orlando, Giuseppe
dc.contributor.author
Bufalo, Michele
dc.contributor.author
Stoop, Ruedi
dc.date.accessioned
2022-03-15T13:44:31Z
dc.date.available
2022-02-10T04:24:38Z
dc.date.available
2022-03-15T09:02:41Z
dc.date.available
2022-03-15T13:44:31Z
dc.date.issued
2022-02-01
dc.identifier.issn
2045-2322
dc.identifier.other
10.1038/s41598-022-05765-z
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/531723
dc.identifier.doi
10.3929/ethz-b-000531723
dc.description.abstract
We ask whether empirical finance market data (Financial Stress Index, swap and equity, emerging and developed, corporate and government, short and long maturity), with their recently observed alternations between calm periods and financial turmoil, could be described by a low-dimensional deterministic model, or whether this requests a stochastic approach. We find that a deterministic model performs at least as well as one of the best stochastic models, but may offer additional insight into the essential mechanisms that drive financial markets.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
Nature
en_US
dc.rights.uri
http://creativecommons.org/licenses/by/4.0/
dc.title
Financial markets’ deterministic aspects modeled by a low-dimensional equation
en_US
dc.type
Journal Article
dc.rights.license
Creative Commons Attribution 4.0 International
ethz.journal.title
Scientific Reports
ethz.journal.volume
12
en_US
ethz.journal.issue
1
en_US
ethz.journal.abbreviated
Sci Rep
ethz.pages.start
1693
en_US
ethz.size
13 p.
en_US
ethz.version.deposit
publishedVersion
en_US
ethz.identifier.wos
ethz.identifier.scopus
ethz.publication.place
London
en_US
ethz.publication.status
published
en_US
ethz.date.deposited
2022-02-10T04:24:59Z
ethz.source
SCOPUS
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2022-03-15T13:44:37Z
ethz.rosetta.lastUpdated
2022-03-29T20:38:02Z
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true
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Journal Article [131001]