Browsing by Author Miao, Yu

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Showing results 1 to 5 of 5
  • multiple_commodities_in_statistical_microeconomics_model and_market_belal_miao_xin.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Miao, Yu; Xin, Du (2016)

  • A statistical generalization of microeconomics has been made in Baaquie (2013). In Baaquie et al. (2015), the market behavior of single commodities was analyzed and it was shown that market data provides strong support for the statistical microeconomic description of commodity prices. The case of multiple commodities is studied and a parsimonious generalization of the single commodity model is made for the multiple commodities case. Market data shows that the generalization can accurately model the simultaneous correlation functions of up to four commodities. To accurately model five or more commodities, further terms have to be included in the model. This study shows that the statist...

  • Option_price_and_market_instability_Belal_Miao.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Miao, Yu (2017)

  • An option pricing formula, for which the price of an option depends on both the value of the underlying security as well as the velocity of the security, has been proposed in Baaquie and Yang (2014). The FX (foreign exchange) options price was empirically studied in Baaquie et al., (2014), and it was found that the model in general provides an excellent fit for all strike prices with a fixed model parameters; unlike the Black-Scholes option price Hull and White (1987) that requires the empirically determined implied volatility surface to fit the option data. The option price proposed in Baaquie and Cao Yang (2014) did not fit the data during the crisis of 2007 & 2008. We make a hypoth...

  • CIAWM_Issue3_risky_bonds_and_futures_asset_pricing_belal_yu.pdf.jpg
  • Newsletter & Bulletin


  • Authors: Baaquie, Belal E.; Miao, Yu (2017)

  • The global bond market is the main component of the capital market, being about three times larger than the global equity markets. In 2009, the global bond market (total outstanding debt) was estimated to be $82.2 trillion; the US dominated the bond market with th outstanding U.S. bond debt at approximately $35.2 trillion. Risk-free forward interest rates - and their realization by US Treasury bonds as the leading exemplar - have been studied extensively. The bond market considers US Treasury bonds as being risk-free instruments and consequently have the lowest yields.

  • risky_forward_interest_rates_and_swaptions_Belal_Miao_Jitendra.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Miao, Yu; Bhanap, Jitendra (2018)

  • Risk free forward interest rates (Diebold and Li, 2006 [1]; Jamshidian, 1991 [2]) and their realization by US Treasury bonds as the leading exemplar have been studied extensively. In Baaquie (2010), models of risk free bonds and their forward interest rates based on the quantum field theoretic formulation of the risk free forward interest rates have been discussed, including the empirical evidence supporting these models. The quantum finance formulation of risk free forward interest rates is extended to the case of risky forward interest rates. The examples of the Singapore and Malaysian forward interest rates are used as specific cases. The main feature of the quantum finance model i...

  • statistical_field_theory_of_futures_commodity_prices_Belal_Miao.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Miao, Yu (2018)

  • The statistical theory of commodity prices has been formulated by Baaquie (2013). Further empirical studies of single (Baaquie et al., 2015) and multiple commodity prices (Baaquie et al., 2016) have provided strong evidence in support the primary assumptions of the statistical formulation. In this paper, the model for spot prices (Baaquie, 2013) is extended to model futures commodity prices using a statistical field theory of futures commodity prices. The futures prices are modeled as a two dimensional statistical field and a nonlinear Lagrangian is postulated. Empirical studies provide clear evidence in support of the model, with many nontrivial features of the model finding unexpec...

Browsing by Author Miao, Yu

Jump to: 0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
or enter first few letters:  
Showing results 1 to 5 of 5
  • multiple_commodities_in_statistical_microeconomics_model and_market_belal_miao_xin.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Miao, Yu; Xin, Du (2016)

  • A statistical generalization of microeconomics has been made in Baaquie (2013). In Baaquie et al. (2015), the market behavior of single commodities was analyzed and it was shown that market data provides strong support for the statistical microeconomic description of commodity prices. The case of multiple commodities is studied and a parsimonious generalization of the single commodity model is made for the multiple commodities case. Market data shows that the generalization can accurately model the simultaneous correlation functions of up to four commodities. To accurately model five or more commodities, further terms have to be included in the model. This study shows that the statist...

  • Option_price_and_market_instability_Belal_Miao.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Miao, Yu (2017)

  • An option pricing formula, for which the price of an option depends on both the value of the underlying security as well as the velocity of the security, has been proposed in Baaquie and Yang (2014). The FX (foreign exchange) options price was empirically studied in Baaquie et al., (2014), and it was found that the model in general provides an excellent fit for all strike prices with a fixed model parameters; unlike the Black-Scholes option price Hull and White (1987) that requires the empirically determined implied volatility surface to fit the option data. The option price proposed in Baaquie and Cao Yang (2014) did not fit the data during the crisis of 2007 & 2008. We make a hypoth...

  • CIAWM_Issue3_risky_bonds_and_futures_asset_pricing_belal_yu.pdf.jpg
  • Newsletter & Bulletin


  • Authors: Baaquie, Belal E.; Miao, Yu (2017)

  • The global bond market is the main component of the capital market, being about three times larger than the global equity markets. In 2009, the global bond market (total outstanding debt) was estimated to be $82.2 trillion; the US dominated the bond market with th outstanding U.S. bond debt at approximately $35.2 trillion. Risk-free forward interest rates - and their realization by US Treasury bonds as the leading exemplar - have been studied extensively. The bond market considers US Treasury bonds as being risk-free instruments and consequently have the lowest yields.

  • risky_forward_interest_rates_and_swaptions_Belal_Miao_Jitendra.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Miao, Yu; Bhanap, Jitendra (2018)

  • Risk free forward interest rates (Diebold and Li, 2006 [1]; Jamshidian, 1991 [2]) and their realization by US Treasury bonds as the leading exemplar have been studied extensively. In Baaquie (2010), models of risk free bonds and their forward interest rates based on the quantum field theoretic formulation of the risk free forward interest rates have been discussed, including the empirical evidence supporting these models. The quantum finance formulation of risk free forward interest rates is extended to the case of risky forward interest rates. The examples of the Singapore and Malaysian forward interest rates are used as specific cases. The main feature of the quantum finance model i...

  • statistical_field_theory_of_futures_commodity_prices_Belal_Miao.pdf.jpg
  • Journal Article


  • Authors: Baaquie, Belal E.; Miao, Yu (2018)

  • The statistical theory of commodity prices has been formulated by Baaquie (2013). Further empirical studies of single (Baaquie et al., 2015) and multiple commodity prices (Baaquie et al., 2016) have provided strong evidence in support the primary assumptions of the statistical formulation. In this paper, the model for spot prices (Baaquie, 2013) is extended to model futures commodity prices using a statistical field theory of futures commodity prices. The futures prices are modeled as a two dimensional statistical field and a nonlinear Lagrangian is postulated. Empirical studies provide clear evidence in support of the model, with many nontrivial features of the model finding unexpec...