The Market Climate

Reflexivity, Coherent Markets, and Financial Instability:

2010-12-12T13:47:00.001-05:00

Reconsidering Alternative Explanations for Departures from Generally Accepted Economic and Financial Theory J. Douglas Barrett Professor of Quantitative Methods and Chair Department of Economics and Finance University of North Alabama Florence, AL 35632 jdbarrett@una.edu Peter M. Williams Professor of Economics Department of Economics and Finance University of North Alabama Florence, AL

Social Imitation Modell

2010-10-14T06:23:00.000-04:00

Social Imitation ModellUlf A. Hamster Erste Version: 23. März 2009, Aktuell: 14. Juni 2009 Zusammenfassung Das Ising Modell wird als Markov-Ketten Modell implementiert, was exogen über den Crowding- und Fundamentalverzerrungsparameter gesteuert werden kann, um eine bimodale Verteilung bezüglich der Kaufodere Verkaufsneigung der Agenten zu erzeugen. 1 Einleitung Coherent Market Hypothesis.

Alzheimer Random Walks and Market Bubbles?

2010-09-13T21:00:00.000-04:00

Analytic Formulation, Exact Solutions, and Generalizations of the Elephant and the Alzheimer Random WalksV. M. KenkreAn analytic formulation of memory-possessing random walks introduced recently [Cressoni et al., Phys. Rev. Lett. 98, 070603 (2007) and Sch\"utz and Trimper, Phys. Rev. E 70, 045101 (2004)] for Alzheimer behavior and related phenomena is provided along with exact solutions on the

RELATIVISTIC QUANTUM ECONOPHYSICS – NEW PARADIGMS IN COMPLEX SYSTEMS MODELLING V. Saptsin and V. Soloviev

2009-10-14T20:04:00.002-04:00

"Econophysics, or physical economics, already mentioned as a relatively young scientific school, recently celebrated its tenth anniversary. Of course that doesn’t mean that there were no works on the boundary of economics and physics before the econophysics was officially born, howewer the new direction is usually formed only when the certain conditions appear and the necessity to concentrate the

Bubble Hunter

2009-09-08T12:59:00.005-04:00

Click on the title to visit the Bubble Hunter Blog, written by:PIOTR CHWIEJCZAKI am 33. I graduated from Warsaw University Economist Department in 1996 (M.A.). I spent few years working in several banks as economist/strategist. I was also working as a economic advisor to official bodies Poland and outside Poland. In year 2003/2004 I spent 9 months in Iraq where I was working as advisor to the

Shanghai Bubble Bursts

2009-09-01T12:25:00.003-04:00

According to New Scientist:"WITH 20/20 hindsight, financial crashes seem inevitable, yet we never see them coming. Now a team of physicists and financiers have bucked the trend by successfully predicting a steep fall in the Shanghai Stock Exchange.Their model, which employs concepts from the physics of complex atomic systems, was developed by Didier Sornette of the Financial Crisis Observatory in

Are the Financial Markets Becoming More Efficient?

2009-08-13T18:20:00.014-04:00

With the advent of negotiated commissions in 1975 and growing use of increasingly powerful computer based trading systems, the markets appear to be increasingly efficient. One way to measure market efficiency is by examining conditional returns: if conditional returns are trend persistent, profits can be made by betting with the trend; if conditional returns are mean regressive, profits can be

Dow Jones Industrials Remain in Over Reaction, Mean Regressive State

2009-08-12T05:16:00.006-04:00

The Bifurcation Parameter (BP) for the Dow Jones Industrial Average (DJIA) remains in negative territory at -38%. This market has been in an over reaction, mean regressive state that has often accompanied crisis markets. The BP is defined here.Figure 1 summarizes the DJIA BP dating back to the Crash of 1929. For most of this period the BP has been indicating a bifurcated market in which investor

NASDAQ Remains in Mean Regressive State

2009-08-09T13:10:00.006-04:00

The Bifurcation Parameter for the NASDAQ Composite Index slipped back to -22% over the past few weeks (white arrow on the chart). Figure 1 summarizes the average daily return expected from each of the four key market states expected from the Bifurcation Parameter (and prior day return, R(0)). NASDAQ Composite Index Returns for States Predicted by the NASDAQ Bifurcation Parameter (click on chart

NASDAQ Leading the Way Out of Crisis Conditions?

2009-07-19T14:08:00.004-04:00

Figure 1 summarizes the bifurcation parameter for the NASDAQ Composite Index. The bifurcation parameter has shown steady improvement and has now risen above the -10% threshold. This suggests that the worst of the mean regressive crisis market may be behind us. While the indicator could fluctuate around current levels and create whipsaw results, the big picture is that there has been steady

Hang Seng Index: Trend Persistent (Bull and Bear States)

2009-07-16T04:48:00.006-04:00

Figure 1 summarizes the bifurcation parameter for the Hang Seng Index dating back to 1987. During this period there has been very little mean regressive market action. Even recently during the global credit crisis, the Hang Seng did not show the crisis state behavior that the US equity markets exhibited.Figure 1. The Hang Seng Index has been Trend PersistentThe risk and reward profile of the Hang

According to Didier Sornette, et. al.: Chinese Equity Bubble: Ready to Burst

2009-07-14T20:02:00.004-04:00

July 10, 2009 Amid the current financial crisis, there has been one equity index beating all others: the Shanghai Composite. Our analysis of this main Chinese equity index shows clear signatures of a bubble build up and we go on to predict its most likely crash date: July 17-27, 2009 (20%/80% quantile confidence interval).

ETH Zurich Workshop Presentation: A Financial Market Bifurcation Parameter

2009-05-26T07:13:00.032-04:00

Can financial market crises be predicted? We propose a Bifurcation Parameter in this regard.BACKGROUND: Weidlich proposes the Ising Model to describe polarization of opinions in social groups. Haken's model includes the Langevin equation of Brownian motion as a special case and references Weidlich's work as an example of more ordered states in social systems. Vaga applies Weidlich and Haken's

Over Reaction, Disordered Market Continues

2009-05-09T10:30:00.007-04:00

We introduce an Efficient Market state, defined as -10% < Bifurcation Parameter < +10%. This represents a market where there isn't much over reaction or under reaction to news. We also update prior coherent and chaotic market state definitions, requiring the Bifurcation Parameter to be >= +10%. Therefore the Coherent and Chaotic markets clearly represent under reaction situations and trend

International Workshop on Coping with Crises in Complex Socio-Economic Systems

2009-04-29T20:48:00.004-04:00

ETH Zurich (Switzerland), June 8-12, 2009Monday, June 8, 2009: 15:20 - 15:45 CAB G 51 Tonis Vaga: A Financial Market Bifurcation Parameter Preliminary ProgramPoster PresentationsOrganizersKay AxhausenLars-Erik CedermanDirk Helbing (Coordinator)Hans Jürgen HerrmannFrank SchweitzerDidier SornetteSocial systems typically feature crises, i.e. unstable and dangerous situations that are characterized

CURRENT MARKET: DISORDERED STATE

2009-04-02T19:16:00.006-04:00

(click on image to expand)During the past 12 months the Dow Industrials have had an even lower return and higher risk than the average for prior extremely disordered markets. The high volatility of extremely disordered markets includes large swings both up and down. While the stimulus and bailout programs should provide the credit necessary to eventually restore normal market structure, so far

Chaos theory and the current financial crisis

2009-03-05T20:31:00.007-05:00

Years ago, in a letter to the editor of Physics Today (February, 1979) we noted that the “market may be considered an open system in which an adequate flow of money will effect a transition from disorder (random walk) to order (cooperative or crowd behavior).” Open systems in the physical sciences require a flow of energy to maintain an ordered state far from thermal equilibrium. For example, a

kaoseteooria ja majanduskriis

2009-03-05T20:01:00.006-05:00

Leo Võhandu, TTÜ emeriitprofessorFor complete article, click hereKaos tähendab igapäevakeeles täielikku segadust ja korralagedust. Füüsikas tähendab see mingi süsteemi osiste vastastikust mittelineaarset mõjutamist koos kõigi või peaaegu kõigi süsteemsete liikumiste ebastabiilsusega. Keerulisevõitu väljend on, aga asja olemuse seletab ilusasti ära. Et füüsikud ja mehaanikud kaoses päris hästi

Nonlinear and Chaotic Dynamics and its Application to Historical Financial Markets

2009-03-01T15:33:00.005-05:00

Hartmut Kiehling* For complete article click here.Abstract: For roughly 15 years, economic research has been involved with chaotic systems. During these years chaos theory took a firm place in science, although the enthusiasm of the first decade was followed by a more subdued kind of consideration. This might be the time to sum up some of the results and to develop some ideas concerning possible

Scientific Frontiers and Technical Analysis

2009-03-01T15:18:00.002-05:00

Kevin P. Hanley, CMTAbstract Are there scientific foundations to Technical Analysis (TA) or is it a pseudo-science? Academia, embracing the Random Walk Theory, the Efficient Market Hypothesis (EMH) and Modern Portfolio Theory (MPT) has argued the latter for some 20 years or more. In fact, according to current orthodoxy, both TA and Fundamental Analysis are fruitless distractions and cannot add

Chapter 17. Hybrid Intelligent Decision Support Systems and Applications for Risk Analysis and Discovery of Evolving Economic Clusters in Europe

2009-03-01T15:07:00.003-05:00

N. Kasabov , L. Erzegovesi , M. Fedrizzi , A. Beber , and D. Deng Dept. of Information Science, Univ. of Otago, Dunedin, New Zealand. E-mail: nkasabov, ddeng@infoscience.otago.ac.nz Dept. of Informatics and Faculty of Economics, Univ. of Trento, ItalyFor complete paper click here.The goal of this project is to develop a computational model for analyzing and anticipating signals of abrupt changes

Portfolio optimization with a neural network implementation of the coherent market hypothesis

2009-03-01T14:53:00.002-05:00

Manfred Steiner and Hans-Georg WittkemperWestfälische Wilhelms-Universität Munster, Lehrstuhl für Betriebswirtschaftslehre, Schwerpunkt Finanzierung, Am Stadtgraben 13–15, D-48143, Münster, GermanyAbstractCapital market research seems to be widely governed by traditional static linear models like arbitrage pricing theory and capital asset pricing model, though there is some evidence that better

Advanced School of Economics Ca’ Foscari_University of Venice

2009-02-21T22:39:00.005-05:00

Exploring Information Mirages in a Simulated Multi‐Agent Stock Market Paolo Tasca Advanced School of Economics, Ca’ Foscari University of Venice Visiting Fellow Chair of Systems Design, ETH Zürich First Draft: September 2008 For complete paper click here.1. Introduction In this paper we analyze the financial price dynamics emerging from the heterogeneous behaviours of traders interacting

HIPÓTESIS DEL MERCADO COHERENTE

2009-02-11T18:30:00.009-05:00

CARACTERÍSTICAS La HMC fue desarrollada por Vaga (1990) y explica que elmercado puede presentartransiciones de un estado depaseo aleatorio (desordenado)a periodos de comportamientoen masa como en los mercadoscoherentes y caóticos (ordenados). Cerca del umbral críticode transición, el mercado esaltamente susceptible al ruido(noticias de política o deaspectos económicos aleatorios). Así, los

Financial Crises and Risk Management Video by Didier Sornette

2008-12-26T06:53:00.002-05:00

The "Master of Disaster" Didier Sornette author of Why Stock Markets Crash has an interesting lecture available on the internet. Financial crises and risk managementDidier Sornette Among the topics he covers are:Slides0:00 FINANCIAL CRISES SYSTEMIC RISKS4:01 MOTIVATIONS6:03 What are bubbles? How do detect them? How to predict them?...46:59 Real-estate bubbles47:15 Real-estate in the UK47:39