Efekty kolektywne w modelowaniu ryzyka finansowego

Paweł Sieczka

Abstract

This thesis analyzes the role of collective effects in financial risks creation. Efficient Market Hypothesis was described together with the geometric Brownian motion model. Empirical observations showing deviations of real markets from these models were also presented. A model of financial markets which reflects main stylized facts known from empirical data was introduced. Properties of commodities contract prices correlations were investigated and the results were compared with the random matrix theory expectations. A model of collective defaults in an economic network of interacting firms was created. It was proved that in such a model there exists a phase transition between phases of different risk levels. A model of risk increase due to panic outbreak on the financial market was also presented. It was investigated how economy evolution depends on the main model parameters such as: interaction strenghts, panic intensity, or the network size.
Diploma typeDoctor of Philosophy
Author Paweł Sieczka (FP)
Paweł Sieczka,,
- Faculty of Physics
Title in PolishEfekty kolektywne w modelowaniu ryzyka finansowego
Languagepl polski
Certifying UnitFaculty of Physics (FP)
Disciplinephysics / (physical sciences domain) / (physical sciences)
Defense Date08-12-2010
Supervisor Janusz Hołyst (FP)
Janusz Hołyst,,
- Faculty of Physics

Internal reviewers Robert Kosiński (FP / PCSD)
Robert Kosiński,,
- Physics of Complex Systems Divison
External reviewers Ryszard Kutner - [University of Warsaw (UW)]
Ryszard Kutner,,
-
- Uniwersytet Warszawski
Pages96
Keywords in Englishxxx
Abstract in EnglishThis thesis analyzes the role of collective effects in financial risks creation. Efficient Market Hypothesis was described together with the geometric Brownian motion model. Empirical observations showing deviations of real markets from these models were also presented. A model of financial markets which reflects main stylized facts known from empirical data was introduced. Properties of commodities contract prices correlations were investigated and the results were compared with the random matrix theory expectations. A model of collective defaults in an economic network of interacting firms was created. It was proved that in such a model there exists a phase transition between phases of different risk levels. A model of risk increase due to panic outbreak on the financial market was also presented. It was investigated how economy evolution depends on the main model parameters such as: interaction strenghts, panic intensity, or the network size.
Thesis file
Sieczka.pdf 1.61 MB
Citation count*5 (2020-09-18)

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