Ekonofizika-vrijede li fizički zakoni u svijetu financija

master's thesis

• Title (english): Econophysics-are the physics laws valid in the world of finance
• Author: Irena Gegić
• Mentor: Željko Skoko (mentor)
• Committee member: Željko Skoko (predsjednik povjerenstva)
• Committee member: Maja Planinić (član povjerenstva)
• Committee member: Vito Despoja (član povjerenstva)
• Committee member: Davor Horvatić (član povjerenstva)
• Committee member: Damir Pajić (član povjerenstva)
• Granter: University of Zagreb; Faculty of Science; (Department of Physics); Zagreb
• Defense date and country: 2017-10-06, Croatia
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Physics

Abstract

Rad započinje osnovnim pojmovima vezanim uz poslovanje vrijednosnim papirima na financijskom tržištu te mogućem riziku koji ih prati, s namjerom upoznavanja potrebnim terminima kao i glavnim problemom koji ćemo razmatrati. Zatim diskutiramo Brownovo gibanje za koje nam je potrebno razmatranje It𝑜̂ stohastičkih metoda. U svrhu određivanja cijena financijskih derivata upoznajemo Black – Scholes model i ostale modele poput martingali. Povezujemo efikasnost tržišta i tržišta bez arbitraže kroz modele „Simetrija efikasnosti“ i „ zakon sačuvanja“. Nakon upoznavanja sa efikasnim tržištem, uvodimo dva načina odstupanja od standardnog Black – Scholesovog modela gdje promatramo raspodjele koje se razlikuju od Gaussove te uvodimo odgovarajuće popravke za realna tržišta.

Abstract (english)

The present diploma thesis starts with some basic notions of finance markets and possible risk that goes with it, intended to introduce the terminology as well as the main problem. Further more, I discuss the Brownian motion for which we then develop It𝑜̂ stochastic calculus. For pricing financial derivatives we need Black – Scholes model and other approaches as martingale. I associate the market efficiency and no- arbitrage with “symmetry principle” and “conservation law”. After getting to know efficiency of markets I discuss two possible ways of deviation from the standard Black – Scholes model considering non – Gaussian distributions with suitable corrections for real markets.

• Keywords: ekonofizika; financije
• Keywords (english): econophysics; finances
• Language: croatian
• URN:NBN: urn:nbn:hr:217:049883
• Study programme: Title: Physics; specializations in: Education; Course: Education; Study programme type: university; Study level: integrated undergraduate and graduate; Academic / professional title: magistar/magistra edukacije fizike (magistar/magistra edukacije fizike)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2018-01-24 13:21:17