bence

Personal

Full Name

Bence Toth

Homepage

http://www.phy.bme.hu/~bence

Position

Ph.D. student in Physics

Affiliation

ISI Foundation, Torino, Italy
Budapest University of Technology and Economics,

Research topic

Econophysics

Research interests

* Financial data analysis - financial correlations
* Studying the Epps effect - dependence of financial correlations on data frequency
* Multi-agent simulation of stock markets

Ph.D. project

Ph.D. Supervisors

János Kertész
Head of the Department of Theoretical Physics,
Budapest University of Technology and Economics

General project description

My Ph.D. project is a research in the broad field of Econophysics. The aim is the better understanding of financial market mechanisms with the use of methods and tools borrowed form theoretical physics. My main interest is the way "information" is used by the actors on the stock market, and is being built into the prices.

I am interested in the microstudy of large price changes, ie. the analysis of the limit order book in the environment of extreme price jumps. You can find details on this project here.

Correlations between the individual assets are the main factors in classical portfolio management. The most important questions I am studying is
* the evolution of stock return cross-correlations through the last two decades, as market processes change
and
* determining the dependence of the correlation coefficients on the sampling frequency of data (Epps effect).
You can find more details about this work here.

An other project I have been working on (in collaboration with Enrico Scalas, Juergen Huber and Michael Kirchler), is about the value of information on a double auction stock market. You can find more details about this work here.

Publications

Publications

You can find my publications here.