Modeliranje kompleksnih sustava izvan ravnoteže s primjenom u financijama

master's thesis

• Title (english): Modelling nonequilibrium complex systems with applications in finance
• Author: Andro Merćep
• Mentor: Zvonko Kostanjčar (mentor)
• Committee member: Zvonko Kostanjčar (predsjednik povjerenstva)
• Committee member: Dražen Jurišić (član povjerenstva)
• Committee member: Ana Sović Kržić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Electrical Engineering and Computing; Zagreb
• Defense date and country: 2016-09-29, Croatia
• Scientific / art field, discipline and subdiscipline: TECHNICAL SCIENCES; Computing

Abstract

Klasične financije uvelike se oslanjaju na ravnotežni model financijskih tržišta koji nije opravdan u svim tržišnim prilikama. U radu je predložen jednostavan diskretan model neravnotežnog tržišta uz dinamiku modela temeljenu na Markovljevim lancima.

Uz detaljan opis svojstava modela, napravljena je i simulacija na malom broju financijskih instrumenata.

Abstract (english)

Classic finance theory mostly relies on general equilibrium theory. Such a model is not applicable to all markets. In this thesis a simple discrete non-equilibrium market model is proposed. Model dynamics is achieved by using discrete time Markov chains.

Thesis provides a detailed model description, as well as a simulation on a small number of financial instruments.

• Keywords: Neravnotežni sustavi; Markovljevi lanci
• Keywords (english): Non-equilibrium systems; Markov chains
• Language: croatian
• URN:NBN: urn:nbn:hr:168:091373
• Study programme: Title: Information and Communication Technology; Study programme type: university; Study level: graduate; Academic / professional title: magistar/magistra inženjer/inženjerka informacijske i komunikacijske tehnologije (magistar/magistra inženjer/inženjerka informacijske i komunikacijske tehnologije)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Closed access
• Created on: 2018-02-06 10:37:12