摘要翻译:
本文利用经济熵的概念和我们在文献[15,16]中引入的宏观状态参数,对唯象热力学在金融市场交易风险分析中的应用作了一些思考。计算了罗马尼亚多家上市公司2008年和2009年的投资风险图。研究了罗马尼亚金融危机和经济危机期间宏观状态参数的演变。
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英文标题:
《Macrostate Parameter and Investment Risk Diagrams for 2008 and 2009》
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作者:
Anca Gheorghiu and Ion Sp\^anulescu
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最新提交年份:
2011
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:General Finance 一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类:Physics 物理学
二级分类:Physics and Society 物理学与社会
分类描述:Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体(人类或其他)的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统(如能源网、运输网络)的物理和工程。
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英文摘要:
In this paper are made some considerations of the application of phenomenological thermodynamics in risk analysis for the transaction on financial markets, using the concept of economic entropy and the macrostate parameter introduced by us in a previous works [15,16]. The investment risk diagrams for a number of Romanian listed companies in 2008 and 2009 years were calculed. Also, the evolution of the macrostate parameter during financial and economic crisis in Romania are studied.
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PDF链接:
https://arxiv.org/pdf/1101.4674