Related papers: The domino effect for markets
The percolation model of stock market speculation allows an asymmetry (in the return distribution) leading to fast downward crashes and slow upward recovery. We see more small upturns and more intermediate downturns.
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing Model and the French-Fama three factor…
In this study, we have investigated empirically the effects of market properties on the degree of diversification of investment weights among stocks in a portfolio. The weights of stocks within a portfolio were determined on the basis of…
We analyze a proprietary dataset of trades by a single asset manager, comparing their price impact with that of the trades of the rest of the market. In the context of a linear propagator model we find no significant difference between the…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…
A generalized continuous economic model is proposed for random markets. In this model, agents interact by pairs and exchange their money in a random way. A parameter controls the effectiveness of the transactions between the agents. We show…
As described in this paper, we study market-wide price co-movements around crashes by analyzing a dataset of high-frequency stock returns of the constituent issues of Nikkei 225 Index listed on the Tokyo Stock Exchange for the three years…
Inspired by the bankruptcy of Lehman Brothers and its consequences on the global financial system, we develop a simple model in which the Lehman default event is quantified as having an almost immediate effect in worsening the credit…
We endorse the idea, suggested in recent literature, that BitCoin prices are influenced by sentiment and confidence about the underlying technology; as a consequence, an excitement about the BitCoin system may propagate to BitCoin prices…
We extend the important generalizations by Yannelis [25] and Cornet et al [7] of the classical result of Gale, Nikaido, Kuhn and Debreu (the "GNKD theorem") regarding existence of market equilibrium, by broadening the applicability of their…
The Bohmian quantum approach is implemented to analyze the financial markets. In this approach, there is a wave function that leads to a quantum potential. This potential can explain the relevance and entanglements of the agent's behaviors…
We propose a group model for correlations in stock markets. In the group model the markets are composed of several groups, within which the stock price fluctuations are correlated. The spectral properties of empirical correlation matrices…
Econophysics provides a strategy for understanding the potential mechanisms underlying the anomalous distribution of wealth found in real societies. We present a computational nonlinear stochastic model for the distribution of wealth that…
This paper models firm-to-firm trade in a production network as a set of double auctions. Firms have multilateral market power, namely, can affect prices in both input and output markets. The size and division of surplus are endogenous and…
To investigate the universal structure of interactions in financial dynamics, we analyze the cross-correlation matrix C of price returns of the Chinese stock market, in comparison with those of the American and Indian stock markets. As an…
An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock markets, memory effect of the average…
Modifications of the Cont-Bouchaud percolation model for price fluctuations give an asymmetry for time-reversal, an asymmetry between high and low prices, volatility clustering, effective multifractality, correlations between volatility and…
This paper studies the response of stock markets relative to the banking sector to innovation by using a panel of 75 countries from 1982 to 2021. We find that innovation increases the activity, efficiency and size of stock markets relative…
We study correlations of a set of stocks selected from both the New York and London stock exchanges. Results are displayed using both Random Matrix Theory approach and the graphical visualisation of the Minimal Spanning Tree. For the set of…
The presence of significant cross-correlations between the synchronous time evolution of a pair of equity returns is a well-known empirical fact. The Pearson correlation is commonly used to indicate the level of similarity in the price…