Financial markets as adaptative ecosystems

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We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset fluctuations: `fat tails' and correlations in the scale of fluctuations. These aspects, although not included in the pricing models, are very precisely reflected in the price fixed by the market as a whole. Financial markets thus behave as rather efficient adaptive systems.
Revised version, 1 figure added

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Condensed Matter

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http://salesiana.dossiersoluciones.com/handle/123456789/148660

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/9609172
 http://arxiv.org/abs/cond-mat/9609172

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arXiv