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1、BanksanalysisoffinancialdataAndreasP.Nawroth,JoachimPeinkeInstitutfu¨rPhysik,Carl-von-OssietzkyUniversita¨tOldenburg,D-26111Oldenburg,GermanyAvailableonline30March2007AbstractAstochasticanalysisoffinancialdataispresented.Inparticularweinvestigatehowthestatisticso
2、flogreturnschangewithdifferenttimedelayst.Thescale-dependentbehaviouroffinancialdatacanbedividedintotworegions.Thefirsttimerange,thesmall-timescaleregion(intherangeofseconds)seemstobecharacterisedbyuniversalfeatures.Thesecondtimerange,themedium-timescalerangefrom
3、severalminutesupwardscanbecharacterisedbyacascadeprocess,whichisgivenbyastochasticMarkovprocessinthescaleτ.AcorrespondingFokker–Planckequationcanbeextractedfromgivendataandprovidesanon-equilibriumthermodynamicaldescriptionofthecomplexityoffinancialdata.Keywords:B
4、anks;Financialmarkets;Stochasticprocesses;Fokker–Planckequation1.IntroductionFinancialstatementsforbankspresentadifferentanalyticalproblemthanmanufacturingandservicecompanies.Asaresult,analysisofabank’17sfinancialstatementsrequiresadistinctapproachthatrecognizesa
5、bank’ssomewhatuniquerisks.Bankstakedepositsfromsavers,payinginterestonsomeoftheseaccounts.Theypassthesefundsontoborrowers,receivinginterestontheloans.Theirprofitsarederivedfromthespreadbetweentheratetheypayforfundsandtheratetheyreceivefromborrowers.Thisabilitytop
6、ooldepositsfrommanysourcesthatcanbelenttomanydifferentborrowerscreatestheflowoffundsinherentinthebankingsystem.Bymanagingthisflowoffunds,banksgenerateprofits,actingastheintermediaryofinterestpaidandinterestreceivedandtakingontherisksofofferingcredit.2.Small-scale
7、analysisBankingisahighlyleveragedbusinessrequiringregulatorstodictateminimalcapitallevelstohelpensurethesolvencyofeachbankandthebankingsystem.IntheUS,abank’sprimaryregulatorcouldbetheFederalReserveBoard,theOfficeoftheComptrolleroftheCurrency,theOfficeofThriftSupe
8、rvisionoranyoneof50stateregulatorybodies,dependingonthecharterofthebank.WithintheFederalReserveBoard,thereare12districtswith12differentregulatorystaffinggroups
