WorldWideScience

Sample records for financial market integration

  1. Essays on Financial Market Integration

    OpenAIRE

    Pungulescu, C.

    2009-01-01

    The four essays in this dissertation address these main questions and alternate a general perspective with focused analysis on specific measures of integration and regions, providing several novel answers. First, new relevant proxies are proposed to measure financial market integration. They give evidence that barriers to integration still take a toll even in developed markets, and important costs of segmentation are estimated for emerging as well as developed markets. Moreover, it is shown t...

  2. Financial integration and emerging markets capital structure

    OpenAIRE

    LUCEY, BRIAN MICHAEL

    2011-01-01

    This paper investigates the impact of country-level financial integration on corporate financing choices in emerging economies. Examining 4477 public firms from 24 countries, we find that corporate leverage is positively related to credit market integration and negatively related to equity market integration. As integration proceeds to higher levels, high-growth firms seem to obtain more debt than low-growth firms; large firms seem to obtain more debt – especially long-term debt – and issue m...

  3. FEATURES AND EFFECTS OF INTERNATIONAL INTEGRATION OF THE FINANCIAL MARKETS/ ??????????? ? ??????????? ????????????? ?????????? ?? ?????????? ??????

    Directory of Open Access Journals (Sweden)

    A.A. Kotova

    2013-04-01

    Full Text Available The article presents a model of international financial integration, shows the advantages and disadvantages of integration of financial markets, identified the benefits and potential risks of the penetration of foreign banks in the financial markets.

  4. Stock Market Integration and the Global Financial Crisis

    OpenAIRE

    Lehkonen, Heikki

    2015-01-01

    We study the dynamics of stock market integration and its consequences during the recent financial crisis for 23 developed and 60 emerging markets. We find that integration increased slightly for emerging markets but decreased for developed countries during the crisis. Moreover, we argue that the high degree of integration propagated the crisis across the global financial markets at the beginning of the crisis, but it had little effect during the crisis. We also find that integ...

  5. Financial Integration in Emerging Market Economies

    OpenAIRE

    Pasricha, Gurnain

    2007-01-01

    This paper analyzes the de-facto integration in some Emerging Market Economies based on behavior of deviations from Covered Interest Parities in the last 10 years. It tests for modified market efficiency conditions in the presence of real world frictions and arrives at a single measure of de-facto integration for some Emerging Market Economies in the post-globalization era. An Asymmetric Self Exciting Threshold Autoregressive model (SETAR) is used to estimate bands of speculative inaction. Ma...

  6. Regulatory Conflict: Market Integrity Vs. Financial Stability

    Directory of Open Access Journals (Sweden)

    Chester S. Spatt

    2009-04-01

    Full Text Available The market crisis has highlighted the design of our financial regulatory system and to a degree identified some tensions within our current system. In turn, this provides a natural opportunity to reflect upon the underlying objectives of regulation and how various regulatory goals can clash.

  7. Financial Market Integration of South Asian Countries: Panel data Analysis

    OpenAIRE

    Hasan Muhammad Mohsin; Patrick A. Rivers

    2010-01-01

    In order to attain financial integration using the Feldstein Horoika (FH) model, the real interest rates differentials must be short lived. This paper estimates the degree of financial market integration in South Asian countries (i.e., Pakistan, India, Bangladesh, Sri Lanka and Nepal) utilizing both techniques i.e. FH model and Real Interest Rates Differentials (RIDs). This study shows some degree of integration with the FH model which has increased in post liberalization period since the 199...

  8. Economic and financial integration in emerging markets: A European policy

    Directory of Open Access Journals (Sweden)

    Theodoropoulos Theodore E.

    2005-01-01

    Full Text Available This paper extends to test if the same short-run increase in cyclical volatility arising from financial integration is observed in this specific sample of "emerging markets". This work finds signs that, contrary to other emerging markets, this does not happen: for the future member states financial integration, similarly to the outcome observed in mature market economies, reduces cyclical volatility both in the short and in the long run. Weak indications are found that this may happen partially due to the anchoring of expectations provided by the EU Accession, and to the more robust institutional framework imposed by this process onto the countries in question.

  9. How has the European Monetary Integration Process Contributed to Regional Financial Market Integration?

    OpenAIRE

    Reszat, Beate

    2003-01-01

    European monetary integration was one element in the process of financial market integration but by far not the only one. The paper traces the development of financial markets and systems in Europe from the beginnings of the euromarkets in the 1950s over early exchange rate arrangements and the establishment of the Single Market program to the launch of the euro and its effects. Not surprisingly, the contribution of the common currency to financial integration has been the stronger the more n...

  10. International Financial Integration of the Indian Money Market

    OpenAIRE

    Steven Buigut; Vadhindran K. Rao

    2011-01-01

    The study investigates whether the financial liberalization undertaken in India has resulted in integration of Indian markets with global markets. First, we investigate covered interest rate parity (CIP) between India and the US using 3 month interbank interest rates and 1 year swap rates. The results show little evidence of a long term equilibrium relationship between the domestic interest rate and the covered interest rate. The mostly negative results indicate the presence of a country risk...

  11. TRENDS IN THE RUSSIAN FINANCIAL MARKET CONDITIONS AND INTEGRATION INTO THE GLOBAL FINANCIAL SYSTEM/????????? ??????????? ??????????? ????? ? ??????? ?????????? ? ??????? ?????????? ???????

    Directory of Open Access Journals (Sweden)

    A.A. Kotova

    2013-07-01

    Full Text Available The article presents the trends in the Russian financial market and the conditions for integration into the global financial system. Main directions of integration of the financial market of Russia into the global financial system, such as: reform of the existing model of the financial market in Russia with respect to evade speculative model integration and development with developing countries, countries of CIS and BRIC. Stimulation of real investment in the Russian economy. Regular monitoring of investment imbalances in the framework of the state investment policy with regard to determine the excess or deficit of the necessary investment capital by comparing the maximum amount of available internal resources and investment needs within the planned period.

  12. On Egypt's de facto Integration in the International Financial Market

    OpenAIRE

    Alnashar, Sara B.

    2015-01-01

    This study explores whether Egypt has become de facto perfectly integrated in the international financial market following the steps taken towards the de jure liberalization of the capital and financial accounts of the balance of payments since the early 1990s. It does so by running two empirical tests, namely, the uncovered interest parity and the monetary autonomy tests using monthly data for the periods January 2000–December 2011 and July 2004–June 2008. The outcome of both tests indicates...

  13. Protecting Financial Market Integrity: Roles and Responsibilities of Auditors

    OpenAIRE

    Diekman, Peter

    2008-01-01

    Waarom heeft u nog vertrouwen in een bank? En waarom vertrouwt u uw geld nog toe aan banken? Deze vragen staan centraal in de oratie ‘Protecting Financial Market Integrity. Roles and Responsibilities of Auditors' van prof.dr. Peter A.M. Diekman RA. Hij stelt dat zowel de intern als de openbare accountant een belangrijke taak hebben bij de bewaking van de financiële markt. Diekman aanvaardt op donderdag 15 mei 2008 het ambt van bijzonder hoogleraar Compliance & Risicobeheersing vanwege de Stic...

  14. Financial development and investment market integration: An approach of underlying financial variables & indicators for corporate governance growth empirical approach

    OpenAIRE

    Vojinovi? Borut; Theodoropoulos Theodore E.

    2005-01-01

    Financial development is correlated with several underlying regulatory variables (such as indicators of investor protection, market transparency variables for corporate governance growth and rules for capital market development), which are under the control of national legislators and EU directives. This paper provides estimates of the relationship between financial market development and corporate growth and assesses the impact of financial market integration on this relationship with refere...

  15. On the integration of financial markets: How strong is the evidence from five international stock markets?

    Science.gov (United States)

    Bentes, Sónia R.

    2015-07-01

    This paper examines the integration of financial markets using data from five international stock markets in the context of globalization. The theoretical basis of this study relies on the price theory and the Law of One Price, which was adjusted to the framework of financial markets. When price levels are nonstationary, cointegration and the error correction model constitute a powerful tool for the empirical examination of market integration. The error correction model provides a fully dynamic framework that allows to separating the long and the short run effects of the integration process. A dataset encompassing the daily stock price series of the PSI 20 (Portugal), IBEX 35 (Spain), FTSE 100 (UK), NIKKEI 225 (Japan) and SP 500 (US) indices from January 4th 1999 to September 19th 2014 is employed. The results highlight that these five stock markets are linked together by just one long-run relationship, although short-run movements are also present, which causes distinct deviations from the long-run equilibrium relationship. Endogeneity prevails in the system as a whole. While market integration in the sense of the Law of One Price holds, pairwise full price transmission has limited evidence. The results therefore show that stock market price movements are highly nonlinear and complex.

  16. Financial markets

    OpenAIRE

    Bibow, Jörg

    2011-01-01

    This paper provides a brief exposition of financial markets in Post Keynesian economics. Inspired by John Maynard Keynes's path-breaking insights into the role of liquidity and finance in monetary production economies Post Keynesian economics offers a refreshing alternative to mainstream (mis)conceptions in this area. We highlight the importance of liquidity - as provided by the financial system - to the proper functioning of real world economies under fundamental uncertainty, contrasting sta...

  17. Financial development and investment market integration: An approach of underlying financial variables & indicators for corporate governance growth empirical approach

    Directory of Open Access Journals (Sweden)

    Vojinovi? Borut

    2005-01-01

    Full Text Available Financial development is correlated with several underlying regulatory variables (such as indicators of investor protection, market transparency variables for corporate governance growth and rules for capital market development, which are under the control of national legislators and EU directives. This paper provides estimates of the relationship between financial market development and corporate growth and assesses the impact of financial market integration on this relationship with reference to European Union (EU countries. The regression results obtained using this panel support the hypothesis that financial development promotes growth particularly in industries that are more financially dependent on external finance. For policy purposes, analyzing changes in these regulatory variables may be a more interesting exercise than analyzing integration of the financial systems themselves. Since assuming that EU countries will raise its regulatory and legal standards to the U.S. standards appears unrealistic, in this case we examine a scenario where EU countries raise their standards to the highest current EU standard.

  18. Research network on capital markets and financial integration in Europe : results and experience after two years

    OpenAIRE

    European Central Bank ; Center for Financial Studies (CFS)

    2008-01-01

    In April 2002 the European Central Bank (ECB) and the Center for Financial Studies (CFS) launched the ECB-CFS Research Network to promote research on “Capital Markets and Financial Integration in Europe”. The ECB-CFS research network aims at stimulating top-level and policy-relevant research, significantly contributing to the understanding of the current and future structure and integration of the financial system in Europe and its international linkages with the United States and Japan. This...

  19. Integration versus Segmentation in Asian Financial Market: The Prospect of Regionalism in Asia

    OpenAIRE

    Herlina Yoka Roida

    2009-01-01

    This paper draws the prospect of regionalism among financial market in Asia (Indonesia, Malaysia, Philippine, Singapore, China, Hong Kong, Japan and South Korea). The first part examines the correlation among them that lead to regional integration. The second part shows the possibility of integration or segmentation between Asia countries and world. The next part, tries to draw whether last financial crises 1997 gave different result to the integration process. The correlation between Asia re...

  20. Global Financial Crisis and Stock Market Integration between Northeast Asia and Europe

    OpenAIRE

    Geesun Lee; Jinho Jeong

    2014-01-01

    This study examines the effect of financial crisis on the level of stock market integration. In particular, we investigated the dynamic movements of two regional stock markets, Northeast Asia and Europe during the period between January 1st, 2000 and December 31st, 2012, with particular attention placed on the global financial crisis (GFC). For this purpose, the paper employs various approaches including DCC-MGARCH, Risk Decomposition, GVAR, and CCOR models to ensure the robustness of empiric...

  1. Financial market crisis and financial market channel

    OpenAIRE

    Braasch, Bernd

    2010-01-01

    Before a new financial architecture can be established in the wake of the financial crisis, the increasing importance of the global financial market channel must be fully understood. This importance was illustrated by the unexpectedly strong dampening effects of the financial crisis on the real economy and by the worldwide contagion of the crisis, including its spreading to emerging market economies that were macroeconomically stable. This article argues that the financial sphere is gaining i...

  2. Financial and real integration

    OpenAIRE

    Baier, Scott L.; Dwyer, Gerald P.

    2008-01-01

    We examine the relationship between real and financial integration. Real integration is measured by productivities of capital and labor from trade data for 1982 to 1997. Financial integration is measured by the black market exchange rate. We find more evidence of convergence to equality for returns to capital than for returns to labor. There is some support for associating the convergence of black market premia with declines in black market premia.

  3. CONSTITUENTS OF FINANCIAL MARKETS

    Directory of Open Access Journals (Sweden)

    Meenakshi M. Huggi

    2016-02-01

    Full Text Available Indian Financial Market helps in promoting the savings of the economy - helping to adopt an effective channel to transmit various financial policies. Our paper is prepared on the basis of descriptive study it consists of financial market meaning, features and types of financial markets, capital and money market instruments their differences and also it covers the differences between primary and secondary markets and at the last it throws light on the functions of financial markets.

  4. Financial integration at times of financial instability

    OpenAIRE

    Babecký, Jan; Komárek, Luboš; Komárková, Zlatuše

    2010-01-01

    This article analyzes the phenomenon of financial integration on both the theoretical and empirical levels, focusing primarily on assessing the impacts of the current financial crisis. In the theoretical section writers look at the definition of financial integration and summarize the benefits and costs associated with this process. The subsequent empirical section provides an analysis of the speed and level of integration of the Czech financial market and the markets of selected inflation-ta...

  5. Time series analysis of the developed financial markets' integration using visibility graphs

    Science.gov (United States)

    Zhuang, Enyu; Small, Michael; Feng, Gang

    2014-09-01

    A time series representing the developed financial markets' segmentation from 1973 to 2012 is studied. The time series reveals an obvious market integration trend. To further uncover the features of this time series, we divide it into seven windows and generate seven visibility graphs. The measuring capabilities of the visibility graphs provide means to quantitatively analyze the original time series. It is found that the important historical incidents that influenced market integration coincide with variations in the measured graphical node degree. Through the measure of neighborhood span, the frequencies of the historical incidents are disclosed. Moreover, it is also found that large "cycles" and significant noise in the time series are linked to large and small communities in the generated visibility graphs. For large cycles, how historical incidents significantly affected market integration is distinguished by density and compactness of the corresponding communities.

  6. CONSIDERATIONS ON THE PROSPECTS OF THE INTEGRATION OF THE EUROPEAN FINANCIAL MARKETS IN THE CONTEXT OF THE GLOBAL CRISIS

    Directory of Open Access Journals (Sweden)

    Morosan Danila Lucia

    2010-12-01

    Full Text Available In recent years, as the efforts linked to the elimination of the capital movements control between countries have intensified, the preoccupations concerning the explanation of the financial integration concept have multiplied, in their turn. An integrated financial market is necessary particularly to the distribution of liquidity between the institutions in the euro zone, and, implicitly, for the enforcement of a common monetary policy. Thus, the problem of the integration of the financial market, respectively of the monetary one, appears as a premise for a homogenous transmission of the financial policy impulses all throughout the euro zone. The financial integration is defined in conformity with the law of a single price. According to this definition, in case the markets are integrated, the financial assets bearing identical characteristics should have the same price, regardless of their geographic origin.

  7. ECONOMIC NATURE OF FINANCIAL MARKET IN INTEGRATED SYSTEMS INSTITUTE TRANSITIONAL ECONOMIES

    Directory of Open Access Journals (Sweden)

    В.Л. СМАГІН

    2011-03-01

    Full Text Available  The article deals with economic essence of the financial market in the transformation economic system of the contemporary types in the context of the nowadays research on this segment of the market economy. 

  8. European financial integration and the 1992 challenge: is the market approach sufficient?

    Directory of Open Access Journals (Sweden)

    M. SARCINELLI

    2013-12-01

    Full Text Available The new phase of European integration is being developed in parallel with a gradual strengthening of international cooperation in the field of macroeconomics. This has coincided with the rejection of positions that reflected the belief that markets were self-regulating and an over-confidence in the rationality of expectations. Indeed, the emergence and worsening of fiscal, trade and payments imbalances with foreign countries has led to a reconsideration of the approach to the problems of international economic policy. The present article looks at the financial aspects of integration in the prospect of the 1992 objectives, and Italy’s role within this context. After recalling the main features of the process of European integration, the implications of the liberalisation of capital movements and financial services for banks and for Italian agents are analysed. The author argues that although markets may determine productivity gains and efficiency, it would be imprudent to entrust them with distributing them fairly and compensating those who are disadvantaged.  

  9. Financial Services Marketing.

    Science.gov (United States)

    Olson, Lucretia Maria

    This manual contains student assignments in the financial services area of the marketing process. The individualized competency-based materials are intended to enhance and supplement instruction or to provide the basis for a course of instruction by the teacher-coordinator. Information on skills needed in jobs in financial marketing is first…

  10. Communication impacting financial markets

    CERN Document Server

    Andersen, Jorgen Vitting; Dellaportas, Petros; Galam, Serge

    2014-01-01

    Behavioral finance has become an increasingly important subfield of finance. However the main parts of behavioral finance, prospect theory included, understand financial markets through individual investment behavior. Behavioral finance thereby ignores any interaction between participants. We introduce a socio-financial model that studies the impact of communication on the pricing in financial markets. Considering the simplest possible case where each market participant has either a positive (bullish) or negative (bearish) sentiment with respect to the market, we model the evolution of the sentiment in the population due to communication in subgroups of different sizes. Nonlinear feedback effects between the market performance and changes in sentiments are taking into account by assuming that the market performance is dependent on changes in sentiments (e.g. a large sudden positive change in bullishness would lead to more buying). The market performance in turn has an impact on the sentiment through the trans...

  11. Financial integration and asset returns

    OpenAIRE

    Martin, Philippe; Rey, Helene

    2000-01-01

    The paper investigates the impact of financial integration on asset return, risk diversification and breadth of financial markets. We analyse a three-country macroeconomic model in which (i) the number of financial assets is endogenous; (ii) assets are imperfect substitutes; (iii) cross-border asset trade entails some transaction costs; (iv) the investment technology is indivisible. In such an environment, lower transaction costs between two financial markets translate to higher demand for as...

  12. EU SINGLE FINANCIAL MARKET – PROSPECTS FOR CHANGES

    Directory of Open Access Journals (Sweden)

    Ma?gorzata Mikita

    2012-04-01

    Full Text Available The global financial crisis has revealed the weaknesses of the European financial market, which triggered the European Union (EU work on further integration of this market. The aim of this article is to present the direction of changes concerning the integration of the EU financial market. These changes are mainly related to the issue of supervising the EU financial market, regulating the institutions operating in this market, protecting customers, improving the effectiveness of the market, its transparency and liquidity, as well as improving management in crisis situations.

  13. Financial integration in emerging market economies: effects on volatility transmission and contagion

    OpenAIRE

    BEN REJEB, Aymen; Boughrara, Adel

    2014-01-01

    The purpose of this paper is to examine the volatility relationship that exists between emerging and developed markets in normal times and in times of financial crises. The Vector Autoregressive methodology and the Bai and Perron (2003a,b)’s technique are used. The paper results lead to very interesting conclusions. First, it has been found that volatility spillovers are effective across financial markets. Second, it has been proven that geographical proximity is of great importance in amplif...

  14. Communication impacting financial markets

    Science.gov (United States)

    Vitting Andersen, Jørgen; Vrontos, Ioannis; Dellaportas, Petros; Galam, Serge

    2014-10-01

    Since the attribution of the Nobel prize in 2002 to Kahneman for prospect theory, behavioral finance has become an increasingly important subfield of finance. However the main parts of behavioral finance, prospect theory included, understand financial markets through individual investment behavior. Behavioral finance thereby ignores any interaction between participants. We introduce a socio-financial model (Vitting Andersen J. and Nowak A., An Introduction to Socio-Finance (Springer, Berlin) 2013) that studies the impact of communication on the pricing in financial markets. Considering the simplest possible case where each market participant has either a positive (bullish) or negative (bearish) sentiment with respect to the market, we model the evolution of the sentiment in the population due to communication in subgroups of different sizes. Nonlinear feedback effects between the market performance and changes in sentiments are taken into account by assuming that the market performance is dependent on changes in sentiments (e.g., a large sudden positive change in bullishness would lead to more buying). The market performance in turn has an impact on the sentiment through the transition probabilities to change an opinion in a group of a given size. The idea is that if for example the market has observed a recent downturn, it will be easier for even a bearish minority to convince a bullish majority to change opinion compared to the case where the meeting takes place in a bullish upturn of the market. Within the framework of our proposed model, financial markets stylized facts such as volatility clustering and extreme events may be perceived as arising due to abrupt sentiment changes via ongoing communication of the market participants. The model introduces a new volatility measure which is apt of capturing volatility clustering and from maximum-likelihood analysis we are able to apply the model to real data and give additional long term insight into where a market is heading.

  15. Testing Integration Effects Between the Cee and U.S. Stock Markets During the 2007–2009 Global Financial Crisis

    Directory of Open Access Journals (Sweden)

    Olbry? Joanna

    2015-06-01

    Full Text Available The main goal of this paper is to explicitly test a research hypothesis that there was no integration effect among the U.S. and the eight Central and Eastern European (CEE stock markets during the 2007-2009 Global Financial Crisis (GFC. As growing international integration could lead to a progressive increase in cross-market correlations, the evaluation of integration was carried out by applying equality tests of correlation matrices computed over non-overlapping subsamples: the pre-crisis and crisis periods, in the group of investigated markets. The crisis periods are formally established based on a statistical method of dividing market states into bullish and bearish markets. The sample period May 2004-April 2014 includes the 2007 U.S. subprime financial crisis. The robustness analysis of the integration tests with respect to various data frequencies is provided. The empirical results are not homogeneous and they depend both on the integration test and data frequency. Consequently, it is not possible to conclude whether integration between the investigated markets is present.

  16. Financial Markets and Persistence

    OpenAIRE

    Jain, S.; Buckley, P.

    2005-01-01

    Persistence is studied in a financial context by mapping the time evolution of the values of the shares quoted on the London Financial Times Stock Exchange 100 index (FTSE 100) onto Ising spins. By following the time dependence of the spins, we find evidence for power law decay of the proportion of shares that remain either above or below their ` starting\\rq values. As a result, we estimate a persistence exponent for the underlying financial market to be $\\theta_f\\sim 0.5$.

  17. Financial integration within the European Union: Towards a single market for insurance

    OpenAIRE

    Beckmann, Rainer; Eppendorfer, Carsten; Neimke, Markus

    2002-01-01

    Our study analyses the extent of integration of the EU market for life and non-life insurance. The main integration indicator used is the market share (premium based) of foreign companies in domestic markets. For the calculation of this indicator, three different kinds of foreign presence are taken into account: foreign presence through merger and acquisitions, through branches and agencies and direct cross-border sales without physical presence. Whereas the static view reveals a high degree ...

  18. Social Knowledge for Financial Markets

    OpenAIRE

    Gertraude Mikl-Horke

    2010-01-01

    Financial literacy is an important issue today, but it is directed/limited to improve the practical skills of people taking financial markets and their present working for granted. However, financial markets are social institutions and social processes involving network relations as well as rules and norms. Globalization has resulted in a dominating role of financial markets over the economy with importance for the transformation of capitalistic society. The sociological perspectives on finan...

  19. Financial Services and Emerging Markets

    OpenAIRE

    Karreman, B.

    2011-01-01

    This study addresses the organization and strategy of firms in emerging markets with an explicit application to financial services. Given the relevance of a well-functioning financial system for economic growth, understanding the organization and strategy of firms contributing to the development of sound financial services appears of utmost importance for emerging markets. Throughout the study, two main providers of financial services are distinguished, namely banks and stock markets, which a...

  20. Reconfiguring the Financial Markets

    Directory of Open Access Journals (Sweden)

    Ion Bucur

    2009-12-01

    Full Text Available The debut of the new millennium is marked by the increased economic and social imbalances. An important task of economic science is to identify the causes and factors that contributed to the radical transformation of the unfolding conditions of economic activity. The existence of different perspectives to approach the new realities may offer greater opportunities for decrypting the conditions that generated so far unknown developments, as well as for shaping solutions to promote new paths of progress and civilization. The defining with profound implications on the economy and society is represented by the globalization. From this perspective, we have analysed the new dimensions of capital accumulation and economic growth in the context of deregulation and liberalization of the international capital movements. In this context, we have noticed the increasing influence of the financial markets on the economy, the tendency to remove the finances from the real economy requirements, the growing role of external financing using more volatile capital goods, increased competition regarding the access to financing, the significant increase of power of the international capital markets whose characteristic is represented by the increased instability, the implications of the investors’ obsession with an excessive profitableness of their own funds and the expansion of using sophisticated financial products. Realities of today’s financial markets, which are the subject of numerous studies and analysis, have contributed to the association of the arguments that are contesting the thesis on the virtues of self-regulation markets and promoting a new paradigm, within which finances should subordinate the requirements of a balanced and sustained economic growth.

  1. 77 FR 45907 - Financial Market Utilities

    Science.gov (United States)

    2012-08-02

    ...that a few financial institutions will be perceived...improve overall market transparency...participating financial institutions and to the market as a whole...plausible market conditions...base its financial resources...financial institutions'' as...

  2. The Nordic financial electricity market

    Energy Technology Data Exchange (ETDEWEB)

    2010-11-15

    NordREG is a cooperation of the Nordic energy regulators. The mission is to actively promote legal and institutional framework and conditions necessary for developing the Nordic and European electricity markets. The financial market is an important market for market participants to mitigate their risks. By providing tools for risk management, the financial market contributes to the efficient functioning of both wholesale and end-user markets. NordREG decided during 2009 to undertake a study on the Nordic financial electricity market. The aim of the report is to consider whether any improvements can be made to further increase the efficiency of the Nordic financial electricity market in order to secure an optimal price setting in the wholesale and the end-user markets

  3. Asian Capital Market Integration: Theory and Evidence

    OpenAIRE

    Park, Cyn-Young

    2013-01-01

    Financial integration is a multidimensional process through which allocation of financial assets becomes increasingly borderless. This paper assesses the progress achieved thus far in capital market integration in Asia, and compares regional capital market integration with global financial integration. The results of the analysis on which the paper is based indicate that while the pace of regional integration of financial markets in Asia's emerging economies has accelerated in recent years, t...

  4. 78 FR 14024 - Financial Market Utilities

    Science.gov (United States)

    2013-03-04

    ...which the financial markets and the broader...systems in which financial institutions, such as banks...spreading among financial institutions or markets and thereby threaten...stability of the financial system of the...

  5. Marketing in current financial crisis

    OpenAIRE

    Mariánek, Lukáš

    2009-01-01

    The paper is describing the effects of recessions and current financial crisis on companies and their marketing. The topic covers the history of marketing throughout the world biggest recessions and describes the current marketing efforts of Czech companies under the current financial crisis. A strategical analysis with the impacts of crisis on long-term strategy planning is provided at the end of the paper.

  6. Financial intermediaries, markets and growth

    OpenAIRE

    Fecht, Falko; Huang, Kevin; Martin, Antoine

    2005-01-01

    We build a model in which financial intermediaries provide insurance to households against a liquidity shock. Households can also invest directly on a financial market if they pay a cost. In equilibrium, the ability of intermediaries to share risk is constrained by the market. This can be beneficial because intermediaries invest less in the productive technology when they provide more risk-sharing. Our model predicts that bank-oriented economies should grow slower than more market-oriented ec...

  7. Financial Markets and Stochastic Growth

    OpenAIRE

    Schenk-Hoppé, Klaus Reiner; Mirman, Leonard J

    2000-01-01

    In this paper, we study the effect of financial markets on the investment of a two-good two-country economy with stochastic production in a dynamic framework. Each country produces and invests only one good and, therefore, makes decisions as a central planner in an optimal growth model. Trade between consumers of both countries, however, takes place on competitive (spot or financial) markets. Wencompare the investment-consumption decisions of both `market' models with the benchmark-case of an...

  8. Integration between the Romanian and the Euro Area Banking Markets: An Application of the Johansen Cointegration Test to Interest Rates on Loans to Non-Financial Corporations

    OpenAIRE

    Maricica MOSCALU

    2015-01-01

    The aim of the present paper is to investigate if there is any level of integration between the Romanian and the euro area banking markets ? with focus on lending activities of monetary financial institutions (MFIs) to non-financial corporations (NFCs) ? and to assess this level of integration through using both quantity- and especially price-based data. The main empirical instrument used is the Johansen cointegration test applied to pairs of interest rates for euro-denominated loans granted ...

  9. Trading strategies for financial market

    OpenAIRE

    Drbohlavová, Veronika

    2011-01-01

    Thesis deals with trading on financial market – concretely forex market. This market is quit new but for sure very interesting and full of potential for trading or investments. Thesis then gives an overview of possible methods of analysis of such a market as also utilization of those methods in following determination of trading strategies. Those methods are technical and fundamental analyses which provide valuable information about market and its possible future development.

  10. Institutional Arrangement of Financial Markets Supervision: The Case of the Czech Republic

    OpenAIRE

    Musílek, Petr

    2008-01-01

    The paper deals with institutional arrangement of financial supervision in the Czech Republic. Financial markets are composed of partial financial segments specialized in individual types of financial instruments and individual customer groups. Financial institutions gradually transform into financial supermarkets. There are several models of institutional arrangement of financial supervision (integrated financial supervision model, sectional financial supervision model, financial supervision...

  11. Social Knowledge for Financial Markets

    Directory of Open Access Journals (Sweden)

    Gertraude Mikl-Horke

    2010-08-01

    Full Text Available Financial literacy is an important issue today, but it is directed/limited to improve the practical skills of people taking financial markets and their present working for granted. However, financial markets are social institutions and social processes involving network relations as well as rules and norms. Globalization has resulted in a dominating role of financial markets over the economy with importance for the transformation of capitalistic society. The sociological perspectives on financial markets have relevance also for the present crisis for which several explanations have been suggested. Most explanations overlook, however, the process of disembedding of the financial markets from the societal context, which is represented by the reliance on a specific kind of knowledge. To illustrate the need for reintegrating financial markets in the economy and making them more responsive to societal concerns, financial knowledge requires to be embedded into social knowledge about the function of financial markets for society, the importance of norms and the social character of markets.Finanzerziehung ist ein wichtiges Anliegen in der Gegenwart, aber die „finanzielle Alphabetisierung“ beschränkt sich auf die Vermittlung praktischen Wissens, ohne die Finanzmärkte und ihr Funktionieren zu hinterfragen. Aber Finanzmärkte sind soziale Institutionen und soziale Prozesse, die Netzwerkbeziehungen sowie Regeln und Normen umfassen. Die Globalisierung resultierte in einer dominierenden Rolle des Finanzsystems im Verhältnis zur Wirtschaft und mit Implikationen für die Transformation der kapitalistischen Gesellschaft. Die soziologischen Perspektiven auf Finanzmärkte sind auch für die gegenwärtige Krise relevant, die verschieden zu erklären versucht wird. Diese Erklärungen übersehen jedoch vielfach den Prozess der Entbettung der Finanzmärkte aus den gesellschaftlichen Kontexten, der sich auch durch die Betonung einer spezifischen Art von Wissen darstellt. Um die Notwendigkeit für die Reintegration der Finanzmärkte in die Wirtschaft und für ihre Verantwortlichkeit für gesellschaftliche Belange verständlich zu machen, bedarf es der Einbettung des finanztechnischen Wissens in soziales Wissen über die Funktion der Finanzmärkte in der Gesellschaft, die Bedeutung von Normen und den sozialen Charakter von Märkten.

  12. Modelling Competition Level in the Ukrainian Financial Market ????????????? ?????? ??????????? ?? ?????????? ????? ???????

    Directory of Open Access Journals (Sweden)

    Abakumenko Olga V.

    2013-05-01

    Full Text Available Liberalisation of functioning of main segments of the financial market in the majority of developed and developing countries, appearance of new forms of financial mediation and innovation financial instruments contributed to sharpening of competition between recipients of financial assets, which resulted in relevant organisational and integration transformations in the financial market. The article offers a scientific and methodical approach to assessment of the level of competition in the financial market both in general and in its individual segments: deposit, credit, currency market and securities market ones. The offered scientific and methodical approach allows identification of the aggregate level of competition of the financial market of Ukraine, taking into account not only specific features of competitive activity in the currency, deposit, credit and securities markets, but also the degree of influence (priority of each of these system forming components upon the financial market of Ukraine in general, which significantly increases the level of practical importance and objectivity of obtained results.????????????? ???????????????? ???????? ????????? ??????????? ????? ? ??????????? ???????? ? ????????????? ?????, ????????? ????? ???? ??????????? ?????????????? ? ????????????? ?????????? ???????????? ?????????????? ?????????? ??????????? ????? ???????????? ?????????? ???????, ??? ?????????? ??????????????? ??????????????-?????????????? ?????????????? ?? ?????????? ?????. ? ?????? ????????? ??????-???????????? ?????? ? ?????? ?????? ??????????? ?? ?????????? ????? ??? ? ?????, ??? ? ? ??????? ????????? ??? ?????????: ???????????, ??????????, ????????? ?????? ? ????? ?????? ?????. ???????????? ??????-???????????? ?????? ????????? ?????????? ?????????? ??????? ??????????? ??????????? ????? ???????, ???????? ?? ?????? ??????????? ???????????? ???????????? ?? ????????, ?????????? ? ????????? ?????? ? ????? ?????? ?????, ?? ? ??????? ??????? (?????????????? ?????? ?? ?????? ????????????????? ???????????? ?? ?????????? ????? ??????? ? ?????, ??? ??????????? ???????? ??????? ???????????? ?????????? ? ????????????? ?????????? ???????????.

  13. Market free lunch and large financial markets

    OpenAIRE

    Klein, Irene

    2007-01-01

    The main result of the paper is a version of the fundamental theorem of asset pricing (FTAP) for large financial markets based on an asymptotic concept of no market free lunch for monotone concave preferences. The proof uses methods from the theory of Orlicz spaces. Moreover, various notions of no asymptotic arbitrage are characterized in terms of no asymptotic market free lunch; the difference lies in the set of utilities. In particular, it is shown directly that no asympto...

  14. Financial Intermediation, Markets, and Alternative Financial Sectors

    OpenAIRE

    ALLEN, Franklin; Carletti, Elena; QIAN, Jun 'QJ'; Valenzuela, Patricio

    2012-01-01

    We provide a comprehensive review of firms’ financing channels (internal and external, domestic and international) around the globe, with the focus on alternative finance—financing from all the nonmarket, non-bank external sources. We argue that while traditional financing channels, including financial markets and banks, provide significant sources of funds for firms in developed countries, alternative financing channels provide an equally important source of funds in both developed and devel...

  15. Market free lunch and large financial markets

    CERN Document Server

    Klein, I

    2006-01-01

    The main result of the paper is a version of the fundamental theorem of asset pricing (FTAP) for large financial markets based on an asymptotic concept of no market free lunch for monotone concave preferences. The proof uses methods from the theory of Orlicz spaces. Moreover, various notions of no asymptotic arbitrage are characterized in terms of no asymptotic market free lunch; the difference lies in the set of utilities. In particular, it is shown directly that no asymptotic market free lunch with respect to monotone concave utilities is equivalent to no asymptotic free lunch. In principle, the paper can be seen as the large financial market analogue of [Math. Finance 14 (2004) 351--357] and [Math. Finance 16 (2006) 583--588].

  16. 76 FR 18445 - Financial Market Utilities

    Science.gov (United States)

    2011-04-04

    ...No. R-1412] RIN 7100-AD71 Financial Market Utilities AGENCY: Board...lessons learned during the recent financial crisis. The CPSS and IOSCO published...consultative report for Principles for Financial Market Infrastructures at...

  17. Essays on Financial Market Interdependence

    OpenAIRE

    Liu, Lu

    2012-01-01

    This thesis aims at investigating the risk spillover and correlations among national stock markets, and the structure of dependence between stocks and commodity futures. It consists of four chapters. Chapter 1 briefly reviews the literature background of financial market interdependence and summarizes the contribution of the thesis. Chapter 2 proposes a binary response model approach to measure and forecast extreme downside risks in Asian-Pacific markets given information on extreme d...

  18. The Financial Markets of China

    OpenAIRE

    Niemi, Timo

    2012-01-01

    The purpose of this study was to examine and analyze the financial markets of China. The intention was to form a comprehensive picture of the current state and the latest developments of the markets. Specific attention was paid to the accessibility and opportunities offered to foreign participants in the markets. The study concentrates on mainland China, excluding Hong Kong and Macau. The research was conducted using qualitative methodology, by collecting data first and then analyzing it ...

  19. The Asean Stock Market Integration: The Effect of the 2007 Financial Crisis on the Asean Stock Indices’ Movements

    Directory of Open Access Journals (Sweden)

    Adwin Surja Atmadja

    2009-01-01

    Full Text Available This study attempts to examine the existence of cointegration relationship and the short run dynamic interaction among the five ASEAN stock market indices in the period of before and during the 2007 financial crisis. The multivariate time series analysis frameworks are employed to the series in both sub-sample periods in order to answer the hypotheses.The study finds two cointegrating vectors in the series before the financial crisis period, however it fails to detect any cointegrating vector in the period of financial crisis. Granger causality tests applied to the series reveal that number of significant causal linkages between two variables increase during the crisis period. Moreover, the accounting innovation analysis shows an increase in the explanatory power of an endogenous variable to another within the system during the crisis period, indicating that the contagious effect of the 2007-US financial crisis has entered into the ASEAN capital market, and significantly influenced the regional indices’ movements.

  20. Momentum in stock market returns, risk premia on foreign currencies and international financial integration

    OpenAIRE

    Nitschka, Thomas

    2009-01-01

    Momentum in developed countries' stock market index returns can be exploited to form portfolios of excess returns on foreign currencies as relatively high past foreign stock market returns signal a foreign currency appreciation. Two risk factors extracted from the stock index momentum based currency portfolio returns explain more than 80 percent of their cross-sectional variation. In contrast to currency risk factors constructed from forward discount sorted currency portfolios, these risk fac...

  1. Financial integration of stock markets among new EU member states and the euro area.

    Czech Academy of Sciences Publication Activity Database

    Babecký, Jan; Komárek, L.; Komárková, Z.

    -, ?. 849 (2008), s. 1-27. ISSN 0083-7350 Institutional research plan: CEZ:AV0Z70850503 Keywords : stock markets * convergence * new EU member states Subject RIV: AH - Economics http://www2.warwick.ac.uk/fac/soc/economics/research/papers/twerp_849.pdf

  2. Path integrals in quantum mechanics, statistics, polymer physics, and financial markets

    CERN Document Server

    Kleinert, Hagen

    2009-01-01

    This is the fifth, expanded edition of the comprehensive textbook published in 1990 on the theory and applications of path integrals. It is the first book to explicitly solve path integrals of a wide variety of nontrivial quantum-mechanical systems, in particular the hydrogen atom. The solutions have been made possible by two major advances. The first is a new euclidean path integral formula which increases the restricted range of applicability of Feynman's time-sliced formula to include singular attractive 1/r- and 1/r2-potentials. The second is a new nonholonomic mapping principle carrying p

  3. Financial Markets and Public Information

    OpenAIRE

    Storkenmaier, Andreas

    2011-01-01

    The last decades have seen dramatic changes in trading technology and the way that financial markets operate. As trading technology advances, news providers have kept pace and deliver news to market participants around the world within fractions of a second using electronic systems. Currently, most news is still interpreted by humans but news providers have started to offer newswire products with machine learning systems that specifically cater to algorithmic traders. In practice, newswire me...

  4. Behavior of Financial Markets Efficiency During the Financial Market Crisis: 2007-2009

    OpenAIRE

    Mynhardt, H. R.; Plastun, Alex; Makarenko, Inna

    2014-01-01

    This paper examines the behavior of financial markets efficiency during the recent financial market crisis. Using the Hurst exponent as a criterion of market efficiency we show that level of market efficiency is different for pre-crisis and crisis periods. We also classify financial markets of different countries by the level of their efficiency and reaffirm that financial markets of developed countries are more efficient than the developing ones. Based on Ukrainian financial market analysis ...

  5. Pension policies after EU enlargement: Between financial market integration and sustainability of public finances

    OpenAIRE

    Wehlau, Diana; Sommer, Jörg

    2004-01-01

    "Am 1. Mai 2004 hat die Europäische Union (EU) mit dem Beitritt von acht Mittel- und Osteuropäischen Ländern (MOEL) sowie Malta und Zypern ihre umfassendste Erweiterung seit ihrer Gründung im Jahr 1957 vollzogen. In dieser erweiterten EU sind die Integration der Finanzmärkte einerseits sowie die Nachhaltigkeit der öffentlichen Haushalte und die der Alterssicherungssysteme andererseits zwei zentrale politische Zielsetzungen. Am Beispiel der neu beigetretenen Mitgliedstaaten verknüpft das Papie...

  6. Dynamics of financial markets in the context of globalization

    OpenAIRE

    Marilen PIRTEA; Iovu, Laura Raisa; Milos, Marius Cristian

    2008-01-01

    The transformation of national segmented financial markets into integrated parts of the global financial market- the globalization process - involves cross-border and cross-sector integration in which capital movements and financial services are key determinants. Growth in trade and investments, important changes in production and technology, meaningful innovations in telecommunications and computer applications, and a generalized trend towards liberalization and deregulation of domestic and ...

  7. The role of the European Union for the financial integration of Eastern Europe

    OpenAIRE

    Tomfort, André

    2006-01-01

    The objective of this paper was to investigate the integration of Eastern European financial markets into the EU and world markets. Financial integration has been measured by international investment positions and financial liberalisation measures.

  8. Extreme times in financial markets.

    OpenAIRE

    Masoliver, Jaume, 1951-; Montero Torralbo, Miquel; Perelló, Josep

    2005-01-01

    We apply the theory of continuous time random walks (CTRWs) to study some aspects involving extreme events in financial time series. We focus our attention on the mean exit time (MET). We derive a general equation for this average and compare it with empirical results coming from high-frequency data of the U.S. dollar and Deutsche mark futures market. The empirical MET follows a quadratic law in the return length interval which is consistent with the CTRW formalism.

  9. Complex Interactions in Financial Markets

    OpenAIRE

    Finger, Karl

    2014-01-01

    All six studies show how complex the interactions on the micro-level (agent, bank, trader group) are and shed some light on how they determine the observed outcomes (price, network) on the macro-level. The two main findings in case of the artificial financial market are: (1) the introduction of a second asset triggers alternating herding behavior of the informed traders. This results from simple profit considerations by the individual agents rather than any form of coordination between them. ...

  10. Financial frictions, financial shocks and labour market fluctuations in Canada

    OpenAIRE

    Zhang, Yahong

    2011-01-01

    What are the effects of financial market imperfections on unemployment and vacancies in Canada? The author estimates the model of Zhang (2011) - a standard monetary dynamic stochastic general-equilibrium model augmented with explicit financial and labour market frictions - with Canadian data for the period 1984Q2-2010Q4, and uses it to examine the importance of financial shocks on labour market fluctuations in Canada. She finds that the estimated value of the elasticity of external finance, t...

  11. Understanding Financial Market States Using Artificial Double Auction Market

    OpenAIRE

    Kyubin Yim; Gabjin Oh; Seunghwan Kim

    2015-01-01

    The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidences from the fields of finance, mathematics, and even physics to explain states observed in the real financial markets, previous theories that attempt to fully explain the complexities of financial markets have ...

  12. Hierarchical Structure in Financial Markets

    CERN Document Server

    Mantegna, R N

    1998-01-01

    I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting from the matrix of correlation coefficient computed between all pairs of stocks of the portfolio by considering the synchronous time evolution of the difference of the logarithm of daily stock price. The hierarchical tree of the subdominant ultrametric space associated with the graph provides information useful to investigate the number and nature of the common economic factors affecting the time evolution of logarithm of price of well defined groups of stocks.

  13. Financial Integration in Emerging Asia: Challenges and Prospects

    OpenAIRE

    Park, Cyn-Young; Lee, Jong-wha

    2011-01-01

    Using both quantity- and price-based measures of financial integration, this paper shows an increasing degree of financial openness and integration in emerging Asian markets. This paper also assesses the impact of a regional shock relative to a global shock on local equity and bond markets. The findings of this paper suggest that the region’s equity markets are integrated more globally than regionally, although the degrees of both regional and global integration have increased significantly s...

  14. Globalization, financial crisis and contagion: time-dynamic evidence from financial markets of developing countries

    OpenAIRE

    Simplice A, Asongu

    2011-01-01

    Financial integration among economies has the benefit of improving allocation efficiency and diversifying risk. However the recent global financial crisis, considered as the worst since the Great Depression has re-ignited the fierce debate about the merits of financial globalization and its implications for growth especially in developing countries. This paper examines whether equity markets in emerging countries were vulnerable to contagion during the recent financial meltdown. Findings show...

  15. International financial markets and development

    Scientific Electronic Library Online (English)

    Peter, Wahl.

    Full Text Available The current financial crisis has not come about by chance. It is the result of a system that has emerged over the last 30 years and which Keynes may well have called the ‘casino economy’. The dominance of finance over real economy characterises the financial crisis, while finance itself is dominated [...] by the all-encompassing target of maximum profit at all times. Other aims of economic activity such as job creation, social welfare and development have fallen by the wayside. In response, new actors are surfacing, e.g. the institutional investor (hedge funds, private equity funds, etc.), while new instruments are leading to highly leveraged and destabilising derivatives. The casino system has been promoted by governments and intergovernmental institutions to liberalise and deregulate financial markets. Although developing countries have not participated in the casino system, they have been suffering most from the spill-over into the real economy. The main lesson learnt is that the casino has to be closed.

  16. International financial markets and development

    Directory of Open Access Journals (Sweden)

    Peter Wahl

    2009-11-01

    Full Text Available The current financial crisis has not come about by chance. It is the result of a system that has emerged over the last 30 years and which Keynes may well have called the ‘casino economy’. The dominance of finance over real economy characterises the financial crisis, while finance itself is dominated by the all-encompassing target of maximum profit at all times. Other aims of economic activity such as job creation, social welfare and development have fallen by the wayside. In response, new actors are surfacing, e.g. the institutional investor (hedge funds, private equity funds, etc., while new instruments are leading to highly leveraged and destabilising derivatives. The casino system has been promoted by governments and intergovernmental institutions to liberalise and deregulate financial markets. Although developing countries have not participated in the casino system, they have been suffering most from the spill-over into the real economy. The main lesson learnt is that the casino has to be closed.

  17. Financial transaction tax contributes to more sustainability in financial markets

    OpenAIRE

    Schäfer, Dorothea

    2012-01-01

    We argue that a financial transaction tax complements financial market regulation. With the tax, governments have an additional instrument at hand to influence trading activity. FTT aims to reduce regulatory arbitrage, flash trading, overactive portfolio management, excessive leverage and speculative transactions of financial institutions. The focus clearly addresses these classes of activities that have contributed to the financial crisis. However, if contrary to expectations harmful transac...

  18. Relationship Service Marketing and Investment in Financial Market of Iran

    Directory of Open Access Journals (Sweden)

    Mehrdad Alipour

    2012-08-01

    Full Text Available In competitive world, having expertise, knowledge and marketing experience for financial market activities, especially brokerage firms has proven inevitable. This should be accompanied by performing marketing operations along with intermediary roles and carrying on the daily transactions of shares in the Tehran stock exchange market. The current study aims investigating the level of marketing knowledge used in stock exchange market, identifying the reasons behind deficient use of the marketing knowledge by the financial institutions (financial intermediaries, brokerage firms and etc, matching the marketing activities with the financial activities of the brokerage firms in the Tehran stock exchange and finally improving the investment in Tehran stock exchange market. Independent variables were selected based on services marketing mix such as product, price, place, promotion, physical facilities, people and process. The method used is survey-based and the universe has been drawn from among the financial institutions active in Tehran stock exchange and the regional branches of the country. The results obtained from the research show that, during the period reviewed, the dynamic marketing system in the financial market was the traditional system without attending to the modern criteria of financial service marketing in the areas relating communication and determination of the shares prices, services of conduct transactions of the financial analyses and encouragement the big companies to enter the Tehran Stock Exchange.

  19. Integration between the Romanian and the Euro Area Banking Markets: An Application of the Johansen Cointegration Test to Interest Rates on Loans to Non-Financial Corporations

    Directory of Open Access Journals (Sweden)

    Maricica MOSCALU

    2015-06-01

    Full Text Available The aim of the present paper is to investigate if there is any level of integration between the Romanian and the euro area banking markets ? with focus on lending activities of monetary financial institutions (MFIs to non-financial corporations (NFCs ? and to assess this level of integration through using both quantity- and especially price-based data. The main empirical instrument used is the Johansen cointegration test applied to pairs of interest rates for euro-denominated loans granted by MFIs located in the two markets to NFCs for different loan maturities and amounts. By employing recent data, the results of the test indicate the existence of a cointegration relationship between the interest rates for loans with floating rate / period of initial rate fixation of up to 1 year and up to and including EUR 1 million euro. These findings suggest that, although Romania is not yet part of the Economic and Monetary Union (EMU, the two markets are not completely disintegrated especially with regard to short-term bank lending operations. Although further investigation is necessary, the findings are relevant from the perspective of Romania entering the EMU and have implications for Romanian NFCs? access to finance.

  20. Practitioners' tools in analysing financial markets evolution

    OpenAIRE

    Mihaela Nicolau

    2010-01-01

    In a chaotic and confusing place as world of investing is, the practitioners, who operate on markets every day, have continuously searched to forecast properly the market movements. More minded to financial speculations, practitioners analyse financial markets looking for potential weaknesses of the Efficient Market Hypothesis, and most of the times their methods are criticised by academics. This article intends to present the traditional tools used by traders and brokers in analysing financi...

  1. Telegraph models of financial markets

    Scientific Electronic Library Online (English)

    NIKITA, RATANOV.

    2007-10-29

    Full Text Available En este artículo introducimos un modelo de mercado financiero basado en movimientos aleatorios con la alternancia de velocidades y con saltos que ocurren cuando la velocidad se cambia. Este modelo es libre del arbitraje si las direcciones de saltos están en cierta correspondencia con las direcciones [...] de velocidades del movimiento subyacente. Suponemos que la tasa de interés depende del estado de mercado. Las estrategias reproducibles para opciones son construidas en detalles. Se obtienen las fórmulas de forma cerrada para los precios de opción. Abstract in english In this paper we develop a financial market model based on continuous time random motions with alternating constant velocities and with jumps occurring when the velocity switches. If jump directions are in the certain correspondence with the velocity directions of the underlying random motion with r [...] espect to the interest rate, the model is free of arbitrage and complete. Memory effects of this model are discussed.

  2. Technology and (Post-)Sociality in the Financial Market

    OpenAIRE

    Langenohl, Andreas; Schmidt-Beck, Kerstin

    2007-01-01

    The article takes issue with recent influential work on the paradigmatic relevancy of technologically induced modes of communication and sociality on the financial markets. According to Karin Knorr Cetina and Urs Bruegger, the technological infrastructure of the global financial markets engenders novel forms of sociality and social integration: intersubjectivity with non-present others and (post)sociality with (imagined) objects. The article differentiates these hypotheses by way of confronti...

  3. Time series analysis for financial market meltdowns

    OpenAIRE

    Young Shin Kim; Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Mitov, Ivan; Fabozzi, Frank J.

    2010-01-01

    There appears to be a consensus that the recent instability in global financial markets may be attributable in part to the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks associated with large adverse stock price behavior. In this paper, we first discuss the limitations of classical time series models for forecasting financial market meltdowns. Then we set forth a framework capable of forecasting both extreme events and highly vol...

  4. Financial Repression To Financial Liberalisation Of Indian Banking And Capital Market Sectors (pre &post 1991 Reforms

    Directory of Open Access Journals (Sweden)

    Raghavendra Rao Rentala

    2012-10-01

    Full Text Available Financial sector of any Economy is multi-faceted term. It refers to legal and institutional arrangements, financial intermediaries, markets and instruments with both domestic and external dimensions. The Economic Development of a nation is reflected by the progress of the various economic units, broadly classified into Corporate sector, Government and Household sector. While performing their activities these units will be placed in a surplus/deficit/balanced budgetary situations.Financial system comprises a set of sub-systems of Financial Institutions, Financial Markets, Financial Instruments and services which help arranging this mechanism. A financial system or financial sector functions as an intermediary and facilitates the flow of funds from the areas of surplus to the areas of deficit. The Financial System is characterized by the presence of integrated financial markets, and institutions that meet the short term and long term financial needs of both the household and corporate sector. The role and importance of financial sector in the process of economic growth has evolved over a time along with the changing paradigms especially in Banking and the Financial (Capital Markets for pooling up of long term sources. The growth of Banks and Capital Markets can be studied in three phases. Firstly, to overview these sectors during Pre Reforms Development (1947-1991 . Secondly, reasons for Indian Economic Crisis in 1991 which had led to “Financial Repression”. Thirdly, reforms in 1991 and its contribution to the development of sectors mentioned which can be named as “ Financial Liberalisation” . The study has revealed that these sectors had flourished with a very positive growth especially after 1991 due to various developments and sectoral reforms under taken in these segments.

  5. FINANCIAL INTERMEDIARIES’ ACTIVITY ON ROMANIAN CAPITAL MARKET

    Directory of Open Access Journals (Sweden)

    Dumitru-Cristian OANEA

    2014-11-01

    Full Text Available The financial shifts encountered in the last decade, increase the importance of capital markets in emerging countries, which is also Romania’s case. The banking system was for a long period of time the main source of liquidity for the economy. Meanwhile, the situation is changing due to the importance that capital market has in financing the economy. Through this paper we analyze the transactions’ evolution made by financial intermediaries on Romanian capital market, by highlighting the Societies for Financial Services and Investments (SSIF. Based on this evolution, we identified the main significant differences and similarities between the SSIFs existing on the market.

  6. Financial Market Modeling with Quantum Neural Networks

    CERN Document Server

    Gonçalves, Carlos Pedro

    2015-01-01

    Econophysics has developed as a research field that applies the formalism of Statistical Mechanics and Quantum Mechanics to address Economics and Finance problems. The branch of Econophysics that applies of Quantum Theory to Economics and Finance is called Quantum Econophysics. In Finance, Quantum Econophysics' contributions have ranged from option pricing to market dynamics modeling, behavioral finance and applications of Game Theory, integrating the empirical finding, from human decision analysis, that shows that nonlinear update rules in probabilities, leading to non-additive decision weights, can be computationally approached from quantum computation, with resulting quantum interference terms explaining the non-additive probabilities. The current work draws on these results to introduce new tools from Quantum Artificial Intelligence, namely Quantum Artificial Neural Networks as a way to build and simulate financial market models with adaptive selection of trading rules, leading to turbulence and excess ku...

  7. The rise of emerging markets' financial market architecture: constituting new roles in the global financial goverancen

    OpenAIRE

    Metzger, Martina; Taube, Günther

    2010-01-01

    This paper analyses the impact of the global financial crisis on Brazil, India and South Africa whose financial markets have shown strong resilience to the global financial turmoil. The paper shows, that in contrast to advanced countries in these emerging market economies there is contagion from the real sector through a slump in exports and a decline in industrial production. Although exposure to toxic assets has been very low, financial markets of the economies under consideration have come...

  8. Money and liquidity in financial markets

    OpenAIRE

    Nyborg, Kjell G.; Östberg, Per Nils Anders

    2010-01-01

    We argue that there is a connection between the interbank market for liquidity and the broader financial markets, which has its basis in demand for liquidity by banks. Tightness in the interbank market for liquidity leads banks to engage in what we term “liquidity pull-back,” which involves selling financial assets either by banks directly or by levered investors. Empirical tests support this hypothesis. While our data covers part of the recent crisis period, our results are not driven by the...

  9. Relationship Service Marketing and Investment in Financial Market of Iran

    OpenAIRE

    Mehrdad Alipour; Reza Ahmadi; Hamed Abasi Nami

    2012-01-01

    In competitive world, having expertise, knowledge and marketing experience for financial market activities, especially brokerage firms has proven inevitable. This should be accompanied by performing marketing operations along with intermediary roles and carrying on the daily transactions of shares in the Tehran stock exchange market. The current study aims investigating the level of marketing knowledge used in stock exchange market, identifying the reasons behind deficient use of the marketin...

  10. Financial Stability and Market Structure: International Evidence

    Directory of Open Access Journals (Sweden)

    Marcos Soares da Silva

    2012-04-01

    Full Text Available Although the economic theory recognizes the ambiguous relationship between market structure and stability of the bank sector, some models, such as the one of competition-fragility by Allen and Gale (2004, suggest that increasing competition leads financial institutions to take more risks. As a result, financial markets that are more concentrated also present higher financial stability. To assess this hypothesis, we estimate a dynamic panel data model for 41 countries in the period from 1987 to 2007. The econometric model included covariates for level of income, characteristics of the financial market, economic environment, and macro prudential regulation. We used the following databases: “A new database on financial development and structure” and “Bank regulation and supervision”, from the World Bank, and “Systemic banking crises: a new database”, from the International Monetary Fund. The results indicate that the greater the market concentration the higher the stability of the banking system.

  11. Financial instability from local market measures

    Science.gov (United States)

    Bardoscia, Marco; Livan, Giacomo; Marsili, Matteo

    2012-08-01

    We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random markets using techniques borrowed from statistical mechanics of disordered systems. We show that, depending on the number of financial instruments available and on the heterogeneity of local measures, the market moves from an arbitrage-free phase to an unstable one, where the complexity of the market—as measured by the diversity of financial instruments—increases, and arbitrage opportunities arise. A sharp transition separates the two phases. Focusing on two different classes of local measures inspired by real market strategies, we are able to analytically compute the critical lines, corroborating our findings with numerical simulations.

  12. Fraudulent agents in an artificial financial market

    CERN Document Server

    Scalas, E; Dose, C; Raberto, M; Scalas, Enrico; Cincotti, Silvano; Dose, Christian; Raberto, Marco

    2003-01-01

    The problem of insider trading and other illegal practices in financial markets is an important issue in the field of financial regulatory policies. Market control bodies, such as the US SEC or the Italian CONSOB regularly perform statistical analyses on security prices in order to unveil clues of fraudulent behaviour within the market. Fraudulent behaviour is connected to the more general problem of information asymmetries, which had already been addressed in the field of experimental economics. Recently, interesting conclusions were drawn thanks to a computer-simulated market where agents had different pieces of information about the future dividend cash flow of exchanged securities. Here, by means of an agent-based artificial market: the Genoa Artificial Stock Market (GASM), the more specific problem of fraudulent behaviour in a financial market is studied. A simplified model of fraudulent behaviour is implemented and the action of fraudulent agents on the statistical properties of simulated prices and the...

  13. Financial instability from local market measures

    International Nuclear Information System (INIS)

    We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random markets using techniques borrowed from statistical mechanics of disordered systems. We show that, depending on the number of financial instruments available and on the heterogeneity of local measures, the market moves from an arbitrage-free phase to an unstable one, where the complexity of the market—as measured by the diversity of financial instruments—increases, and arbitrage opportunities arise. A sharp transition separates the two phases. Focusing on two different classes of local measures inspired by real market strategies, we are able to analytically compute the critical lines, corroborating our findings with numerical simulations. (paper)

  14. “Lamfalussy Architecture” – A Model for Consolidating the Financial Markets’ Supervision

    Directory of Open Access Journals (Sweden)

    Nicolae Dardac

    2008-08-01

    Full Text Available The enhancement of convergence in the supervisory practices, both by increasing the quality of the legal framework and of the regulations in the field of financial services and by improving the consultation process, represents a prerequisite for setting up the Single Market for financial services at EU level. In order to reach this goal a new approach, known as “Lamfalussy Architecture”, has been developed. The implementation of this model will increase the efficiency of the regulatory and supervisory framework within the financial markets, by removing the obstacles in the way of their integration into the Single Market. At the same time, setting up an EU Single Market implies a thorough monitoring of the financial stability through a constant review of the regulatory and supervisory framework.

  15. Understanding Financial Market States Using Artificial Double Auction Market

    OpenAIRE

    Yim, Kyubin; Oh, Gabjin; Kim, Seunghwan

    2015-01-01

    The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidences from the fields of finance, mathematics, and even physics to explain states observed in the real financial markets, previous theories that attempt to fully explain the complexities of finan...

  16. The Economic Efficiency of Financial Markets

    Science.gov (United States)

    Wang, Yougui

    In this paper, we investigate the economic efficiency of markets and specify its applicability to financial markets. The statistical expressions of supply and demand of a market are formulated in terms of willingness prices. By introducing probability of realized exchange, we also formulate the realized market surplus. It can be proved that only when the market is in equilibrium the realized surplus can reach its maximum value. The market efficiency can be measured by the ratio of realized surplus to its maximum value. For a financial market, the market participants are composed of two groups: producers and speculators. The former brings the surplus into the market and the latter provides liquidity to make them realized.

  17. Regulatory Competition in Global Financial Markets

    DEFF Research Database (Denmark)

    Ringe, Georg

    2015-01-01

    or operations of financial institutions to other jurisdictions. Where this happens, such arbitrage can trigger regulatory competition between jurisdictions that may respond to the relocation of financial services (or threats to relocate) by moderating regulatory standards. Both arbitrage and...... occurs by actually relocating the financial institution itself abroad: rather, banking groups tend to shift trading to foreign affiliates.......The decades-long discussion on the merits of regulatory competition appears in a new light on the global financial market. There are a number of strategies that market participants use to avoid the reach of regulation, in particular by virtue of shifting trading abroad or else relocating activities...

  18. Simple grading model for financial markets

    Science.gov (United States)

    Thuy Anh, Chu; Lan, Nguyen Tri; Viet, Nguyen Ai

    2015-06-01

    A simple way to estimate and grade a financial market by comparison the evolution process and the shape of distribution functions was proposed. In normal working state of financial market, the shape of distribution functions have one-peak form and change from Boltzmann-like to Gaussian-like distributions, while in risk moment might have two-peak form. The grad of financial markets was characterized by overlap area of initial and final distribution functions, and for risk degree by the separation between two shoulders of distribution function. The meaning of Levi tails of distribution and laws of general entropy and information was discussed.

  19. MEASURING INTEGRATED MARKETING COMMUNICATION

    Directory of Open Access Journals (Sweden)

    Damjana JERMAN

    2011-01-01

    Full Text Available The concept of integrated marketing communications continues to gain widespread attention and interest among academics and practitioners around the world. Among the objectives of our paper may be considered dealing with changes in the conceptualization of integrated marketing communication and measuring the dimensions of this conceptual area. Two priorities guide our paper: 1 a more complete view for the conceptualization of integrated marketing communication; and 2 an empirical analysis for measuring the concept of integrated marketing communication. The study present a four dimensional conceptualization of integrated marketing communications and empirically develops its measurement instrument with 15-item scale. This paper presents the results of a study that examines integrated marketing communication in the sample of Slovenian companies and it closes with the implications of the findings.

  20. A stochastic model for the financial market with discontinuous prices

    Directory of Open Access Journals (Sweden)

    Leda D. Minkova

    1996-01-01

    Full Text Available This paper models some situations occurring in the financial market. The asset prices evolve according to a stochastic integral equation driven by a Gaussian martingale. A portfolio process is constrained in such a way that the wealth process covers some obligation. A solution to a linear stochastic integral equation is obtained in a class of cadlag stochastic processes.

  1. Financial Integration and Macroeconomic Volatility: Does Financial Development Matter?

    OpenAIRE

    Eozenou, Patrick

    2008-01-01

    In this paper, we analyze the relationship between international financial integration and macroeconomic volatility. Looking at a panel of 90 countries over the period 1960-2000, we find that domestic financial conditions matter when assessing the impact of financial integration on consumption growth volatility. More specifically, consumption growth volatility is found to increase with the degree of financial integration in countries with low level of financial development and to decrea...

  2. MEASURING INTEGRATED MARKETING COMMUNICATION

    OpenAIRE

    Damjana JERMAN; Završnik, Bruno

    2011-01-01

    The concept of integrated marketing communications continues to gain widespread attention and interest among academics and practitioners around the world. Among the objectives of our paper may be considered dealing with changes in the conceptualization of integrated marketing communication and measuring the dimensions of this conceptual area. Two priorities guide our paper: 1) a more complete view for the conceptualization of integrated marketing communication; and 2) an empirical analysis fo...

  3. THE FINANCIAL CRISIS AND THE EMERGING MARKETS

    Directory of Open Access Journals (Sweden)

    LORENA POPESCU DUDUIAL?

    2014-06-01

    Full Text Available The emerging markets emerge and develop in the larger context of the international financial market development "is a consequence of the needs expressed by investors and those who wish to place their financial capital." Thus, to achieve a certain level of saturation economic zones and the lack of attractiveness of gains obtainable in certain markets determine the migration of capital to areas that are or may become interesting in terms of the gains that are achieved by investing in these areas in conjunction minimizing market risk assumed.

  4. Identifying States of a Financial Market

    Science.gov (United States)

    Münnix, Michael C.; Shimada, Takashi; Schäfer, Rudi; Leyvraz, Francois; Seligman, Thomas H.; Guhr, Thomas; Stanley, H. Eugene

    2012-09-01

    The understanding of complex systems has become a central issue because such systems exist in a wide range of scientific disciplines. We here focus on financial markets as an example of a complex system. In particular we analyze financial data from the S&P 500 stocks in the 19-year period 1992-2010. We propose a definition of state for a financial market and use it to identify points of drastic change in the correlation structure. These points are mapped to occurrences of financial crises. We find that a wide variety of characteristic correlation structure patterns exist in the observation time window, and that these characteristic correlation structure patterns can be classified into several typical ``market states''. Using this classification we recognize transitions between different market states. A similarity measure we develop thus affords means of understanding changes in states and of recognizing developments not previously seen.

  5. Integration in primary community care networks (PCCNs: examination of governance, clinical, marketing, financial, and information infrastructures in a national demonstration project in Taiwan

    Directory of Open Access Journals (Sweden)

    Lin Blossom Yen-Ju

    2007-06-01

    Full Text Available Abstract Background Taiwan's primary community care network (PCCN demonstration project, funded by the Bureau of National Health Insurance on March 2003, was established to discourage hospital shopping behavior of people and drive the traditional fragmented health care providers into cooperate care models. Between 2003 and 2005, 268 PCCNs were established. This study profiled the individual members in the PCCNs to study the nature and extent to which their network infrastructures have been integrated among the members (clinics and hospitals within individual PCCNs. Methods The thorough questionnaire items, covering the network working infrastructures – governance, clinical, marketing, financial, and information integration in PCCNs, were developed with validity and reliability confirmed. One thousand five hundred and fifty-seven clinics that had belonged to PCCNs for more than one year, based on the 2003–2005 Taiwan Primary Community Care Network List, were surveyed by mail. Nine hundred and twenty-eight clinic members responded to the surveys giving a 59.6 % response rate. Results Overall, the PCCNs' members had higher involvement in the governance infrastructure, which was usually viewed as the most important for establishment of core values in PCCNs' organization design and management at the early integration stage. In addition, it found that there existed a higher extent of integration of clinical, marketing, and information infrastructures among the hospital-clinic member relationship than those among clinic members within individual PCCNs. The financial infrastructure was shown the least integrated relative to other functional infrastructures at the early stage of PCCN formation. Conclusion There was still room for better integrated partnerships, as evidenced by the great variety of relationships and differences in extent of integration in this study. In addition to provide how the network members have done for their initial work at the early stage of network forming in this study, the detailed surveyed items, the concepts proposed by the managerial and theoretical professionals, could be a guide for those health care providers who have willingness to turn their business into multi-organizations.

  6. Corporate social responsibility and financial markets

    OpenAIRE

    Dam, Lammertjan

    2008-01-01

    This thesis examines the economics of corporate social responsibility, with an emphasis on the role of financial markets and institutions. Questions that are raised are: What does corporate social responsibility mean in an economic context? What is the impact of corporate social responsibility on the financial performance of a company? What kind of role can a stock market play in trying to achieve sustainable development? What is the relation between corporate social responsibility, economic...

  7. Algorithmic Complexity in Real Financial Markets

    OpenAIRE

    R. Mansilla

    2001-01-01

    A new approach to the understanding of complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in Kolmogorov-Chaitin theory is applied to binary sequences built up from real time series of financial markets indexes. The study is based on NASDAQ and Mexican IPC data. Different behaviors of this magnitude are shown when applied to the intervals of series placed before crashes and to intervals when ...

  8. Algorithmic Complexity of Real Financial Markets

    OpenAIRE

    Ricardo Mansilla

    2000-01-01

    A new approach to the understanding of the complex behavior of financial markets index using tools from thermodynamics and statistical physics is developed. Physical complexity, a magnitude rooted in the Kolmogorov-Chaitin theory is applied to binary sequences built up from real time series of financial markets indices. The study is based on NASDAQ and Mexican IPC data. Different behaviors of this magnitude are shown when applied to the intervals of series placed before crashes and in interva...

  9. Simulation and validation of an integrated markets model

    OpenAIRE

    Brian Sallans; Alexander Pfister; Alexandros Karatzoglou; Georg Dorffner

    2003-01-01

    The behavior of boundedly rational agents in two interacting markets is investigated. A discrete-time model of coupled financial and consumer markets is described. The integrated model consists of heterogenous consumers, financial traders, and production firms. The production firms operate in the consumer market, and offer their shares to be traded on the financial market. The model is validated by comparing its output to known empirical properties of real markets. In order to better explore ...

  10. Quantum Bohmian model for financial market

    Science.gov (United States)

    Choustova, Olga Al.

    2007-01-01

    We apply methods of quantum mechanics for mathematical modeling of price dynamics at the financial market. The Hamiltonian formalism on the price/price-change phase space describes the classical-like evolution of prices. This classical dynamics of prices is determined by “hard” conditions (natural resources, industrial production, services and so on). These conditions are mathematically described by the classical financial potential V(q), where q=(q1,…,qn) is the vector of prices of various shares. But the information exchange and market psychology play important (and sometimes determining) role in price dynamics. We propose to describe such behavioral financial factors by using the pilot wave (Bohmian) model of quantum mechanics. The theory of financial behavioral waves takes into account the market psychology. The real trajectories of prices are determined (through the financial analogue of the second Newton law) by two financial potentials: classical-like V(q) (“hard” market conditions) and quantum-like U(q) (behavioral market conditions).

  11. Models of Financial Market Information Ecology

    Science.gov (United States)

    Challet, Damien

    I discuss a new simple framework that allows a more realistic modelling of speculation. The resulting model features expliciting position holding, contagion between predictability patterns, allows for an explicit measure of market inefficiency and substantiates the use of the minority game to study information ecology in financial markets.

  12. Asymmetric information and financial markets

    OpenAIRE

    Estrada, Fernando

    2012-01-01

    This paper aims to explore the relevance of the Asymmetric Information and the Theory of Argumentation TA in the complex area of financial crises. Specifically, we investigated the scope of the phenomenon of persuasion in advertising. It examines advertisements in publications notable economic movement in Colombia. The financial communication is important to distinguish how to run the models of behavior based on beliefs of agents. Consequently, investors' beliefs can also change systematicall...

  13. Financial derivatives in power marketing: The basics

    International Nuclear Information System (INIS)

    With the ongoing changes in the power industry worldwide, electricity is beginning to be traded like other commodities. The use of financial derivative instruments in power markets is on the rise. The purpose of this paper is to explain the role of these derivatives in risk management which is vital for survival in the increasingly competitive industry. Starting with the familiar cash markets, the paper discusses the basics of futures, options, and swap markets as applied to electric energy trading

  14. Investigating Contagion and Market Interdependence during the Global Financial Crisis

    Directory of Open Access Journals (Sweden)

    Filip Iorgulescu

    2015-06-01

    Full Text Available This paper examines the roles played by market interdependence and contagion in the propagation of the 2007-2009 global financial crisis. For this purpose, five aggregate indices were employed, representing all the major financial markets from each geographical region. The data series are daily and they cover the period between 2002 and 2014. The presence of contagion and market interdependence was assessed by means of the values and value changes of the correlation coefficients between the ante crisis (2002-2007, the crisis (2007-2009 and the post crisis (2009-2014 intervals, as well as with the aid of a spillover index. The results indicate a high degree of interdependence between the global financial markets even before the occurrence of the crisis. On the other hand, there is evidence that the crisis spread through contagion mainly from the developed financial markets of Europe and North America to the emerging centers in Africa and Latin America while the markets from the Asia/Pacific region displayed lower correlations which may have given opportunities for the mitigation of losses. Moreover, since the majority of the correlation coefficients have not decreased significantly after the 2007-2009 period, it seems that the crisis intensified the degree of global financial integration.?

  15. Financial Integration with Heterogeneous Beliefs

    OpenAIRE

    Rieger, Jörg

    2014-01-01

    In this paper we study the effects of ?nancial integration on risk-sharing. Conventional macroeconomic theory suggests that the integration of ?nancial markets improves welfare. In contrast to the literature we assume that households have heterogeneous beliefs. Because of the differences in beliefs, households are not only sharing the risk but also speculating. We show that with speculation, ?nancial integration can increase the risk in the economy and that a full ?nancial integration is not ...

  16. International financial markets and development

    OpenAIRE

    Peter Wahl

    2009-01-01

    The current financial crisis has not come about by chance. It is the result of a system that has emerged over the last 30 years and which Keynes may well have called the ‘casino economy’. The dominance of finance over real economy characterises the financial crisis, while finance itself is dominated by the all-encompassing target of maximum profit at all times. Other aims of economic activity such as job creation, social welfare and development have fallen by the wayside. In response, new act...

  17. Financial markets as adaptative ecosystems

    CERN Document Server

    Potters, M; Bouchaud, J P; Potters, Marc; Cont, Rama; Bouchaud, Jean-Philippe

    1996-01-01

    The option markets offer a very interesting example of the adaptation of a population (the traders) to a complex environment, through trial and errors and natural selection (unefficent traders disappear quickly). Guided by the Black-Scholes theory, but constrained by the fact that `bad' prices lead to arbitrage opportunities, option markets agree on prices which are close, but significantly and systematically different from the BS formula. Surprisingly, a detailed study of the observed market prices clearly shows that, despite the lack of an appropriate model, traders have empirically adapted to incorporate some subtle information on the real statistics of price changes.

  18. Correlated Stochastic Dynamics in Financial Markets.

    OpenAIRE

    Perelló Palou, Josep

    2001-01-01

    Thesis investigates the dynamics of financial markets. Nowadays, this is one of the emergent fields in physics and requires a multidisciplinary approach. The thesis studies the first work made by the financial mathematicians and presents those in a more comprehensible form for a physicist. Option pricing is perhaps most complete problem. Until very recently, stochastic differential equations theory was solely applied to finance by mathematicians. The thesis reviews the theory of Black-Schole...

  19. On Risks and Opportunities in Financial Markets

    OpenAIRE

    Lansdorp, Simon

    2012-01-01

    Investing in financial securities inevitably involves risks on the one hand and opportunities on the other hand. This thesis bundles four different studies on risks and/or opportunities in financial markets. In one study, we examine the cross-sectional explanatory power of different risk-measures in pricing U.S. stocks and find that investors dislike downside risk. In the second study, we show that conventional short-term reversal strategies exhibit dynamic exposures to systematic risks. Elim...

  20. Theory of argumentation in financial markets

    OpenAIRE

    Estrada, Fernando

    2010-01-01

    This paper aims to explore the relevance of the Theory of Argumentation TA in the complex area of financial reporting. Specifically, we investigated the scope of the phenomenon of persuasion in advertising. It examines advertisements in publications notable economic movement in Colombia. The financial communication is important to distinguish how to run the models of behavior based on beliefs of agents. Consequently, investors' beliefs can also change systematically with changes in market pri...

  1. Real and Financial Integration in East Asia

    OpenAIRE

    Kim, Soyoung; Lee, Jong-wha

    2008-01-01

    We examine the real and financial integration of East Asian economies, comparing the degree of real versus financial integration, the degree of global versus regional integration, and the extent of integration before versus after the 1997/98 financial crisis in East Asian economies. We analyze price and quantity measures of integration such as the size of intra- and inter-regional trade, cross-border financial assets, correlation of stock returns, and interest rate differentials. In addition,...

  2. Financial methods in competitive electricity markets

    Science.gov (United States)

    Deng, Shijie

    The restructuring of electric power industry has become a global trend. As reforms to the electricity supply industry spread rapidly across countries and states, many political and economical issues arise as a result of people debating over which approach to adopt in restructuring the vertically integrated electricity industry. This dissertation addresses issues of transmission pricing, electricity spot price modeling, as well as risk management and asset valuation in a competitive electricity industry. A major concern in the restructuring of the electricity industries is the design of a transmission pricing scheme that will ensure open-access to the transmission networks. I propose a priority-pricing scheme for zonal access to the electric power grid that is uniform across all buses in each zone. The Independent System Operator (ISO) charges bulk power traders a per unit ex ante transmission access fee based on the expected option value of the generated power with respect to the random zonal spot prices. The zonal access fee depends on the injection zone and a self-selected strike price determining the scheduling priority of the transaction. Inter zonal transactions are charged (or credited) with an additional ex post congestion fee that equals the zonal spot price difference. The unit access fee entitles a bulk power trader to either physical injection of one unit of energy or a compensation payment that equals to the difference between the realized zonal spot price and the selected strike price. The ISO manages congestion so as to minimize net compensation payments and thus, curtailment probabilities corresponding to a particular strike price may vary by bus. The rest of the dissertation deals with the issues of modeling electricity spot prices, pricing electricity financial instruments and the corresponding risk management applications. Modeling the spot prices of electricity is important for the market participants who need to understand the risk factors in pricing electricity financial instruments such as electricity forwards, options and cross-commodity derivatives. It is also essential for the analysis of financial risk management, asset valuation, and project financing. In the setting of diffusion processes with multiple types of jumps, I examine three mean-reversion models for modeling the electricity spot prices. I impose some structure on the coefficients of the diffusion processes, which allows me to easily compute the prices of contingent claims (or, financial instruments) on electricity by Fourier methods. I derive the pricing formulas for various electricity derivatives and examine how the prices vary with different modeling assumptions. I demonstrate a couple of risk management applications of the electricity financial instruments. I also construct a real options approach to value electric power generation and transmission assets both with and without accounting for the operating characteristics of the assets. The implications of the mean-reversion jump-diffusion models on financial risk management and real asset valuation in competitive electricity markets are illustrated. With a discrete trinomial lattice modeling the underlying commodity prices, I estimate the effects of operational characteristics on the asset valuation by means of numerical examples that incorporate these aspects using stochastic dynamic programming. (Abstract shortened by UMI.)

  3. Modelling systemic risk in financial markets

    OpenAIRE

    Ugolini, Andrea

    2014-01-01

    This dissertation provides a study on systemic risk in financial markets; it is laid out as follows. Chapter 1 provides a survey of the quantitative measure of systemic risk in the economics and finance literature. In Chapter 2 examine, using conditional VaR (CoVaR), the systemic risk generated by major Spanish financial institutions in the recent global financial crisis and the European sovereign debt crisis as a systemic risk measure. CoVaR was quantified using quantile regression, multivar...

  4. A quantitative description for efficient financial markets

    Science.gov (United States)

    Immonen, Eero

    2015-09-01

    In this article we develop a control system model for describing efficient financial markets. We define the efficiency of a financial market in quantitative terms by robust asymptotic price-value equality in this model. By invoking the Internal Model Principle of robust output regulation theory we then show that under No Bubble Conditions, in the proposed model, the market is efficient if and only if the following conditions hold true: (1) the traders, as a group, can identify any mispricing in asset value (even if no one single trader can do it accurately), and (2) the traders, as a group, incorporate an internal model of the value process (again, even if no one single trader knows it). This main result of the article, which deliberately avoids the requirement for investor rationality, demonstrates, in quantitative terms, that the more transparent the markets are, the more efficient they are. An extensive example is provided to illustrate the theoretical development.

  5. Temporal Evolution of Financial Market Correlations

    CERN Document Server

    Fenn, Daniel J; Williams, Stacy; McDonald, Mark; Johnson, Neil F; Jones, Nick S

    2010-01-01

    We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible with uncorrelated random price changes. We then identify the principal components of these correlation matrices and demonstrate that a small number of components accounts for a large proportion of the variability of the markets that we consider. We then characterize the time-evolving relationships between the different assets by investigating the correlations between the asset price time series and principal components. Using this approach, we uncover notable changes that occurred in financial markets and identify the assets that were significantly affected by these changes. We show in particular that there was an increase in the strength of the relationships between several different markets following the 2007--2008 credit and liquidity crisis.

  6. Temporal evolution of financial-market correlations

    Science.gov (United States)

    Fenn, Daniel J.; Porter, Mason A.; Williams, Stacy; McDonald, Mark; Johnson, Neil F.; Jones, Nick S.

    2011-08-01

    We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible with uncorrelated random price changes. We then identify the principal components of these correlation matrices and demonstrate that a small number of components accounts for a large proportion of the variability of the markets that we consider. We characterize the time-evolving relationships between the different assets by investigating the correlations between the asset price time series and principal components. Using this approach, we uncover notable changes that occurred in financial markets and identify the assets that were significantly affected by these changes. We show in particular that there was an increase in the strength of the relationships between several different markets following the 2007-2008 credit and liquidity crisis.

  7. Perturbative Approach on Financial Markets

    CERN Document Server

    Scotti, Simone

    2008-01-01

    We study the point of transition between complete and incomplete financial models thanks to Dirichlet Forms methods. We apply recent techniques, developped by Bouleau, to hedging procedures in order to perturbate parameters and stochastic processes, in the case of a volatility parameter fixed but uncertain for traders; we call this model Perturbed Black Scholes (PBS) Model. We show that this model can reproduce at the same time a smile effect and a bid-ask spread; we exhibit the volatility function associated to the local-volatility model equivalent to PBS model when vanilla options are concerned. Lastly, we present a connection between Error Theory using Dirichlet Forms and Utility Function Theory.

  8. On Financial Markets Based on Telegraph Processes

    OpenAIRE

    Ratanov, Nikita; Melnikov, Alexander

    2007-01-01

    The paper develops a new class of financial market models. These models are based on generalized telegraph processes: Markov random flows with alternating velocities and jumps occurring when the velocities are switching. While such markets may admit an arbitrage opportunity, the model under consideration is arbitrage-free and complete if directions of jumps in stock prices are in a certain correspondence with their velocity and interest rate behaviour. An analog of the Black...

  9. Essays on banking and financial markets

    OpenAIRE

    Hilberg, Björn (Dr.)

    2012-01-01

    In this thesis the behavior of banks in financial markets which banks frequently use to obtain short-term as well as long-term financing is studied. In the first chapter we incorporate an interbank market for collateralized lending among banks into a dynamic, stochastic, general equilibrium (DSGE) framework to analyze the impact of variations in the expected value of the collateral on the interbank lending volume. We find that a central bank which decides to lower the haircut on eligible coll...

  10. Rethinking Consumer Protection Policy in Financial Markets

    Directory of Open Access Journals (Sweden)

    Liran Haim

    2013-10-01

    Full Text Available Normal 0 false false false EN-US JA HE /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Table Normal"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-priority:99; mso-style-parent:""; mso-padding-alt:0in 5.4pt 0in 5.4pt; mso-para-margin-top:0in; mso-para-margin-right:0in; mso-para-margin-bottom:10.0pt; mso-para-margin-left:0in; line-height:115%; mso-pagination:widow-orphan; font-size:11.0pt; font-family:Calibri; mso-ascii-font-family:Calibri; mso-ascii-theme-font:minor-latin; mso-hansi-font-family:Calibri; mso-hansi-theme-font:minor-latin; mso-bidi-language:HE;} Financial products for consumers usually are characterized by complexity and incomprehensibility. Consumers typically find themselves defeated when attempting to control their financial destiny by understanding these products. This Article explores the economic and social factors that lead to this reality, analyzes its highly negative private and social ramifications and proposes an appropriate policy response. I argue that the current market structure creates a reality in which financial institutions are motivated to produce complex financial products for consumers in order to maximize their profits. This market structure, combined with inadequate policy, induces inefficiency by allocating the comprehension costs of financial products to the consumer.   My thesis is that a fundamental change in risk allocation policy will steer the market toward consumer comprehension of financial products and, therefore, will reduce private and social costs, increase consumer trust in financial institutions and promote social cohesion. I propose a new default liability rule under which financial institutions would be required to introduce internal procedures and mechanisms to ensure product comprehension among all of their consumers. To encourage maximum compliance with my proposal, I suggest implementing a reputation-based incentives method that would require every financial institution branch to publicly post a service quality ranking assigned by the regulator. I also support a trust-oriented licensing policy that would encourage the inclusion of new trustworthy financial institutions in the market and offer the implementation of a new regime for supervising financial product contract terms.                 

  11. Integrated Marketing Communications

    Science.gov (United States)

    Black, Jim

    2004-01-01

    Integration has become a cliche in enrollment management and student services circles. The term is used to describe everything from integrated marketing to seamless services. Often, it defines organizational structures, processes, student information systems, and even communities. In Robert Sevier's article in this issue of "College and…

  12. News Cohesiveness: an Indicator of Systemic Risk in Financial Markets

    CERN Document Server

    Piškorec, Matija; Novak, Petra Kralj; Mozetič, Igor; Grčar, Miha; Vodenska, Irena; Šmuc, Tomislav

    2014-01-01

    Motivated by recent financial crises significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said about influence of financial news on financial markets. We propose a novel measure of collective behaviour in financial news on the Web, News Cohesiveness Index (NCI), and show that it can be used as a systemic risk indicator. We evaluate the NCI on financial documents from large Web news sources on a daily basis from October 2011 to July 2013 and analyse the interplay between financial markets and financially related news. We hypothesized that strong cohesion in financial news reflects movements in the financial markets. Cohesiveness is more general and robust measure of systemic risk expressed in news, than measures based on simple occurrences of specific terms. Our results indicate that cohesiveness in the financial news is highly correlated with and driven by volatility on the financial markets.

  13. Financial Policies and the Prevention of Financial Crises in Emerging Market Economies

    OpenAIRE

    Mishkin, Frederic S.

    2001-01-01

    The author defines a financial crisis as a disruption in financial markets in which adverse selection and moral hazard problems become much worse, so that financial markets are unable to efficiently channel funds to those who have the most productive investment opportunities. As financial markets become unable to function efficiently, economic activity sharply contracts. Factors that promote ...

  14. The statistical mechanics of financial markets

    CERN Document Server

    Voit, Johannes

    2003-01-01

    From the reviews of the first edition - "Provides an excellent introduction for physicists interested in the statistical properties of financial markets. Appropriately early in the book the basic financial terms such as shorts, limit orders, puts, calls, and other terms are clearly defined. Examples, often with graphs, augment the reader’s understanding of what may be a plethora of new terms and ideas… [This is] an excellent starting point for the physicist interested in the subject. Some of the book’s strongest features are its careful definitions, its detailed examples, and the connection it establishes to physical systems." PHYSICS TODAY "This book is excellent at illustrating the similarities of financial markets with other non-equilibrium physical systems. [...] In summary, a very good book that offers more than just qualitative comparisons of physics and finance." (www.quantnotes.com) This highly-praised introductory treatment describes parallels between statistical physics and finance - both thos...

  15. Statistics of financial markets an introduction

    CERN Document Server

    Franke, Jürgen; Hafner, Christian Matthias

    2015-01-01

    Now in its fourth edition, this book offers a detailed yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods of evaluating option contracts, analyzing financial time series, selecting portfolios and managing risks based on realistic assumptions about market behavior. The focus is both on the fundamentals of mathematical finance and financial time series analysis, and on applications to given problems concerning financial markets, thus making the book the ideal basis for lectures, seminars and crash courses on the topic. For this new edition the book has been updated and extensively revised and now includes several new aspects, e.g. new chapters on long memory models, copulae and CDO valuation. Practical exercises with solutions have also been added. Both R and Matlab Code, together with the data, can be downloaded from the book’s product page and www.quantlet.de

  16. Open dynamic behaviour of financial markets

    Science.gov (United States)

    Gong, F. F.; Gong, F. X.; Gong, F. Y.

    2006-02-01

    Open dynamic behaviour of financial markets with internal interactions between agents and with external “fields” from other systems are investigated using the approach of Grossman and Stiglitz for inefficient markets, and Keynes for interference of the market using physics of finance (referred to hereafter as phynance). The simulation results indicate that the NYSE data analyzed in Plerou, V. et al., Nature 421, 130 (2003) can be fitted by an equation of order parameter ? and local deviation R of type: -(R+0.03) ?+ 0.6 ?3 + 0.02 = 0, which is shown to be in remarkable agreement with Plerou's data.

  17. The financial crisis: A wake-up call for strengthening regional monitoring of financial markets and regional coordination of financial sector policies?

    OpenAIRE

    Winkler, Adalbert

    2010-01-01

    How much can regional monitoring of financial markets and coordination of financial sector policies contribute to preventing and mitigating financial crises? This paper reviews and compares the experiences of Europe and Asia, which have taken different routes and have achieved different levels of regional financial integration. The analysis suggests that the harmonization and coordination of regulation and supervision, with a strong focus on maturity and currency mismatch problems, would cons...

  18. The role of accounting in financial markets

    Directory of Open Access Journals (Sweden)

    André Taue Saito

    2009-12-01

    Full Text Available This paper discusses the relation between accounting and financial markets by showingthat the relevance of this relation is clearly stated by the different interests of managers,investors, shareholders, creditors, and the government, among other stakeholders due to thefact that it gives them updated and reliable information about the financial condition ofthe company. The study is supported by three pillars: relation between finance and theaccounting theory, evolution of the role played by professionals in this area; and theimportance of the impact of the accounting information for the economic agents. Theresults suggest that stakeholders demand different financial information in order to assesscompany performance. This work contributes by highlighting that accounting must considerthe different needs of stakeholders and not solely financial metrics of profitability.

  19. Heterogeneous patterns of financial development: Implications for Asian financial integration

    OpenAIRE

    Bun, Linh; Singh, Nirvikar

    2015-01-01

    This paper analyzes detailed differences in patterns of financial development across the major Asian economies, including three of the region's largest economies (China, Japan and South Korea), to understand how these differences might affect possibilities for greater regional financial integration. In particular, the paper argues that heterogeneous patterns of financial development, and not just differences in levels of financial development, may present an economic challenge to regional fin...

  20. A mathematical model for financial innovation : empirical evidence from financial markets

    OpenAIRE

    ????????, ?????????

    2011-01-01

    Financial innovation is an important research topic modern economics. Financial innovation is an ongoing process where new financial products, services and procedures are created and it concerns important financial factors such as the regulatory restrictions, the relationship between financial innovation and the functionality of financial markets, the inefficiency of markets promoted by globalization and unexpected changes of economic status and financial intermediary. The previous literat...

  1. Foreign bond markets and financial market development: International perspectives

    OpenAIRE

    Batten, Jonathan A.; Hogan, Warren P.; SZILAGYI, Peter G.

    2009-01-01

    The domestic bond markets of the Asia and Pacific region have grown considerably since the Asian financial crisis of 1997, although they remain undeveloped relative to the region's weight in the world economy. This paper proposes that in order to encourage further development of these markets, regulators should make them more accessible to foreign borrowers. To that end we offer insights into the nature and mechanics of foreign bond issuance by investigating the key characteristics of 3,132 f...

  2. International financial integration and crisis intensity

    OpenAIRE

    Rose, Andrew K.

    2012-01-01

    This paper analyzes the causes of the 2008 - 2009 global financial crisis together with its manifestations, using a Multiple Indicator Multiple Cause (MIMIC) model. The analysis is conducted on a cross-section of 85 countries. It is found that more financially integrated countries do not seem to have suffered more during the most serious macroeconomic crisis in decades. This strengthens the case for international financial integration; if the costs of international financial integration were ...

  3. Market microstructure and nonlinear dynamics keeping financial crisis in context

    CERN Document Server

    2014-01-01

    Examines the market microstructure dynamics to understand effects of financial downturn Provides information and analysis of new financial regulations Helps to define optimal investment strategies A definitive volume with contributions from leading experts on market microstructure

  4. Financial markets: the recent experience of a developing economy

    OpenAIRE

    ADAM, MUSTAFA HASSAN MOHAMMAD

    2009-01-01

    The financial sector plays a crucial role in economic growth; it allows an efficient transfer of resources from those who save to those who invest. This sector comprises financial institutions, markets and instruments. This study highlights the fact that change has always been the hallmark of financial markets and the regulatory board of the Sudanese financial market. The Sudanese capital market, although an infant, could follow the route of other well-established capital marke...

  5. Fractional integration and cointegration in US financial time series data

    OpenAIRE

    Caporale, Guglielmo Maria; Gil-Alana, Luis A.

    2014-01-01

    This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with d < 1, which implies mean reversion. The multivariate framework exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between financial se...

  6. Adaptive Control Applied to Financial Market Data.

    Czech Academy of Sciences Publication Activity Database

    Šindelá?, Jan; Kárný, Miroslav

    Vol. I. Praha : Matfyz press, 2007, s. 1-6. ISBN 978-80-7378-023-4. [Week of Doctoral Students 2007. Praha (CZ), 05.06.2007-08.06.2007] R&D Projects: GA MŠk(CZ) 2C06001 Institutional research plan: CEZ:AV0Z10750506 Keywords : baysian statistics * finance * financial engineering * stochastic control Subject RIV: BB - Applied Statistics, Operational Research http://library.utia.cas.cz/separaty/2007/si/sindelar-adaptive control applied to financial market data.pdf

  7. Network Topologies of Financial Market During the Global Financial Crisis

    CERN Document Server

    Nobi, Ashadun; Ha, Gyeong Gyun; Lee, Jae Woo

    2013-01-01

    We consider the effects of the global financial crisis through a local Korean financial market around the 2008 crisis. We analyze 185 individual stock prices belonging to the KOSPI (Korea Composite Stock Price Index), cosidering three time periods: the time before, during, and after the crisis. The complex networks generate from the fully connected correlation network by using the cross-correlation coefficients among the stock price time series of the companies. We generate the threshold networks (TN), the minimal spanning tees (MST), and the hierarchical network (HN) from the fully connected cross-correlation networks. By assigning a threshold value of the cross-correlation coefficient, we obtain the threshold networks. We observe the power law of the degree distribution in the limited range of the threshold. The degree distribution of the largest cluster in the threshold networks during the crisis is fatter than other periods. The clustering coefficient of the threshold networks follows the power law in the...

  8. Canonical momenta indicators of financial markets and neocortical EEG

    CERN Document Server

    Ingber, L

    1996-01-01

    A paradigm of statistical mechanics of financial markets (SMFM) is fit to multivariate financial markets using Adaptive Simulated Annealing (ASA), a global optimization algorithm, to perform maximum likelihood fits of Lagrangians defined by path integrals of multivariate conditional probabilities. Canonical momenta are thereby derived and used as technical indicators in a recursive ASA optimization process to tune trading rules. These trading rules are then used on out-of-sample data, to demonstrate that they can profit from the SMFM model, to illustrate that these markets are likely not efficient. This methodology can be extended to other systems, e.g., electroencephalography. This approach to complex systems emphasizes the utility of blending an intuitive and powerful mathematical-physics formalism to generate indicators which are used by AI-type rule-based models of management.

  9. Design and Factors Affecting State Supervision of the Financial Market

    Directory of Open Access Journals (Sweden)

    Miros?aw Je?owski

    2015-03-01

    Full Text Available Purpose: The purpose of the paper is to identify the factors that affect the development of the models of financial market state supervision and to identify the factors that have influenced the evolution of the supervision model in Poland. Methodology: critical analysis of literature, legal provisions and documents. Findings: The completely integrated and the fully dispersed model of supervision are located at the opposite ends of the spectrum. A variety of the hybrid models can be identified between them. Factors that affect supervision organization are both economic and non-economic. Factors that have influenced the Polish model of supervision include political aspects, administration costs and, in due course, also the development of the financial market. Research implications: The variety of state supervision structures, combined with the ambiguity and multiplicity of factors that affect their evolution create a new research challenge. Significant problems in accessing documents have been identified. Originality: The author presents an overview of models of state supervision of financial markets and factors affecting the evolution and structure of supervision. Conclusions drawn from the analysis were used to identify factors that influence the evolution and supervision of the Polish financial market.

  10. Study of Stylized Facts in Indian Financial Markets

    Directory of Open Access Journals (Sweden)

    Chitrakalpa Sen

    2011-01-01

    Full Text Available Stylized empirical facts emerging from the statistical analysis of price variations in various types of financial markets have attracted the attention of researchers since a long time. These are a set of properties, common across many instruments, markets and time periods that has been observed by independent studies. The objective of this research is to study stylized facts of financial time series by using data from the Indian financial market. BSE SENSEX is used as a proxy for the Indian market. Particular stress is given to the study of volatility using different models from the GARCH School including GARCH, EGARCH, TARCH, Asymmetric Component GARCH etc. The raw SENSEX daily return series are found to be non-normal having fat tails, show significant amount of asymmetry and exhibit strong volatility persistence as well as volatility clustering. This study also examines the possibility of long-term dependence (long memory in Absolute SENSEX daily return series. Rescaled range analysis, modified rescaled range analysis and GPH test are used for this purpose. The results indicate presence of long memory and also show the series to be fractionally integrated. The findings obtained are in broad agreement with the stylized facts observed in financial time series.

  11. Agent-based models of financial markets

    International Nuclear Information System (INIS)

    This review deals with several microscopic ('agent-based') models of financial markets which have been studied by economists and physicists over the last decade: Kim-Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of simulation approaches in financial economics, we first give a summary of the Donangelo-Sneppen model of monetary exchange and compare it with related models in economics literature. Our selective review then outlines the main ingredients of some influential early models of multi-agent dynamics in financial markets (Kim-Markowitz, Levy-Levy-Solomon). As will be seen, these contributions draw their inspiration from the complex appearance of investors' interactions in real-life markets. Their main aim is to reproduce (and, thereby, provide possible explanations) for the spectacular bubbles and crashes seen in certain historical episodes, but they lack (like almost all the work before 1998 or so) a perspective in terms of the universal statistical features of financial time series. In fact, awareness of a set of such regularities (power-law tails of the distribution of returns, temporal scaling of volatility) only gradually appeared over the nineties. With the more precise description of the formerly relatively vague characteristics (e.g. moving from the notion of fat tails to the more concrete one of a power law with index around three), it became clear that financial market dynamics give rise to some kind of universal scaling law. Showing similarities with scaling laws for other systems with many interacting sub-units, an exploration of financial markets as multi-agent systems appeared to be a natural consequence. This topic has been pursued by quite a number of contributions appearing in both the physics and economics literature since the late nineties. From the wealth of different flavours of multi-agent models that have appeared up to now, we discuss the Cont-Bouchaud, Solomon-Levy-Huang and Lux-Marchesi models. Open research questions are discussed in our concluding section

  12. Agent-based models of financial markets

    Science.gov (United States)

    Samanidou, E.; Zschischang, E.; Stauffer, D.; Lux, T.

    2007-03-01

    This review deals with several microscopic ('agent-based') models of financial markets which have been studied by economists and physicists over the last decade: Kim-Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of simulation approaches in financial economics, we first give a summary of the Donangelo-Sneppen model of monetary exchange and compare it with related models in economics literature. Our selective review then outlines the main ingredients of some influential early models of multi-agent dynamics in financial markets (Kim-Markowitz, Levy-Levy-Solomon). As will be seen, these contributions draw their inspiration from the complex appearance of investors' interactions in real-life markets. Their main aim is to reproduce (and, thereby, provide possible explanations) for the spectacular bubbles and crashes seen in certain historical episodes, but they lack (like almost all the work before 1998 or so) a perspective in terms of the universal statistical features of financial time series. In fact, awareness of a set of such regularities (power-law tails of the distribution of returns, temporal scaling of volatility) only gradually appeared over the nineties. With the more precise description of the formerly relatively vague characteristics (e.g. moving from the notion of fat tails to the more concrete one of a power law with index around three), it became clear that financial market dynamics give rise to some kind of universal scaling law. Showing similarities with scaling laws for other systems with many interacting sub-units, an exploration of financial markets as multi-agent systems appeared to be a natural consequence. This topic has been pursued by quite a number of contributions appearing in both the physics and economics literature since the late nineties. From the wealth of different flavours of multi-agent models that have appeared up to now, we discuss the Cont-Bouchaud, Solomon-Levy-Huang and Lux-Marchesi models. Open research questions are discussed in our concluding section.

  13. On Financial Markets Based on Telegraph Processes

    CERN Document Server

    Ratanov, Nikita

    2007-01-01

    The paper develops a new class of financial market models. These models are based on generalized telegraph processes: Markov random flows with alternating velocities and jumps occurring when the velocities are switching. While such markets may admit an arbitrage opportunity, the model under consideration is arbitrage-free and complete if directions of jumps in stock prices are in a certain correspondence with their velocity and interest rate behaviour. An analog of the Black-Scholes fundamental differential equation is derived, but, in contrast with the Black-Scholes model, this equation is hyperbolic. Explicit formulas for prices of European options are obtained using perfect and quantile hedging.

  14. 76 FR 44763 - Authority To Designate Financial Market Utilities as Systemically Important

    Science.gov (United States)

    2011-07-27

    ...would have on critical markets, financial institutions, or the broader financial...Would Have on Critical Markets, Financial Institutions or the Broader Financial...would have on critical markets, financial institutions, or the broader...

  15. Financial integration and financial development in transition economies: What happens during financial crises?

    Directory of Open Access Journals (Sweden)

    Igor Masten

    2011-12-01

    Full Text Available

    This paper provides an empirical analysis of the role of financial development and financial integration in the growth dynamics of transition countries. We focus on the role of financial integration in determining the impact of financial development on growth, distinguishing “normal times” from periods of financial crises. In addition to confirming the significant positive effect on growth exerted by financial development and financial integration, our estimates show that a higher degree of financial openness tends to reduce the contractionary effect of financial crises, by cushioning the effect on the domestic supply of credit. Consequently, the high reliance on international capital flows by transition countries does not necessarily increase their financial fragility. This implies that financial protectionism is a self-defeating policy, at least for transition countries.

  16. Statistical Process Control in Financial Markets

    OpenAIRE

    Besalduch Martín, Borja

    2008-01-01

    This Master’s Thesis consists of the definition, identification and calculation of several tools of Statistical Process Control applied to trading/investment systems. As Benjamin Van Vliet described in his book Quality Money Management: “a trading/investment system consists of the interacting position selection and execution algorithms, that is, the rules and business logic necessary to enter into and exit from positions in the financial markets, as well as the technology required to parti...

  17. Rethinking risk in international financial markets

    OpenAIRE

    Campbell-Pownall, Rachel

    2001-01-01

    This thesis aims to address many of the issues raised concerning the appropriate definition and measurement of risk. An alternative approach to the estimation of risk, and the risk-return trade-off in international financial markets is investigated. Rather than focusing on the deviation of returns as the appropriate measure for risk, the more relevant negative domain when defining risk is focused upon. The notion of downside risk is applied as a more appropriate measure for risk. The focus is...

  18. Adaptive Control Applied to Financial Market Data.

    Czech Academy of Sciences Publication Activity Database

    Šindelá?, Jan; Kárný, Miroslav

    Strasbourg cedex : European Science Foundation, 2007, s. 1-6. [Advanced Mathematical Methods for Finance. Víde? (AT), 17.09.2007-22.09.2007] R&D Projects: GA MŠk(CZ) 2C06001 Institutional research plan: CEZ:AV0Z10750506 Keywords : bayesian statistics * portfolio optimization * finance * adaptive control Subject RIV: BB - Applied Statistics, Operational Research http://library.utia.cas.cz/separaty/2007/si/sindelar-adaptive control applied to financial market data.pdf

  19. Essays in comovement of financial markets.

    OpenAIRE

    Mathias, Charles

    2012-01-01

    Comovement is ubiquitous in financial markets. The evolution of asset characteristics, such as price, volatility or liquidity, exhibits a high degree of correlation across assets---a phenomenon that in this thesis will generically be denoted with the term comovement. The origins of suchcomovement are legion. In their investment decisions, economic agents are not only influenced by their idiosyncrasies---a large part of investment motivations are shared over a population. Demographics or the p...

  20. Introduction to convex optimization in financial markets

    OpenAIRE

    Pennanen, Teemu

    2012-01-01

    Convexity arises quite naturally in financial risk management. In risk preferences concerning random cash-flows, convexity corresponds to the fundamental diversification principle. Convexity is a basic property also of budget constraints both in classical linear models as well as in more realistic models with transaction costs and constraints. Moreover, modern securities markets are based on trading protocols that result in convex trading costs. The first part of this paper gives an intr...

  1. Mediating markets: financial news media and reputation risk management

    OpenAIRE

    Masie, Desné Rentia

    2014-01-01

    The increase of interest in financial culture following the financial crisis, which started in 2008, as well as the proliferation of financial data, have sparked an emerging research agenda into the role of financial news media. Moreover, financial news media is an important research topic in finance because information released through the media has a wider audience than other information intermediating systems in the financial market. This thesis defines the financial journal...

  2. Financial equilibria in the semimartingale setting: complete markets and markets with withdrawal constraints

    CERN Document Server

    Zitkovic, Gordan

    2006-01-01

    Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal constraints.We deal with random endowment density streams which admit jumps and general time-dependent utility functions on which only regularity conditions are imposed. As an integral part of the proof of the main result, we establish a novel characterization of semimartingale functions.

  3. Agent-based Models of Financial Markets

    CERN Document Server

    Samanidou, E; Stauffer, D; Lux, T

    2008-01-01

    This review deals with several microscopic (``agent-based'') models of financial markets which have been studied by economists and physicists over the last decade: Kim-Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of simulation approaches in financial economics, we first give a summary of the Donangelo-Sneppen model of monetary exchange and compare it with related models in economics literature. Our selective review then outlines the main ingredients of some influential early models of multi-agent dynamics in financial markets (Kim-Markowitz, Levy-Levy-Solomon). As will be seen, these contributions draw their inspiration from the complex appearance of investors' interactions in real-life markets. Their main aim is to reproduce (and, thereby, provide possible explanations) for the spectacular bubbles and crashes seen in certain historical episodes, but they lack (like almost all the work before 1998 or so) a perspective ...

  4. Balance, growth and diversity of financial markets

    CERN Document Server

    Kardaras, Constantinos

    2008-01-01

    A financial market comprising of a certain number of distinct companies is considered, and the following statement is proved: either a specific agent will surely beat the whole market unconditionally in the long run, or (and this "or" is not exclusive) all the capital of the market will accumulate in one company. Thus, absence of any "free unbounded lunches relative to the total capital" opportunities lead to the most dramatic failure of diversity in the market: one company takes over all other until the end of time. In order to prove this, we introduce the notion of perfectly balanced markets, which is an equilibrium state in which the relative capitalization of each company is a martingale under the physical probability. Then, the weaker notion of balanced markets is discussed where the martingale property of the relative capitalizations holds only approximately, we show how these concepts relate to growth-optimality and efficiency of the market, as well as how we can infer a shadow interest rate that is im...

  5. Financial integration and financial development in transition economies: What happens during financial crises?

    OpenAIRE

    Igor Masten; Fabrizio Coricelli; Arjana Brezigar-Masten

    2009-01-01

    This paper provides an empirical analysis of the role of financial development and financial integration in the growth dynamics of transition countries. We focus on the role of financial integration in determining the impact of financial development on growth, distinguishing “normal times” from periods of financial crises. In addition to confirming the significant positive effect on growth exerted by finan...

  6. Uncertainty in an Interconnected Financial System, Contagion, and Market Freezes

    OpenAIRE

    Li, Mei; Milne, Frank; Qui, Junfeng

    2013-01-01

    This paper studies contagion and market freezes caused by uncertainty in financial network structures and provides theoretical guidance for central banks. We establish a formal model to demonstrate that, in a financial system where financial institutions are interconnected, a negative shock to an individual financial institution could spread to other institutions, causing market freezes because of creditors’ uncertainty about the financial network structure. Central bank policies to allevia...

  7. Intermediaries, Financial Markets and Growth: Some more International Evidence

    OpenAIRE

    Afonso, António; Ferreira, Raquel; Freitas, Edmund; Nóbrega, Celso; Pinheiro, José

    2003-01-01

    We examine how financial institutions affect growth, taking into the account the organisational features of the financial system namely systems characterised by strong financial intermediaries and systems where the financial markets assume a more important role. We use a panel of 24 developed and developing countries over the 70s, 80s and 90s, to evaluate the existence of possible links between the type of preponderant financial system (bank-based or more capital markets based) and economic g...

  8. International Financial Markets, Cross-Border Transmission of Shocks and Risk-Sharing

    OpenAIRE

    VIANI, Francesca

    2010-01-01

    One of the most relevant events of the last decades has been the fast integration of international financial markets. As most restrictions to cross-border asset trade were removed, the volume of activity in international financial markets increased dramatically, and so did the cross-country flows of resources due to external borrowing and portfolio returns. Many of the macroeconomic consequences of these stronger financial linkages still have to be fully evaluated. This thesis investigates tw...

  9. International market integration and market interdependence: evidence from China's stock market in the post-WTO accession period

    OpenAIRE

    He, Hongbo

    2012-01-01

    The Chinese government has implemented a series of financial liberalisation policies in stock market after China’s accession into the WTO in 2001. However, it remains somewhat unclear whether and to what extent China’s financial liberalisation has influenced its stock market in the post-WTO accession period. This thesis examines this issue from the perspectives of international market integration and market interdependence. This thesis mainly includes three empirical studies: 1) gauging the d...

  10. Integration of European Bond Markets

    DEFF Research Database (Denmark)

    Christiansen, Charlotte

    2014-01-01

    I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non...

  11. Herd behavior in financial markets: an experiment with financial market professionals

    OpenAIRE

    Marco Cipriani; Antonio Guarino

    2009-01-01

    We study herd behavior in a laboratory financial market with financial market professionals. An important novelty of the experimental design is the use of a strategy-like method. This allows us to detect herd behavior directly by observing subjects' decisions for all realizations of their private signal. In the paper, we compare two treatments: one in which the price adjusts to the order flow in such a way that herding should never occur, and one in which the presence of event uncertainty mak...

  12. Financial Market Contagion During the Global Financial Crisis: Evidence from the Moroccan Stock Market

    OpenAIRE

    El Ghini, Ahmed; SAIDI, Youssef

    2013-01-01

    In this paper, we aim at the study of the contagion of the global financial crisis (2007-2009) on Moroccan stock market. Our study focuses to examine whether contagion effects exist on Moroccan stock market, during the current financial crisis. Following Forbes and Rigobon (2002), we define contagion as a positive shift in the degree of comovement between asset returns. We use stock returns in MASI, CAC, DAX, FTSE and NASDAQ as representatives of Moroccan, French, German, British and U.S. mar...

  13. FINANCIAL MARKET OF AZERBAIJAN: CURRENT CONDITION AND FUTURE PERSPECTIVES

    Directory of Open Access Journals (Sweden)

    R. Guliyev

    2014-01-01

    Full Text Available This article discusses the economic model of Azerbaijan. Main components of the financial market are being analyzed: state budget, state oil fund, banking system, foreign debt and etc. This article assesses the impact of the global financial crisis on the national economy. Moreover, future development perspectives of the financial market and the economy are being examined as well.

  14. Large-volatility dynamics in financial markets

    CERN Document Server

    Zheng, B

    2010-01-01

    We investigate the large-volatility dynamics in financial markets, based on the minutely and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after large volatilities is characterized by a power law, and the exponents $p_\\pm$ usually vary with the strength of the large volatilities. The large-volatility dynamics is time-reversal symmetric at the minutely time scale, while asymmetric at the daily time scale. Careful analysis reveals that the time-reversal asymmetry is mainly induced by exogenous events. It is also the exogenous events which drive the financial dynamics to a non-stationary state. In general, the Chinese Indices and German DAX are in different universality classes. An interacting herding model without and with exogenous driving forces could qualitatively describe the large-volatility dynamics.

  15. Integration of European Bond Markets

    DEFF Research Database (Denmark)

    Christiansen, Charlotte

    2014-01-01

    I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU members and stronger for old than new EU members. For EMU countries, the integration is weaker the lower the credit rating is. During the recent crisis periods, the integration is weaker, particularly for EM...

  16. Integration of European Bond Markets

    DEFF Research Database (Denmark)

    Christiansen, Charlotte

    2014-01-01

    I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU members and stronger for old than new EU members. For EMU countries, the integration is weaker the lower the credit rating is. During the recent crisis periods, the integration is weaker, particularly for EMU countries.

  17. International financial markets' influence on the welfare performance of alternative exchange rate regimes

    OpenAIRE

    HOFFMANN, Mathias

    2008-01-01

    In this paper Friedmann (1953) and Mundell´s (1968) position favouring flexible over alternative exchange rate regimes is reassessed in the context of international financial market integration. In a new open economy macroeconomic framework the paper shows that financial market integration causes a monetary policy trade-off between stabilising domestic goods prices as opposed to stabilising the terms of trade. Therefore, the welfare ranking of different exchanges rate rules changes during the...

  18. European corporate bond market integration: lessons from EMU

    OpenAIRE

    AVADANEI Andreea

    2010-01-01

    Abstract: The scope of this article is to point out the features of European corporate bond market, in particular its development since the euro introduction. We structured our paper on chapters that present its economic importance, the implications of the common currency in respect to its growth and the level of integration in the present context. This market, including the debt securities issued by non-financial corporations, non-monetary financial corporations and monetary financial instit...

  19. Essays on financial integration and institutional quality

    OpenAIRE

    Dadasov, Ramin Rufat Oglu

    2012-01-01

    This thesis comprises four individual essays and deals with the question of how international financial integration may influence quality of economic institutions in developing countries. While the first three essays provide theoretical models of different channels, through which financial integration may affect institutional quality, the last work is an empirical investigation into the influence of liberalization of the financial account on institutional development. The first essay ?Financi...

  20. Threat, Intimidation, and Student Financial Market Knowledge: An Empirical Study

    Science.gov (United States)

    Ford, Matthew W.; Devoto, Steve; Kent, Daniel W.; Harrison, Todd

    2007-01-01

    Threat emanating from financial markets may intimidate college students to some degree. In this article, the authors considered the influence of such intimidation on student financial market knowledge. They hypothesized a negative relationship between intimidation and market knowledge. An empirical study of over 150 undergraduate business school…

  1. Taxing the Financially Integrated Multinational Firm

    DEFF Research Database (Denmark)

    Johannesen, Niels

    This paper develops a theoretical model of corporate taxation in the presence of financially integrated multinational firms. Under the assumption that multinational firms at least partly use internal loans to finance foreign investment, we find that the optimal corporate tax rate is positive from...... latter country partly fall on investment and thus workers in the former country. This tax exporting mechanism introduces a scope for corporate taxes, which is not present in standard models of international taxation. Accounting for the internal capital markets of multinational firms thus represents a way...... to resolve the tension between standard theory predicting zero capital taxes and the casual observation that countries tend to employ corporate taxes at fairly high rates....

  2. Strategic Investment and Market Integration

    OpenAIRE

    Ganslandt, Mattias

    2001-01-01

    The competitive effect of international market integration in industries with imperfect competition is of great policy interest. This paper focuses on the link between monopolization and market segmentation. It presents a model of multi-market entry deterrence with or without market commitments. We derive sufficient conditions for entry deterrence with productive capacity in the multi-market game. It is shown that to deter entry in the multi-market game, the first-mover installs productions c...

  3. THE VOLATILITY OF THE FINANCIAL MARKET – A QUANTITATIVE APPROACH

    Directory of Open Access Journals (Sweden)

    Mester Ioana Teodora

    2008-05-01

    Full Text Available During the last years, the financial markets have been subject to significant fluctuations of their financial actives. These spectacular movements have revived the interest, in the academic circles and policy makers and regulation and control authorities as well, for the financial market volatility. The analysis of these phenomena is justified by the fact that the stock exchange chocks have significant effects on the financial stability and they can lead to serious consequences in the real economy.

  4. Eroding market stability by proliferation of financial instruments

    OpenAIRE

    Caccioli, Fabio; Marsili, Matteo; Vivo, Pierpaolo

    2009-01-01

    We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setting. The proliferation of financial instruments apparently provides more means for risk diversification, making the market more efficient and complete. In the simple market of interacting traders discussed here, the proliferation of financial instruments erodes systemic stability and it drives the m...

  5. Incomplete Financial Markets and Jumps in Asset Prices

    DEFF Research Database (Denmark)

    Crès, Hervé; Markeprand, Tobias Ejnar; Tvede, Mich

    A dynamic pure-exchange general equilibrium model with uncertainty is studied. Fundamentals are supposed to depend continuously on states of nature. It is shown that: 1. if financial markets are complete, then asset prices vary continuously with states of nature, and; 2. if financial markets are ...... incomplete, jumps in asset prices may be unavoidable. Consequently incomplete financial markets may increase volatility in asset prices significantly....

  6. Basic trends of the global financial market development

    Directory of Open Access Journals (Sweden)

    Luchian Ivan

    2013-01-01

    Full Text Available The world (global financial market is designated for the exchange of capital and credit, including currency and foreign exchange markets. Ensuring freedom of movement of capital internationally, it is an important condition for the functioning of the world economy. The world (global financial market is a system of relations of supply and demand on the financial capital, which operates in the international arena as the purchase and payment facilities, credit, investment resources. This article is concerned to demonstrate main directions and tendencies of development of global financial market

  7. Dynamic Interrelations Between the Key Financial Market Segments of Ukraine ???????????? ??????????? ???????? ????????? ??????????? ????? ???????

    Directory of Open Access Journals (Sweden)

    Lunyakov Oleg V.

    2012-09-01

    Full Text Available The key characteristics of the dynamic relationship between the credit market, securities market and foreign exchange market in the emerging of financial cycle in Ukraine have outlined. It is shown that the strong interrelations between the concerned segments of the financial market there strengthen in the expansion phase of credit and boom on asset prices. At the same time the financial intermediaries change the perception of risk on every phase of the cycle, and in the general, euphoria leads to excessive accumulation of systemic financial risk.? ?????? ???????? ??????????? ??????????? ???????????? ???????????? ????? ????????? ??????, ?????? ?????? ????? ? ???????? ?????? ? ???????? ???????????? ??????????? ????? ? ???????. ????????, ??? ?????? ??????????? ????? ????????? ?????????? ??????????? ????? ??????????? ?? ???? ?????????? ??????? ? ????? ??? ?? ??????. ??? ???? ?? ?????? ???? ??????????? ????? ? ?????????? ??????????? ???????? ?????????? ?????, ??? ? ???????? ???????? ??????? ????? ? ??????????? ?????????? ????????? ?????????? ??????.

  8. CHALLENGES OF FINANCIAL AUDIT - THE IMPACT OF INTRODUCING UNIQUE REGULATION OF FINANCIAL MARKETS IN ROMANIA

    Directory of Open Access Journals (Sweden)

    Mitica Pepi

    2013-07-01

    Full Text Available The theme of our research is related to the new type of relationship between financial audits (statutory and unique regulation of financial markets in Romania.The Romanian authorities have decided as from 2013 regulation of financial markets, capital market, insurance market and private pensions market to achieve by a single entity, this situation will also lead to a number of challenges in the relationship between the auditor and the new regulatory regime. The main elements of our study are: the relationship between the audit committee and regulatory authority; quality of financial reporting for financial market entities. The auditor plays an important role in financial markets because it certifies the financial statements in accordance with European Union practice . It is also interesting to note potential interference that can occur in single regulation between compliance audit and financial stability and return on investment between performance audit and financial markets.In this case, financial regulation can coexist with compliance audit. EU legislation recommends that the auditor discuss with the audit committee the quality and acceptability of the financial reporting process.This recommendation is what should constitute a possible consensus to be highly unlikely between audit committees would align auditors in financial reporting disputes with management financial entities. In this regard, auditors should identify the factors we consider important in determining the quality of financial reporting. .We conducted this research in an effort to identify the possible divergence between the type of regulations that can emit single regulatory authority and the audit process. New regulator will operate on two levels, issue general regulations apply to all three categories of financial markets, capital market, insurance market and private pensions market, but in the same time and in greater extent will issue specific regulations of each market in part. We want to identify the extent to which audit the entities in these markets will be influenced by these changes. Interest is our largest to determine whether the audit can identify any changes in the new regulatory requirements on quality of financial statements.Our research results show the high importance of the audit committee in ensuring the high quality of financial reporting in the financial markets and seeks to identify potential points of conflict between audit conservatism and unique market regulation.

  9. Globalization and Financial Market Contagion: Evidence from Financial Crisis and Natural Disasters

    OpenAIRE

    Asongu, Simplice

    2013-01-01

    With financial globalization, investors can gain from diversification if returns from financial markets are stable and not correlated. However with volatility spillovers, increase in cross-market correlations exist as a real-effect and are not taken into account for asset allocation and portfolio composition. This chapter assesses financial contagion from two recent trends in the world economy: the global financial crisis and the 2011 Japanese natural disasters (tsunami, earthquake and nuclea...

  10. Does financial integration spur economic growth?, new evidence from the first era of financial globalization

    OpenAIRE

    Schularick, Moritz; Thomas M. Steger

    2006-01-01

    Does international financial integration boost economic growth? The question has been discussed controversially for a long time, and a large number of studies has been devoted to its empirical investigation. As of yet, robust evidence for a positive impact of capital market integration on economic growth is lacking, as documented by Edison et al. (2002). However, there is substantial narrative evidence from economic history that highlights the contribution European capital made to economic gr...

  11. Correlation of financial markets in times of crisis

    Science.gov (United States)

    Sandoval, Leonidas; Franca, Italo De Paula

    2012-01-01

    Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linked with strong correlations between them. This means that markets tend to behave as one during great crashes. In order to do so, we investigate financial market crises that occurred in the years 1987 (Black Monday), 1998 (Russian crisis), 2001 (Burst of the dot-com bubble and September 11), and 2008 (Subprime Mortgage Crisis), which mark some of the largest downturns of financial markets in the last three decades.

  12. Measuring the Impact of Financial Crisis on International Markets: An Application of the Financial Stress Index

    OpenAIRE

    Apostolos G. Christopoulos; John Mylonakis; Christos Koromilas

    2011-01-01

    The scope of paper is to examine whether the recent financial crisis has had any impact on international capital markets and more precisely on the 4 primary international stock markets of England, France, Japan, the United States and Greece. The research is based on the use of the Financial Stress Index (FSI) from July 2005 until December 2008 and August 2009. Research results showed that the recent financial crisis has had a negative impact on all examined markets, with the Tokyo stock excha...

  13. Carbon flows, financial markets and climate change mitigation

    OpenAIRE

    Mol, A.P.J.

    2012-01-01

    After initial debates and controversies, from the late 1980s onwards market instruments became fully accepted in environmental governance. However, with their inclusion in transnational and global environmental governance, market institutions seem to be in for a new round of discussions. Transnational carbon markets stand out in these debates, especially since the recent financial crisis made the world aware of the vulnerability of global financial markets. This paper uses a sociology ...

  14. Geometry of Financial Markets -- Towards Information Theory Model of Markets

    CERN Document Server

    Piotrowski, E W; Piotrowski, Edward W.; Sladkowski, Jan

    2006-01-01

    Most of parameters used to describe states and dynamics of financial market depend on proportions of the appropriate variables rather than on their actual values. Therefore, projective geometry seems to be the correct language to describe the theater of financial activities. We suppose that the object of interest of agents, called here baskets, form a vector space over the reals. A portfolio is defined as an equivalence class of baskets containing assets in the same proportions. Therefore portfolios form a projective space. Cross ratios, being invariants of projective maps, form key structures in the proposed model. Quotation with respect to an asset X (i.e. in units of X) are given by linear maps. Among various types of metrics that have financial interpretation, the min-max metrics on the space of quotations can be introduced. This metrics has an interesting interpretation in terms of rates of return. It can be generalized so that to incorporate a new numerical parameter (called temperature) that describes ...

  15. Variety and Volatility in Financial Markets

    CERN Document Server

    Lillo, F; Lillo, Fabrizio; Mantegna, Rosario N.

    2000-01-01

    We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock Exchange to form a statistical ensemble of daily stock returns. For each trading day of our database, we study the ensemble return distribution. We find that a typical ensemble return distribution exists in most of the trading days with the exception of crash and rally days and of the days subsequent to these extreme events. We analyze each ensemble return distribution by extracting its first two central moments. We observe that these moments are fluctuating in time and are stochastic processes themselves. We characterize the statistical properties of ensemble return distribution central moments by investigating their probability density functions and temporal correlation properties. In general, time-averaged and portfolio-averaged price returns have different statistical ...

  16. A generalized spin model of financial markets

    CERN Document Server

    Chowdhury, D; Chowdhury, Debashish; Stauffer, Dietrich

    1999-01-01

    We reformulate the Cont-Bouchaud model of financial markets in terms of classical "super-spins" where the spin value is a measure of the number of individual traders represented by a portfolio manager of an investment agency. We then extend this simplified model by switching on interactions among the super-spins to model the tendency of agencies getting influenced by the opinion of other managers. We also introduce a fictitious temperature (to model other random influences), and time-dependent local fields to model slowly changing optimistic or pessimistic bias of traders. We point out close similarities between the price variations in our model with $N$ super-spins and total displacements in an $N$-step Levy flight. We demonstrate the phenomena of natural and artificially created bubbles and subsequent crashes as well as the occurrence of "fat tails" in the distributions of stock price variations.

  17. When Can Social Media Lead Financial Markets?

    Science.gov (United States)

    Zheludev, Ilya; Smith, Robert; Aste, Tomaso

    2014-02-01

    Social media analytics is showing promise for the prediction of financial markets. However, the true value of such data for trading is unclear due to a lack of consensus on which instruments can be predicted and how. Current approaches are based on the evaluation of message volumes and are typically assessed via retrospective (ex-post facto) evaluation of trading strategy returns. In this paper, we present instead a sentiment analysis methodology to quantify and statistically validate which assets could qualify for trading from social media analytics in an ex-ante configuration. We use sentiment analysis techniques and Information Theory measures to demonstrate that social media message sentiment can contain statistically-significant ex-ante information on the future prices of the S&P500 index and a limited set of stocks, in excess of what is achievable using solely message volumes.

  18. Financial Market Modeling with Quantum Neural Networks

    OpenAIRE

    Gonçalves, Carlos Pedro

    2015-01-01

    Econophysics has developed as a research field that applies the formalism of Statistical Mechanics and Quantum Mechanics to address Economics and Finance problems. The branch of Econophysics that applies of Quantum Theory to Economics and Finance is called Quantum Econophysics. In Finance, Quantum Econophysics' contributions have ranged from option pricing to market dynamics modeling, behavioral finance and applications of Game Theory, integrating the empirical finding, from...

  19. The global financial crisis: Lessons for European Integration

    OpenAIRE

    Dabrowski, Marek

    2009-01-01

    The purpose of this paper is to analyze the various challenges facing European integration and the EU institutional architecture as result of the global financial crisis. The European integration process is not yet complete, both in terms of its content and geographical coverage. It can be viewed as a kind of intermediate hybrid between an international organization and a federation, subject to further evolution. This is also true of the Single European Market and the Economic and Monetary Un...

  20. Identifying States of a Financial Market

    CERN Document Server

    Münnix, Michael C; Schäfer, Rudi; Seligman, Francois Leyvraz Thomas H; Guhr, Thomas; Stanley, H E

    2012-01-01

    The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such time series, stationary situations have been extensively studied and correlations have been found to be a very powerful tool. Yet most natural processes are non-stationary. In particular, in times of crisis, accident or trouble, stationarity is lost. As examples we may think of financial markets, biological systems, reactors or the weather. In non-stationary situations analysis becomes very difficult and noise is a severe problem. Following a natural urge to search for order in the system, we endeavor to define states through which systems pass and in which they remain for short times. Success in this respect would allow to get a better understanding of the system and might even lead to methods for controlling the system in more efficient ways. We here concentrate on financial...

  1. The Mechanism of Stock Market Integration: Evidence for the Taiwan and U.S. Stock Markets

    Directory of Open Access Journals (Sweden)

    Min-Hsien Chiang

    2004-01-01

    Full Text Available This study investigates sources of the comovement of the Taiwan and U.S. stock markets. The empirical evidence shows that both economic fundamentals and equity risk premiums can act as transmission mechanisms of both markets. In the meantime, the financial integration is much stronger than real economic integration. Moreover, the deregulation of foreign investments in Taiwan and the Southeast Asian financial crisis in 1997 did not alter the transmission mechanisms of real economic and equity risk premium factors."

  2. The Mechanism of Stock Market Integration: Evidence for the Taiwan and U.S. Stock Markets

    OpenAIRE

    Min-Hsien Chiang; Rung-Ho Lai; Hsiao-Ching Lee

    2004-01-01

    This study investigates sources of the comovement of the Taiwan and U.S. stock markets. The empirical evidence shows that both economic fundamentals and equity risk premiums can act as transmission mechanisms of both markets. In the meantime, the financial integration is much stronger than real economic integration. Moreover, the deregulation of foreign investments in Taiwan and the Southeast Asian financial crisis in 1997 did not alter the transmission mechanisms of real economic and equity ...

  3. Market Selection of Financial Trading Strategies: Global Stability

    OpenAIRE

    Evstigneev, I.V.; Hens, Thorsten; SCHENK-HOPPÉ, Klaus Reiner

    2001-01-01

    In this paper we analyze the long-run dynamics of the market selec-tion process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique surviving finan-cial trading strategy. Investors following this strategy asymptotically gather total market wealth. This result generalizes findings by Blume and Easley (1992) to any complete or incomplete asset market.

  4. Adoption of the Objectives of the Monetary and Economic Union and European Financial Integration

    Directory of Open Access Journals (Sweden)

    M?D?LINA R?DOI

    2014-05-01

    Full Text Available The European concerns, with old traditions in forming multinational financial markets, developed in the integration of the financial markets and of the European banking systems which allowed the investors from any European country to follow the orders on the best market, through the best beneficiary, benefitting from the most effective financial-banking services. This market offers sophisticated and modern financial tools, which cope with the needs of the invertors, portfolio managers, transnational companies and traders, having an impact over the balanced economic development of the European countries and unemployment reduction.

  5. A marketing perspective on the impact of financial and non-financial measures on shareholder value

    Scientific Electronic Library Online (English)

    Nic S, Terblanche; Charlene, Gerber; Pierre, Erasmus; Delia, Schmidt.

    Full Text Available The pressure for financial accountability contributed to widespread concern about the function of marketing within the company. Consequently, marketers have become preoccupied with measuring the performance of marketing activity. Diverse financial and non-financial methods have been developed to pro [...] vide evidence of how marketing activity impacts on the bottom line. This article proposes an approach whereby financial and non-financial performance measures are combined to measure the contribution of marketing to sales. Secondary data from two retail brands within the same industry were analysed whereby actual accounting data were adjusted to examine the link between marketing expenditures, specifically with regard to the 4Ps (typical non-financial measures), and sales. The results of the time series regression showed that the nature of the relationship between marketing expenditures and sales is dependent largely on the product characteristics. The link between marketing and sales depicted serves as a starting point from which to build a more robust measurement tool incorporating financial and non-financial marketing performance measures that will serve to justify investment in the marketing of a brand.

  6. Financial literacy and stock market participation

    OpenAIRE

    De Rooij, Maarten; Lusardi, Annamaria; Alessie, Rob J. M.

    2007-01-01

    Individuals are increasingly put in charge of their financial security after retirement. Moreover, the supply of complex financial products has increased considerably over the years. However, we still have little or no information about whether individuals have the financial knowledge and skills to navigate this new financial environment. To better understand financial literacy and its relation to financial decision-making, we have devised two special modules for the DNB Household Survey. We ...

  7. The Romanian Municipal Bond Market and the International Financial Crisis

    Directory of Open Access Journals (Sweden)

    VALENTINA VASILE

    2010-06-01

    Full Text Available In Romania, the bond market was set up later, comparatively to the equity market. This market is in a development process, but the international financial crisis has affected even the interest of investors in bonds. The secondary municipal bond market is not a very liquid market because these securities are bought from the primary market and held in portfolios by investors because these bonds have a low risk. The issue of these bonds is correlated with the financial independence and the level of decentralization of the local public authorities. The issuance of these bonds is correlated with financial independence and decentralization level specific to local public authorities. Under crisis conditions, the volatility of this market is more significant, the increasing deficits of local budgets decreasing the interest of the middle-class in investing in such financial instruments.

  8. The Financial Protectionism-Financial Integration Dilemma through Capital Mobility: Economic Performance vs Financial Crises

    OpenAIRE

    Fatma Kchir Jedidi; Sami Mensi

    2011-01-01

    In this paper, a theoretical and an empirical discussion of the post-crisis supremacy of financial integration over financial protectionism are proposed. The debate is done through a survey of the advantages each line of thinking brings about to improve economic performance and reduce crisis probability or its magnitude. Moreover, in this paper we study the impact of financial integration through capital mobility on economic growth of a sample of emerging countries. The contribution of our pa...

  9. International financial integration through the law of one price: The role of liquidity and capital controls

    OpenAIRE

    YEYATI, Eduardo Levy; Schmukler, Sergio; Horen, Neeltje van

    2008-01-01

    This paper takes advantage of the fact that some stocks trade both in domestic and international markets to characterize the degree of international financial integration. The paper argues that the cross-market premium (the ratio between the domestic and the international market price of cross-listed stocks) provides a valuable measure of international financial integration and the effectiveness of capital controls. Using Autoregressive (AR) models to estimate convergence speeds and non-linea...

  10. Quantifying the Relationship Between Financial News and the Stock Market

    OpenAIRE

    Alanyali, Merve; Moat, Helen Susannah; Preis, Tobias

    2013-01-01

    The complex behavior of financial markets emerges from decisions made by many traders. Here, we exploit a large corpus of daily print issues of the Financial Times from 2nd January 2007 until 31st December 2012 to quantify the relationship between decisions taken in financial markets and developments in financial news. We find a positive correlation between the daily number of mentions of a company in the Financial Times and the daily transaction volume of a company's stock both on the day be...

  11. Financial Derivatives Market for Grid Computing

    CERN Document Server

    Aubert, David; Lindset, Snorre; Huuse, Henning

    2007-01-01

    This Master thesis studies the feasibility and properties of a financial derivatives market on Grid computing, a service for sharing computing resources over a network such as the Internet. For the European Organization for Nuclear Research (CERN) to perform research with the world's largest and most complex machine, the Large Hadron Collider (LHC), Grid computing was developed to handle the information created. In accordance with the mandate of CERN Technology Transfer (TT) group, this thesis is a part of CERN's dissemination of the Grid technology. The thesis gives a brief overview of the use of the Grid technology and where it is heading. IT trend analysts and large-scale IT vendors see this technology as key in transforming the world of IT. They predict that in a matter of years, IT will be bought as a service, instead of a good. Commoditization of IT, delivered as a service, is a paradigm shift that will have a broad impact on all parts of the IT market, as well as on the society as a whole. Political, e...

  12. Financial markets, banking and the design of monetary policy: A stable baseline scenario

    OpenAIRE

    Florian Hartmann; Peter Flaschel

    2014-01-01

    A baseline integration of commercial banks into the disequilibrium framework with behavioral traders of Charpe et al. (2011, 2012) is presented. At the core of the analysis is the impact the banking sector exerts on the interaction of real and financial markets. Potentially destabilizing feedback channels in the presence of imperfect macroeconomic portfolio adjustment and heterogeneous expectations are investigated. Given the possible financial market instability, various policy instruments h...

  13. Marketing investment courage and financial performance - A study of profiles and financial implications among Finnish firms

    OpenAIRE

    Karvonen, Vilma

    2010-01-01

    The purpose of this study is to research what marketing investment courage is and how it can impact firms’ financial performance. The literature review provides a theoretical overview of marketing investments, their characteristics and targets, investment courage and the routes through which marketing investment courage can impact firms’ financial performance through actual investments. The empirical study investigates the current state of marketing investment courage among Finnish companies....

  14. Financial european integration policy of Ukraine

    OpenAIRE

    Kateryna Kovtonyuk

    2013-01-01

    The article reviews the theoretical foundations of legitimate nature of formation of the global financial space and its regional subsystems, which primarily influenced by the objective economic laws. It was proven that systemic interaction of these laws creates the foundation for the global financial space based on a comprehensive process of internationalisation of economic life in the form of integration and globalisation. Increased influence of these laws helps define integration as a leadi...

  15. Hierarchical structure of stock price fluctuations in financial markets

    International Nuclear Information System (INIS)

    The financial market and turbulence have been broadly compared on account of the same quantitative methods and several common stylized facts they share. In this paper, the She–Leveque (SL) hierarchy, proposed to explain the anomalous scaling exponents deviating from Kolmogorov monofractal scaling of the velocity fluctuation in fluid turbulence, is applied to study and quantify the hierarchical structure of stock price fluctuations in financial markets. We therefore observed certain interesting results: (i) the hierarchical structure related to multifractal scaling generally presents in all the stock price fluctuations we investigated. (ii) The quantitatively statistical parameters that describe SL hierarchy are different between developed financial markets and emerging ones, distinctively. (iii) For the high-frequency stock price fluctuation, the hierarchical structure varies with different time periods. All these results provide a novel analogy in turbulence and financial market dynamics and an insight to deeply understand multifractality in financial markets. (paper)

  16. Practical volatility and correlation modeling for financial market risk management

    OpenAIRE

    Andersen, Torben G.; Bollerslev, Tim; Christoffersen, Peter F.; Diebold, Francis X.

    2005-01-01

    What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in financial econometrics, which are likely to produce more accurate assessments of market risk. Clearly, the demands of real-world risk management in financial institutions - in particular, real-time risk tr...

  17. Aftershock prediction for high-frequency financial markets' dynamics

    OpenAIRE

    Baldovin, Fulvio; Camana, Francesco; Caraglio, Michele; Stella, Attilio L.; Zamparo, Marco

    2012-01-01

    The occurrence of aftershocks following a major financial crash manifests the critical dynamical response of financial markets. Aftershocks put additional stress on markets, with conceivable dramatic consequences. Such a phenomenon has been shown to be common to most financial assets, both at high and low frequency. Its present-day description relies on an empirical characterization proposed by Omori at the end of 1800 for seismic earthquakes. We point out the limited predic...

  18. Deepening Association of Southeast Asian Nations' financial markets

    OpenAIRE

    Lee, Choong Lyol; Takagi, Shinji

    2013-01-01

    This paper discusses the financial landscape of the Association of Southeast Asian Nations (ASEAN), a region engaged in building an economic community (a "single market and production base") by 2015. In particular, it reviews where ASEAN's financial markets and institutions now stand and suggests possible ways in which they might be developed further to meet the aspirations of the region. Diversity characterizes the ASEAN financial landscape today. While some countries have relatively develop...

  19. Financial european integration policy of Ukraine

    Directory of Open Access Journals (Sweden)

    Kateryna Kovtonyuk

    2013-07-01

    Full Text Available The article reviews the theoretical foundations of legitimate nature of formation of the global financial space and its regional subsystems, which primarily influenced by the objective economic laws. It was proven that systemic interaction of these laws creates the foundation for the global financial space based on a comprehensive process of internationalisation of economic life in the form of integration and globalisation. Increased influence of these laws helps define integration as a leading pattern of the global financial space. The multilevel system of the regional financial space contributes to its harmonisation and facilitation of accession of new players. It was ascertained that the European Union is one of the most successful integration associations. The necessity of Ukraine’s integration into the European financial sector was reasoned. The article contains the comparative analysis of statistics and financial and economic convergence indicators showing the prerequisites for expanding of the integration kernel (the Eurozone as well as of the most effective integration mechanism.

  20. Bank Competition and International Financial Integration: Evidence using a new Index

    OpenAIRE

    Pasricha, Gurnain

    2009-01-01

    In the debate on the benefits and costs of international financial integration recent literature has emphasized thresholds in the development of domestic markets as preconditions to benefitting from international integration. This paper offers an alternative view - that of development of competition in domestic markets as an aide to de-facto openness. Lack of competition in domestic financial systems may prevent countries from reaping the benefits of international integration simply because t...

  1. The Adoption of Digital Marketing in Financial Services under Crisis

    OpenAIRE

    Daj A.; Chirca A.

    2009-01-01

    Led by social media, online search, consumer generated content, virtual communities, and considering the increased focus on digital technologies, the longer-term prospects for digital marketing and the global online medium continue to be bright. Given the recent decline of the financial markets and the economic fallout, financial institutions have to implement new digital marketing techniques both for cost optimization and for dealing with the crisis of confidence.

  2. Financial super-markets: size matters for asset trade

    OpenAIRE

    Martin, Philippe; Rey, Helene

    2000-01-01

    The paper presents a two-country macroeconomic model in which the number of financial assets is endogenous. Imperfect substitutability of assets and international transaction costs give a comparative advantage to large markets, because of demand effects. Agents have more incentives to undertake risky investments on those markets; they can also diversify risk at a lower cost. Prices of financial assets are higher in the large area because asset markets are broader. We also analyse the impact o...

  3. Investigating Contagion and Market Interdependence during the Global Financial Crisis

    OpenAIRE

    Filip Iorgulescu

    2015-01-01

    This paper examines the roles played by market interdependence and contagion in the propagation of the 2007-2009 global financial crisis. For this purpose, five aggregate indices were employed, representing all the major financial markets from each geographical region. The data series are daily and they cover the period between 2002 and 2014. The presence of contagion and market interdependence was assessed by means of the values and value changes of the correlation coefficients between the a...

  4. 78 FR 8114 - Request for Information Regarding Financial Products Marketed to Students Enrolled in...

    Science.gov (United States)

    2013-02-05

    ...education provided access to financial institutions to market credit cards to students...decision? (d) How do financial institutions market these products to students...higher education and financial institutions market these cards to...

  5. 75 FR 79982 - Authority To Designate Financial Market Utilities as Systemically Important

    Science.gov (United States)

    2010-12-21

    ...problems spreading among financial institutions or markets and thereby threaten...problems spreading among financial institutions or markets and thereby threaten...would have on critical markets, financial institutions, or the broader...

  6. 77 FR 9592 - Defining Larger Participants in Certain Consumer Financial Product and Service Markets

    Science.gov (United States)

    2012-02-17

    ...Consumer Financial Protection...of certain markets, the activities...depository institutions or insured...the Federal Financial Institutions Examination...collection market. As the...geographic markets, and taking...consumer financial products...which such institutions are...

  7. 76 FR 17047 - Authority To Designate Financial Market Utilities as Systemically Important

    Science.gov (United States)

    2011-03-28

    ...problems spreading among financial institutions or markets and thereby threaten...problems spreading across financial institutions and markets and thereby threaten...would have on critical markets, financial institutions, or the broader...

  8. Economic implications of corporate financial reporting in brazilian and european financial markets

    OpenAIRE

    C. Benetti

    2010-01-01

    The main objective of this study is to determine how the people involved in the accounting process consider the role of accounting information in an economic environment where capital markets play a major role. The study is also aimed at determining whether International Financial Reporting Standards (IFRS) will help fulfill this role. To this end, we compare the perceptions of financial officers, financial analysts and auditors, using Europe as a proxy for a highly developed capital market e...

  9. Sustainable financial markets: Financial transaction tax and high capital buffers indispensable

    OpenAIRE

    Schäfer, Dorothea

    2013-01-01

    The sustainability of the financial markets is a requirement that has only appeared on the economic policy agenda very recently, whereas a stable financial system has been a declared goal for decades. The relationship between sustainability and stability is, however, still unclear. The two terms are often used synonymously but stability is only one part of sustainability. The following outlines the requirements for sustainable financial markets based on the current general principles of envir...

  10. Eroding market stability by proliferation of financial instruments

    Science.gov (United States)

    Caccioli, F.; Marsili, M.; Vivo, P.

    2009-10-01

    We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setting. The proliferation of financial instruments apparently provides more means for risk diversification, making the market more efficient and complete. In the simple market of interacting traders discussed here, the proliferation of financial instruments erodes systemic stability and it drives the market to a critical state characterized by large susceptibility, strong fluctuations and enhanced correlations among risks. This suggests that the hypothesis of APT may not be compatible with a stable market dynamics. In this perspective, market stability acquires the properties of a common good, which suggests that appropriate measures should be introduced in derivative markets, to preserve stability. in here

  11. Notional and Essential Characteristics of the World Financial Market ?????????? ? ?????????? ?????????????? ???????? ??????????? ?????

    Directory of Open Access Journals (Sweden)

    Vlasenko Marina A.

    2013-03-01

    Full Text Available The article considers interpretations of the notion of the world financial market of domestic and foreign scientists, studies existing classification approaches and approaches to structuring the world financial market. It reveals the following main features of structuring: 1 dependence on national systems of monetary and credit regulation; 2 term of realisation and 3 type of a financial tool (financial asset. It offers an improved interpretation of the notion of a financial tool and reveals features of attribution of an economic phenomenon to a financial tool: 1 contract, security or any other form of fixation of contractual relations; 2 mandatory availability of minimum 2 parties: appearance or increase of an asset of one party and liability of the other party; 3 asset and liability are financial and not trade ones.? ?????? ??????????? ????????? ??????? ???????? ??????????? ????? ?????????????? ? ???????????? ???????, ??????? ???????????? ????????????????? ??????? ? ??????? ? ?????????????? ???????? ??????????? ?????. ???????? ????? ???????? ???????? ??????????????, ???: 1 ???????????????? ???????????? ???????? ???????-?????????? ?????????????; 2 ???? ?????????? ? 3 ??? ??????????? ??????????? (??????????? ??????. ?????????? ??????????????????? ????????? ??????? ??????????? ??????????? ? ???????? ???????? ????????? ?????????????? ??????? ? ??????????? ???????????: 1 ???????, ?????? ?????? ???? ?????? ????? ??????????? ?????????? ?????????; 2 ???????????? ??????? ??????? 2-? ??????: ????????????? ??? ?????????? ?????? – ? ????? ??????? ? ??????? – ? ??????; 3 ????? ? ?????? ???????? ???????????, ? ?? ?????????.

  12. Economic and financial analysis of the portuguese art market

    OpenAIRE

    Nabais, Débora Amaral de Matos

    2015-01-01

    A Dissertation presented in partial fullfillment of the Requirements for the Degree of Master in Art Markets Management / JEL Classifications: D400 Market Structure and Pricing D440 Auctions G100 General Financial Markets Z11 Economics of the Arts and Literature

  13. Taxing the Financially Integrated Multinational Firm

    DEFF Research Database (Denmark)

    Johannesen, Niels

    2010-01-01

    This paper develops a theoretical model of corporate taxation in the presence of financially integrated multinational firms. Under the assumption that multinational firms at least partly use internal loans to finance foreign investment, we find that the optimal corporate tax rate is positive from the perspective of a small, open economy. This finding contrasts the standard result that the optimal source based capital tax is zero. Intuitively, to the extent that multinational firms finance investment in country i with loans from affiliates in country j, the burden of corporate taxes in the latter country partly fall on investment and thus workers in the former country. This tax exporting mechanism introduces a scope for corporate taxes, which is not present in standard models of international taxation. Accounting for the internal capital markets of multinational firms thus represents a way to resolve the tension between standard theory predicting zero capital taxes and the casual observation that countries tend to employ corporate taxes at fairly high rates.

  14. Does the Sustainable PPI Investments Promote Financial Market’s Sustainable Development?

    Directory of Open Access Journals (Sweden)

    Tong Fu

    2016-01-01

    Full Text Available Since the late 1980s, most developing countries adopt a policy of attracting investments for Private Participation in Infrastructure (PPI projects. With a perspective of sustainability, this paper offers a first attempt to examine whether the sustainable PPI investments promote financial market development. First, we demonstrate how the PPI policy enlargers the size of financial markets and then fosters the liquidity of financial markets in the static and dynamic conditions. Using the data from 33 developing countries during 1997–2012, we discover the significant promotion effect of PPI investments on the development of financial markets in the dimensions of size and liquidity. Additionally, we confirm the significant mediator effect of financial market size for the positive relationship between PPI investments and financial market liquidity. Both the promotion effect and mediation effect are robust to different control variables and estimation techniques used.

  15. Diversifying in the Integrated Markets of ASEAN+3 : A Quantitative Study of Stock Market Correlation

    OpenAIRE

    Stark, Caroline; Nordell, Emelie

    2010-01-01

    There is evidence that globalization, economic assimilation and integration among countries and their financial markets have increased correlation among stock markets and the correlation may in turn impact investors’ allocation of their assets and economic policies. We have conducted a quantitative study with daily stock index quotes for the period January 2000 and December 2009 in order to measure the eventual correlation between the markets of ASEAN+3. This economic integration consists of;...

  16. INDIVIDUAL INVESTORS AND THE FINANCIAL CRISIS : TOWARDS A SCALE OF LOYALTY : APPLICATION TO TUNISIAN FINANCIAL MARKET

    Directory of Open Access Journals (Sweden)

    JAHMANE Abderrahman

    2011-10-01

    Full Text Available Retail investors are now a class of stock exchange operators whose importance is growing in most international markets. But following the events of the financial crisis the world has known, there was a lack of trust between investors and financial markets, which we pose the problem of retention of investors and the indicators which are based on their behavior discision and stay on the market.

  17. CONSIDERATIONS ON THE ROLE OF FINANCIAL MARKETS IN ECONOMIC GROWTH

    Directory of Open Access Journals (Sweden)

    Carmen ALBU

    2014-06-01

    Full Text Available Generally accepted in economic literature, the financial market has a positive impact on growth in a modern economy. Nevertheless, due to the global crises starting in 2008, a number of authors are questioning today about this assertion. Among them, there are authors which are attributing as initial impulse to the crisis an exaggerated expansion of financial market (and non-covered on the real side of economy. In this study, based on economic literature and empirical evidences, we are presentig few considerations regarding the development of financial market during last decades and its role on economic growth.

  18. FINANCIAL CYCLES – THE SYNCHRONIZATION WITH FINANCIAL CRISES

    Directory of Open Access Journals (Sweden)

    Liliana DONATH

    2014-11-01

    Given the multidimensional interactions between financial and economic cycles, a close monitoring of cycles in financial markets should be an integral part of macroeconomic surveillance and policy design.

  19. Strategic Opportunities Afforded by Integrated Marketing

    OpenAIRE

    CONSTANTIN SASU

    2006-01-01

    This paper explores integrated marketing, examines how integrated marketing differs from traditional definitions of marketing, and offers insights into what kinds of institutions might most benefit from integrated marketing. It closes with a brief outline of the components of an integrated marketing plan.

  20. Quantifying Trading Behavior in Financial Markets Using Google Trends

    OpenAIRE

    Tobias Preis; Helen Susannah Moat; H. Eugene Stanley

    2013-01-01

    Crises in financial markets affect humans worldwide. Detailed market data on trading decisions reflect some of the complex human behavior that has led to these crises. We suggest that massive new data sources resulting from human interaction with the Internet may offer a new perspective on the behavior of market participants in periods of large market movements. By analyzing changes in Google query volumes for search terms related to finance, we find patterns that may be interpreted as “early...

  1. Repo funding and internal capital markets in the financial crisis

    OpenAIRE

    Düwel, Cornelia

    2013-01-01

    This paper examines how the exposure of German parent banks to the disruptions on sale and repurchase markets (repo markets) during the financial crisis has affected their provision of funds to their foreign branches and subsidiaries via bank-internal capital markets. The collapse of the subprime market, the rescue of Bear Stearns and the bankruptcy of Lehman Brothers are analyzed with regard to their role as amplifiers of uncertainty about the value of collateral used in repo transactions an...

  2. MODELS OF DOMESTIC FINANCIAL MARKET ON STAGE STRUCTURAL TRANSFORMATIONS

    Directory of Open Access Journals (Sweden)

    ?.?. ??????

    2011-12-01

    Full Text Available  an expediency of adjustable model of Ukrainian financial market as classical variant for institutional environment of modern economy of transitional period is grounded here according to generalized experience of using of foreign models.

  3. Building credibility in international banking and financial markets

    DEFF Research Database (Denmark)

    Jørgensen, Poul Erik Flyvholm; Isaksson, Maria

    2008-01-01

    practitioners and to academic writing courses. Additionally, our application of the credibility appeals disconfirms the expectation that financial services providers are increasingly branding themselves to the market on the basis of their character and concern for customers' well-being....

  4. The liberalisation of Chinese financial markets: (September 2012).

    Czech Academy of Sciences Publication Activity Database

    Semerák, Vilém

    Singapore : World Scientific, 2015 - (Brown, K.), s. 309-326 ISBN 978-1-78326-454-4 Institutional support: RVO:67985998 Keywords : financial markets * China * liberalisation Subject RIV: AH - Economics

  5. On utility maximization in discrete-time financial market models

    CERN Document Server

    Rasonyi, M; Rasonyi, Miklos; Stettner, Lukasz

    2005-01-01

    We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are constructed using optimal strategies.

  6. Derivatives, Hedge Accounting Disclosure And Impact On Indian Financial Market

    Directory of Open Access Journals (Sweden)

    Prabhakara T

    2013-09-01

    Full Text Available In India, the emergence and growth of derivatives market is relatively a recent phenomenon. Since its inception in June 2000, derivatives market has exhibited exponential growth both in terms of volume and number of contract traded. The market turnover has grown from Rs.2365 Cr. in 2000-2001 to Rs.16807782.22 Cr. in 2012-13. Within a short span of twelve years, derivatives trading in India has surpassed cash segment in terms of turnover and number of traded contracts. The passed study encompasses in its objective and significance, concept, definition, types, features, market, trend, growth, Future prospects and challenges of derivatives in India. The problem is concerned with financial risks or not and why? Thus, the article reviews the use of derivative financial instruments for financial hedge and their effects to minimize the financial risks of the entities and bankrupt entities as well as their impacts on financial markets through decisions of investors and managers because their decisions are based on analysis results of financial statements. A country's accounting policy has not applied the derivative financial instruments for financial hedging, leading to affect that country's economy or not? Especially, the financial markets of Indian countries with similar economies have not also applied the hedge accounting to their hedge activities. The article uses the accounting theories of international accounting standards and Generally Accepted Accounting Principles and applies the methods of statistical data analysis about Indian derivatives market to show the results of hedge accounting that are concerned with the performance of derivatives products in Indian marke

  7. Essays on Irrational Behavior in Financial Markets

    OpenAIRE

    Martelin, Nicolas

    2014-01-01

    Personal preferences along with cognitive biases create the behavioral heterogeneity of a given market. In this thesis we study three markets that are completely different from each other and have their own peculiarities: the stock market (US equity funds), the option market (S&P500 index options) and the art market (Impressionist and Modern, Post-war and Contemporary, American, and Latin American art indices).

  8. Multiple Time Series Ising Model for Financial Market Simulations

    International Nuclear Information System (INIS)

    In this paper we propose an Ising model which simulates multiple financial time series. Our model introduces the interaction which couples to spins of other systems. Simulations from our model show that time series exhibit the volatility clustering that is often observed in the real financial markets. Furthermore we also find non-zero cross correlations between the volatilities from our model. Thus our model can simulate stock markets where volatilities of stocks are mutually correlated

  9. Transaction Costs and Informational Cascades in Financial Markets

    OpenAIRE

    Marco Cipriani; Antonio Guarino

    2008-01-01

    "We study the effect of transaction costs (e.g., a trading fee or a transaction tax, like the Tobin tax) on the aggregation of private information in financial markets. We implement a financial market with sequential trading and transaction costs in the laboratory. According to theory, eventually all traders neglect their private information and abstain from trading (i.e., a no-trade informational cascade occurs). We find that, in the experiment, informational no-trade cascades occur when the...

  10. Limited financial market participation: A transaction cost-based explantation

    OpenAIRE

    Paiella, Monica

    2001-01-01

    This paper focuses on the issue of limited financial market participation and determines a lower bound on the level of fixed transaction costs that are required to reconcile observed portfolio choices with asset returns within an isoelastic utility framework. The bound is determined from the set of conditions that ensure the optimality of consumption behavior by financial market non-participants. It represents the lowest possible cost rationalizing observed non-participation choices by provid...

  11. Limited financial market participation: a transaction cost-based explanation

    OpenAIRE

    Paiella, M.

    2001-01-01

    This paper focuses on the issue of limited financial market participation and determines a lower bound on the level of fixed transaction costs that are required to reconcile observed portfolio choices with asset returns within an isoelastic utility framework. The bound is determined from the set of conditions that ensure the optimality of consumption behavior by financial market non-participants. It represents the lowest possible cost rationalizing observed non-participation ch...

  12. Globalisation And Its Impact On The Lithuanian Financial Market

    OpenAIRE

    Urbšien?, Laimut?

    2012-01-01

    The object of the study is Lithuanian financial market in the global context. The study aims to conceptualize the term of globalisation and by means of economic analysis principles to identify and comprehensively assess the impact of globalisation on the Lithuanian financial market. For this purpose the author has conducted a comparative analysis of the theoretical concepts of globalisation and has conceptualized the term of globalization from the paradigmatic aspect, analyzed and systematiz...

  13. A Knowledge-Based Consultant for Financial Marketing

    OpenAIRE

    Kastner, John; Apte, Chidanand; Griesmer, James

    1986-01-01

    This article describes an effort to develop a knowledge-based financial marketing consultant system. Financial marketing is an excellent vehicle for both research and application in artificial intelligence (AI). This domain differs from the great majority of previous expert system domains in that there are no well-defined answers (in traditional sense); the goal here is to obtain satisfactory arguments to support the conclusions made. A large OPS5-based system was implemented as an initial pr...

  14. How to recover from the financial market flu.

    Science.gov (United States)

    Doody, Dennis

    2008-05-01

    The widely publicized subprime mortgage crisis and soaring crude oil prices have contributed to considerable market volatility in recent months, inducing queasiness among institutional investors. A four-layer approach to asset allocation that carefully considers assets, liquidity, currency, and risk may be the best strategy for maintaining an institution's financial health through today's volatile market. Perhaps the biggest challenge in such financially turbulent times is keeping fear in check. PMID:18546970

  15. International Stock Market Comovements: What Happened during the Financial Crisis?.

    Czech Academy of Sciences Publication Activity Database

    Horváth, Roman; Poldauf, P.

    2012-01-01

    Ro?. 12, ?. 1 (2012), s. 1-21. ISSN 1524-5861 R&D Projects: GA ?R GA402/09/0965 Institutional research plan: CEZ:AV0Z10750506 Institutional support: RVO:67985556 Keywords : stock market comovements * financial crisis * GARCH Subject RIV: AH - Economics http://library.utia.cas.cz/separaty/2012/E/horvath-international stock market comovements what happened during the financial crisis.pdf

  16. EVALUATION OF CONTRIBUTION OF DEBT MARKET IN INDIAN FINANCIAL MARKET: AN EMPIRICAL STUDY

    Directory of Open Access Journals (Sweden)

    K. Ekambaram

    2014-12-01

    Full Text Available Indian Debt market is the financial market with two segment viz. the government securities market and corporate bond market, but the size of the latter is only about 14% of the total debt market. This is reflective of both, the relative recurrent fiscal deficits and the underdeveloped status of the corporate debt market. In spite of liberalization in stock market the share of debt market is still at bottom level when we compare it with equity market. Even in debt market the major portion is in the form of private placement.

  17. Financial Literacy: Getting beyond the Markets

    Science.gov (United States)

    Stanford, Jim

    2010-01-01

    Recently, several Canadian provinces have added financial literacy into core curriculum for high school students, and in his 2009 budget, federal Finance Minister Jim Flaherty announced the creation of a Task Force to evaluate current financial literacy initiatives. Typically, these initiatives focus on "individual responsibility", implying that…

  18. Diffusion entropy analysis on the scaling behavior of financial markets

    CERN Document Server

    Cai, S M; Yang, C X; Yang, H J; Zhou, P L; Zhou, T

    2006-01-01

    In this paper the diffusion entropy technique is applied to investigate the scaling behavior of financial markets. The scaling behaviors of four representative stock markets, Dow Jones Industrial Average, Standard&Poor 500, Heng Seng Index, and Shang Hai Stock Synthetic Index, are almost the same; with the scale-invariance exponents all in the interval $[0.92, 0.95]$. These results provide a strong evidence of the existence of long-rang correlation in financial time series, thus several variance-based methods are restricted for detecting the scale-invariance properties of financial markets. In addition, a parsimonious percolation model for stock markets is proposed, of which the scaling behavior agrees with the real-life markets well.

  19. Analysis of Financial Markets' Fluctuation by Textual Information

    Science.gov (United States)

    Izumi, Kiyoshi; Goto, Takashi; Matsui, Tohgoroh

    In this study, we proposed a new text-mining methods for long-term market analysis. Using our method, we analyzed monthly price data of financial markets; Japanese government bond market, Japanese stock market, and the yen-dollar market. First we extracted feature vectors from monthly reports of Bank of Japan. Then, trends of each market were estimated by regression analysis using the feature vectors. As a result, determination coefficients were over 75%, and market trends were explained well by the information that was extracted from textual data. We compared the predictive power of our method among the markets. As a result, the method could estimate JGB market best and the stock market is the second.

  20. Financial Market Regulation in Germany - Capital Requirements of Financial Institutions

    Directory of Open Access Journals (Sweden)

    Daniel Karl Detzer

    2015-03-01

    Full Text Available This paper examines capital adequacy regulation in Germany. The first part reviews capital adequacy regulation from the 1930s up to the financial crisis and identifies two main trends: a gradual softening of the eligibility criteria for equity and increasing reliance on internal risk models. While the first trend has been reversed following the financial crisis, internal risk models still play a central role. Therefore, the second part discusses the problems with the use of internal risk models and discusses the potentials of Basel 2.5 and Basel III to alleviate the identified problems. It is concluded that the relevant problems are not resolved. Therefore, in the final part some suggestions of how the problems could be addressed properly are given.

  1. Dissecting financial markets Sectors and states

    CERN Document Server

    Marsili, M

    2002-01-01

    By analyzing a large data set of daily returns with data clustering technique, we identify economic sectors as clusters of assets with a similar economic dynamics. The sector size distribution follows Zipf's law. Secondly, we find that patterns of daily market-wide economic activity cluster into classes that can be identified with market states. The distribution of frequencies of market states shows scale-free properties and the memory of the market state process extends to long times ($\\sim 50$ days). Assets in the same sector behave similarly across states. We characterize market efficiency by analyzing market's predictability and find that indeed the market is close to being efficient. We find evidence of the existence of a dynamic pattern after market's crashes.

  2. Integrating Europe's Securities Markets: The Way Forward

    Directory of Open Access Journals (Sweden)

    Daniel Mark Azzopardi

    2011-08-01

    Full Text Available Having been earmarked as one of the primary objectives towards the creation of the Single Market from early on, the consolidation of securities legislation in the EU really took off under the auspices of the Financial Services Action Plan (or FSAP.The implementation of the Plan’s objectives was achieved most successfully through the Lamfalussy approach, a four-level model which was applied successfully to many framework Directives. While the creation of a single legal framework for the Union was in development, numerous efforts had also been made towards other aspects of market integration, namely convergence in interpretation, supervision and enforcement. With the latest round of proposals put forward by the Commission, the European securities market has never looked more likely to becoming a truly unified and singular entity. This article provides a brief overview on how the EU has fared thus far on this monumental project, while highlighting areas which need to be improved, and what measures can be taken to improve them. The article also discusses the latest measures taken by the EU to create a supervisory architecture in the financial services sphere, primarily through the introduction of three regulatory authorities for banking, insurance and securities, with particular focus on the new European Securities Market Authority.

  3. Higher-order phase transitions on financial markets

    Science.gov (United States)

    Kasprzak, A.; Kutner, R.; Perelló, J.; Masoliver, J.

    2010-08-01

    Statistical and thermodynamic properties of the anomalous multifractal structure of random interevent (or intertransaction) times were thoroughly studied by using the extended continuous-time random walk (CTRW) formalism of Montroll, Weiss, Scher, and Lax. Although this formalism is quite general (and can be applied to any interhuman communication with nontrivial priority), we consider it in the context of a financial market where heterogeneous agent activities can occur within a wide spectrum of time scales. As the main general consequence, we found (by additionally using the Saddle-Point Approximation) the scaling or power-dependent form of the partition function, Z(q'). It diverges for any negative scaling powers q' (which justifies the name anomalous) while for positive ones it shows the scaling with the general exponent τ(q'). This exponent is the nonanalytic (singular) or noninteger power of q', which is one of the pilar of higher-order phase transitions. In definition of the partition function we used the pausing-time distribution (PTD) as the central one, which takes the form of convolution (or superstatistics used, e.g. for describing turbulence as well as the financial market). Its integral kernel is given by the stretched exponential distribution (often used in disordered systems). This kernel extends both the exponential distribution assumed in the original version of the CTRW formalism (for description of the transient photocurrent measured in amorphous glassy material) as well as the Gaussian one sometimes used in this context (e.g. for diffusion of hydrogen in amorphous metals or for aging effects in glasses). Our most important finding is the third- and higher-order phase transitions, which can be roughly interpreted as transitions between the phase where high frequency trading is most visible and the phase defined by low frequency trading. The specific order of the phase transition directly depends upon the shape exponent α defining the stretched exponential integral kernel. On this basis a simple practical hint for investors was formulated.

  4. The Effects of the Global Financial Crisis on China's Financial Market and Macroeconomy

    OpenAIRE

    Nan Zhang; Linyue Li; Willett, Thomas D.

    2012-01-01

    This paper provides a brief review of the increasing importance of China in the world economy and discusses the spillover effects of the global financial crisis on China's financial markets and macroeconomy. It presents and critiques alternative ways of estimating these effects. Contrary to much popular discussion, China was hit fairly hard by the global recession generated by the financial crisis. It suffered a huge drop in exports, and these effects on the economy were only partially offset...

  5. Financial Repression To Financial Liberalisation Of Indian Banking And Capital Market Sectors (pre &post 1991 Reforms)

    OpenAIRE

    Raghavendra Rao Rentala

    2012-01-01

    Financial sector of any Economy is multi-faceted term. It refers to legal and institutional arrangements, financial intermediaries, markets and instruments with both domestic and external dimensions. The Economic Development of a nation is reflected by the progress of the various economic units, broadly classified into Corporate sector, Government and Household sector. While performing their activities these units will be placed in a surplus/deficit/balanced budgetary situations.Financial sy...

  6. Nigeria : Financial Sector Review, Volume 3. Non-Bank Financial Institutions and Markets

    OpenAIRE

    World Bank

    2000-01-01

    This report is a comprehensive review of the Nigerian financial system, covering the following areas: i) macro-financial environment; ii) safety and soundness of the banking system; iii) banking supervision; iv) development finance institutions; v) community banks and commercial banks' rural operations; vi) insurance and pensions; vii) housing finance; viii) money and capital markets; and ...

  7. Marketing of Professional and Financial Services in Croatia

    OpenAIRE

    Durdana Ozretic Dosen; Tanja Kesic; Jozo Previsic

    1999-01-01

    Based on sample survey of professional and financial service companies in Croatia, in this article, the authors try to analyse their marketing orientation in business practices. With the help of the data they assess the extent of companies’ understanding of usefulness of marketing — concepts, methods and techniques — in their daily operations.

  8. Ambiguity Aversion and Incompleteness of Financial Markets

    OpenAIRE

    Mukerji, Sujoy; Tallon, Jean-Marc

    2001-01-01

    It is widely thought that incomes risks can be shared by trading infinancial assets. But financial assets typically carry some riskidiosyncratic to them, hence, disposing incomes risk using financial assetswill involve buying into the inherent idiosyncratic risk. However, standardtheory argues that diversification would reduce the inconvenience ofidiosyncratic risk to arbitrarily low levels. This argument is less robustthan what standard theory leads us to believe: ambiguity aversion canexace...

  9. Interaction of formal and informal financial markets in quasi-emerging market economies

    OpenAIRE

    Ngalawa, Harold; Viegi, Nicola

    2013-01-01

    The primary objective of this paper is to investigate the interaction of formal and informal financial markets and their impact on economic activity in quasi-emerging market economies. Using a four-sector dynamic stochastic general equilibrium model with asymmetric information in the formal financial sector, we come up with three fundamental findings. First, we demonstrate that formal and informal financial sector loans are complementary in the aggregate, suggesting that an increa...

  10. Financial Investment Management: Testing the Market Model on the Romanian Capital Market during the Post Financial Crisis

    Directory of Open Access Journals (Sweden)

    Radu CIOBANU

    2011-06-01

    Full Text Available This article presents an analysis of the decision of investing in the capital market in Romania during 2009-2010, in the context of overcoming the global financial crisis. In the first part of the paper, we have made a brief presentation of the simplified model of market analysis introduced in the specialized literature by William Sharpe, the respective model representing the starting point in our study. The purpose of the present study is to emphasize how the evolutions of the financial securities rates listed on the Bucharest Stock Exchange could be explained based on the evolution of BET Romanian capital market index. Although the study over this phenomenon has begun in the middle of the last century, every day new studies appear that are either coming in addition to the already existing ones or are bringing a new approach regarding the financial theory. The novelty of the present study conducted by us resides in the highlighting of the evolutions of the financial securities rates during July 2009 – December 2010 periods. The second part of the paper presents the results of a study conducted on the Romanian capital market, emphasizing the correlations between the most important securities on the Romanian capital market, as parts of BET index and market index. The aim is to check whether during this period the evolution of the financial securities’ return can be explained more or less by the return of the capital market.

  11. A statistical physics perspective on criticality in financial markets

    International Nuclear Information System (INIS)

    Stock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties suggest that markets operate at a very special point. Financial markets are believed to be critical by analogy to physical systems, but little statistically founded evidence has been given. Through a data-based methodology and comparison to simulations inspired by the statistical physics of complex systems, we show that the Dow Jones and index sets are not rigorously critical. However, financial systems are closer to criticality in the crash neighborhood. (paper)

  12. A statistical physics perspective on criticality in financial markets

    Science.gov (United States)

    Bury, Thomas

    2013-11-01

    Stock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties suggest that markets operate at a very special point. Financial markets are believed to be critical by analogy to physical systems, but little statistically founded evidence has been given. Through a data-based methodology and comparison to simulations inspired by the statistical physics of complex systems, we show that the Dow Jones and index sets are not rigorously critical. However, financial systems are closer to criticality in the crash neighborhood.

  13. A statistical physics perspective on criticality in financial markets

    CERN Document Server

    Bury, Thomas

    2013-01-01

    Stock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties suggest that markets operate at a very special point. Financial markets are believed to be critical by analogy to physical systems but few statistically founded evidence have been given. Through a data-based methodology and comparison to simulations inspired by statistical physics of complex systems, we show that the Dow Jones and indices sets are not rigorously critical. However, financial systems are closer to the criticality in the crash neighborhood.

  14. Consolidated supervision of financial institutions and financial market in the Republic of Croatia

    Directory of Open Access Journals (Sweden)

    Bojana Olgi? Draženovi?

    2005-06-01

    Full Text Available The question of regulation and supervision of all parts of financial system is of major importance for any country. In order to protect the interest of the society and to accelerate the economic development, it is necessary to provide adequate legal framework as well as independent supervision institutions. The regulations refer mostly to maintenance of financial stability and consumer protection. The article points out that the structure of the financial sector in the Republic of Croatia is underdeveloped and characterized by domination of the banking sector. Therefore, bank supervision is one of the main tasks of Croatian national bank and all other financial institutions (except banks are regulated by other regulatory institutions. The problems of authority overlapping and insufficient regulation are becoming more complex by the development of financial sector and especially by the deregulation of financial markets. Because of that, it is reasonable to investigate the existing regulatory framework of Croatian financial system concerning its structure and development.

  15. Testing for Detailed Balance in a Financial Market

    OpenAIRE

    Fiebig, Rudolf; Musgrove, David

    2014-01-01

    We test a historical price time series in a financial market (the NASDAQ 100 index) for a statistical property known as detailed balance. The presence of detailed balance would imply that the market can be modeled by a stochastic process based on a Markov chain, thus leading to equilibrium. In economic terms, a positive outcome of the test would support the efficient market hypothesis, a cornerstone of neo-classical economic theory. In contrast to the usage in prevalent econ...

  16. The Market for Financial Derivatives: Removing Impediments to Growth

    OpenAIRE

    Bacha, Obiyathulla I.

    2004-01-01

    This paper begins with an evaluation of the performance of the Malaysian market for financial derivatives. Despite a headstart, Malaysia appears to be lagging substantially when compared to the performance of other Asian derivative markets. While the other Asian markets though newer, have seen explosive growth in volume, trading volume in Malaysia appears to have shrunk. We examine why this has been the case and identify several macro and micro level impediments. Among macro level impedim...

  17. What drives financial markets? Real-time macroeconomic indicators

    OpenAIRE

    Hansen, Jakob Lage

    2006-01-01

    It is difficult to identify the driving forces behind financial market developments as they are not directly observable. The paper argues that correlations between asset prices in different markets can be used to infer which of five macroeconomic factors that drive markets (growth and inflation in the euro area and the US respectively and global risk appetite). The asset pricing in the model follows standard finance theory, but the resulting indicators are novel. The indicators are useful as ...

  18. Order Book, Financial Markets and Self-Organized Criticality

    CERN Document Server

    Biondo, Alessio Emanuele; Rapisarda, Andrea

    2016-01-01

    We present a simple order book mechanism that regulates an artificial financial market with self-organized criticality dynamics and fat tails of returns distribution. The model shows the role played by individual imitation in determining trading decisions, while fruitfully replicates typical aggregate market behavior as the "self-fulfilling prophecy". We also address the role of random traders as a possible decentralized solution to dampen market fluctuations.

  19. Dynamics of a financial market index after a crash

    OpenAIRE

    Fabrizio Lillo; Mantegna, Rosario N.

    2002-01-01

    We discuss the statistical properties of index returns in a financial market just after a major market crash. The observed non-stationary behavior of index returns is characterized in terms of the exceedances over a given threshold. This characterization is analogous to the Omori law originally observed in geophysics. By performing numerical simulations and theoretical modelling, we show that the nonlinear behavior observed in real market crashes cannot be described by a GARCH(1,1) model. We ...

  20. Co-movements between Latin American and U.S. stock markets: convergence after the financial crisis

    OpenAIRE

    Ramírez Hassan, Andrés; Pantoja Robayo, Javier

    2013-01-01

    Currently, the world is facing a continuous process of integration in different aspects and financial markets are no exception to this development. Despite the fact that global integration is gradual, one can find some specific events that might help to accelerate this trend. This paper shows that after the financial crisis of 2008, which mainly occurred in the United States, the Latin American stock markets exhibit a higher level of convergence, measured by the correlation between the annual...

  1. Quantifying Trading Behavior in Financial Markets Using Google Trends

    Science.gov (United States)

    Preis, Tobias; Moat, Helen Susannah; Stanley, H. Eugene

    2013-04-01

    Crises in financial markets affect humans worldwide. Detailed market data on trading decisions reflect some of the complex human behavior that has led to these crises. We suggest that massive new data sources resulting from human interaction with the Internet may offer a new perspective on the behavior of market participants in periods of large market movements. By analyzing changes in Google query volumes for search terms related to finance, we find patterns that may be interpreted as ``early warning signs'' of stock market moves. Our results illustrate the potential that combining extensive behavioral data sets offers for a better understanding of collective human behavior.

  2. Financial market heterogeneity: Implications for the EMU

    OpenAIRE

    Gareis, Johannes; Mayer, Eric

    2012-01-01

    This paper evaluates business cycle and welfare effects of cross-country mortgage market heterogeneity for a monetary union. By employing a calibrated two-country New Keynesian DSGE model with collateral constraints tied to housing values, we show that a change in cross-country institutional characteristics of mortgage markets, such as the LTV ratio, is likely to be an important driver of an asymmetric development in housing markets and real economic activity of member states. Our welfare ana...

  3. Market Discipline and the Use of Stock Market Data to Predict Bank Financial Distress

    OpenAIRE

    Distinguin, Isabelle; Rous, Philippe; Tarazi, Amine

    2006-01-01

    We assess the extent to which stock market information can be used to estimate leading indicators of bank financial distress. We specify a logit early warning model, designed for European banks, which tests if market based indicators add predictive value to models relying on accounting data. We also study the robustness of the link between market information and financial downgrading in the light of the safety net and asymmetric information hypotheses. Some of our results support the use of m...

  4. A Threshold Model of Financial Markets

    Science.gov (United States)

    Sieczka, P.; Ho?yst, J. A.

    2008-09-01

    We proposed a model of interacting market agents based on the generalized Ising spin model. The agents can take three actions: "buy", "sell", or "stay inactive". We defined a price evolution in terms of the system magnetization. The model reproduces main stylized facts of real markets such as: fat-tailed distribution of returns and volatility clustering.

  5. Predicting Financial Distress in the Hong Kong Growth Enterprises Market from the Perspective of Financial Sustainability

    Directory of Open Access Journals (Sweden)

    Hui Hu

    2015-01-01

    Full Text Available The present study, according to our knowledge, is the first attempt to establish a financial distress prediction model for a unique set of enterprises, which are the enterprises listed on the specialized Hong Kong Growth Enterprise Market. It also makes an analysis of corporate financial sustainability and its relationship to financial distress prediction. The logistic regression and jackknife method are used to test the predictability of various models with data drawn from the Growth Enterprise Market for the years 2000–2010. The study finds that a model that includes firm-specific financial variables, firm-specific non-financial variables and a macro-economic variable is a better predictor of financial distress than is a model that includes only the first set of variables or a model that includes the latter two sets of variables. It also finds that a model that includes the latter two sets of variables is a better predictor of financial distress than is a model that includes only the first set of variables. These findings are vital for financial sustainability, as investors, policymakers, auditors and stakeholders of this market would find the conclusions emanating from the study extremely useful.

  6. Market integration and market concentration in horizontally differentiated industries

    OpenAIRE

    Eckel, Carsten

    2001-01-01

    This paper derives the impact of market integration on equilibrium firm size and market concentration in horizontally differentiated industries. We show that market concentration (measured by the number of firms) can rise as a consequence of market integration if firms engage in R&D competition. We also demonstrate that whether concentration occurs or not depends on the R&D production function and on consumer preferences. This result implies that the welfare effects of market integration are ...

  7. Integration of liberalised energy market

    International Nuclear Information System (INIS)

    The markets for electricity, natural gas and district heating are inter-linked both with respect to the energy flows and with respect to ownership of supply sources and infrastructure. The extent and the possible consequences of these linkages are examined in this report. The options for public interventions in these markets are analysed to compare instruments with respect to their ability to provide the necessary incentives for an efficient functioning of the liberalised markets. Aspects of retail markets with households facing multi-product distribution companies and aspects of the production of combined heat and power based on natural gas has been covered. This project identifies some important aspects related to final consumers and the interaction of markets with different types of regulation and scope for liberalisation. From a Danish perspective the district heat market and the dependence on market conditions for natural gas is a specific concern. Consumer concerns also relate to the creation of multi-product energy distribution companies that are privately owned and possibly controlled by foreign interests. Such companies might use bundled sales of energy products to extent their dominant position in one market e.g. a regulated heat market to a market with considerable competition (electricity). Bundled sales would not necessarily result in a loss for the consumer due to economies of scope in supplying energy products. However, the regulatory authorities responsible for district heat prices will have a more complicated job in surveying the bundled price setting. Integration of activities within natural gas distribution and CHP production has been analysed with respect to incentives and welfare implications. Results of the project point to critical market conditions and identify areas of concern for regulatory policies. The analysis shows that there is a large welfare loss associated with having monopolies in both natural gas supplies and the CHP production. If liberalisation allows integration of these two energy markets welfare would be improved relative to the first case. Furthermore the analysis shows that the existence of differentiated electricity production technology (fuels) reduces the welfare loss from the monopoly in the natural gas supply even though the natural gas keeps a high market share. (au)

  8. 76 FR 18445 - Financial Market Utilities

    Science.gov (United States)

    2011-04-04

    ... risk, settlement risk, operational risk, and legal risk. These risks arise between financial... designations on November 23, 2010 (see 75 FR 79982 (Dec. 21, 2010)). Section 805(a)(1)(A) of the Dodd-Frank Act... prior to adopting them as part of its PSR policy. See 71 FR 36800 (June 28, 2006) and 72 FR 2518...

  9. 77 FR 45907 - Financial Market Utilities

    Science.gov (United States)

    2012-08-02

    ..., liquidity risk, settlement risk, operational risk, and legal risk. These risks arise between financial..., procedures, or operations.\\4\\ The public comment period closed on May 19, 2011. \\4\\ See 76 FR 18445 (Apr. 4... payment and settlement systems pursuant to its PSR policy. \\6\\ See 76 FR at 18447. \\7\\ The PSR policy...

  10. Non-linear Analysis of Shocks when Financial Markets are Subject to Changes in Regime

    OpenAIRE

    Olteanu, Madalina; Rynkiewicz, Joseph; Maillet, Bertrand

    2004-01-01

    Violent turbulences are often striking the financial markets and an Index of Market Shocks (IMS) was recently introduced in the attempt of quantifying these turbulences. Regime switching linear models have already been used in modelling the conditional volatility of returns. In this paper we propose a description of the IMS with hybrid models integrating multi-layer perceptrons and hidden Markov chains. After sudying the prediction performance of these models, we focus on the series separatio...

  11. The internalist perspective on inevitable arbitrage in financial markets

    Science.gov (United States)

    Matsuno, Koichiro

    2003-06-01

    Arbitrage as an inevitable component of financial markets is due to the robust interplay between the continuous and the discontinuous stochastic variables appearing in the underlying dynamics. We present empirical evidence of such an arbitrage through the laboratory experiment on a portfolio management in the Japan-United States financial markets over the last several years, under the condition that the asset allocation was updated every day over the entire period. The portfolio management addressing the foreign exchange, the stock, and the bond markets was accomplished as referring to and processing only those empirical data that have been complied by and made available from the monetary authorities and the relevant financial markets so far. The averaged annual yield of the portfolio counted in the denomination of US currency was slightly greater than the averaged yield of the same physical assets counted in the denomination of Japanese currency, indicating the occurrence of arbitrage pricing in the financial markets. Daily update of asset allocation was conducted as referring to the predictive movement internal to the dynamics such that monetary flow variables, that are discontinuously stochastic upon the act of measurement internal to the markets, generate monetary stock variables that turn out to be both continuously stochastic and robust in the effect.

  12. Central bank communication in the financial crisis: Evidence from a survey of financial market participants

    OpenAIRE

    Hayo, Bernd; Neuenkirch, Matthias

    2014-01-01

    In this paper, we study whether central bank communication has a positive effect on market participants' perception of central banks' (i) credibility, (ii) unorthodox measures, and (iii) independence. We utilise a survey of more than 500 financial market participants from around the world who answered questions in reference to the Bank of England (BoE), the Bank of Japan (BoJ), the European Central Bank (ECB), and the Federal Reserve (Fed). We find that market participants believe that the Fe...

  13. Integrated Strategic Planning of Global Production Networks and Financial Hedging under Uncertain Demands and Exchange Rates

    OpenAIRE

    Achim Koberstein; Elmar Lukas; Marc Naumann

    2013-01-01

    In this paper, we present a multi-stage stochastic programming model that integrates financial hedging decisions into the planning of strategic production networks under uncertain exchange rates and product demands. This model considers the expenses of production plants and the revenues of markets in different currency areas. Financial portfolio planning decisions for two types of financial instruments, forward contracts and options, are represented explicitly by multi-period decision variabl...

  14. Financial Integration of East Asian Economies: Evidence from Real Interest Parity

    OpenAIRE

    Baharumshah, Ahmad Zubaidi; Chan, Tze-Haw; Masih, A. Mansur A.

    2005-01-01

    In this paper, we investigate the financial linkages between the East Asian countries with Japan and the US using the real interest rate parity (RIP) condition. This study offers three important results: first, we find strong (robust) evidence that RIP condition holds in all the Asian countries, except for China. Based on SURADF tests, we conclude that South Korea and the ASEAN-5 countries are financially integrated with the global financial markets namely, Japan and the US. Second, we also c...

  15. Classical and quantum randomness and the financial market

    CERN Document Server

    Khrennikov, Andrei

    2007-01-01

    We analyze complexity of financial (and general economic) processes by comparing classical and quantum-like models for randomness. Our analysis implies that it might be that a quantum-like probabilistic description is more natural for financial market than the classical one. A part of our analysis is devoted to study the possibility of application of the quantum probabilistic model to agents of financial market. We show that, although the direct quantum (physical) reduction (based on using the scales of quantum mechanics) is meaningless, one may apply so called quantum-like models. In our approach quantum-like probabilistic behaviour is a consequence of contextualy of statistical data in finances (and economics in general). However, our hypothesis on "quantumness" of financial data should be tested experimentally (as opposed to the conventional description based on the noncontextual classical probabilistic approach). We present a new statistical test based on a generalization of the well known in quantum phys...

  16. Complex systems: from nuclear physics to financial markets

    International Nuclear Information System (INIS)

    We compare correlations and coherent structures in nuclei and financial markets. In the nuclear physics part we review giant resonances which can be interpreted as a coherent structure embedded in chaos. With similar methods we investigate the financial empirical correlation matrix of the DAX and Dow Jones. We will show, that if the time-zone delay is properly accounted for, the two distinct markets largely merge into one. This is reflected by the largest eigenvalue that develops a gap relative to the remaining, chaotic eigenvalues. By extending investigations of the specific character of financial collectivity we also discuss the criticality-analog phenomenon of the financial log-periodicity and show specific examples.

  17. Taxing the Financially Integrated Multinational Firm

    OpenAIRE

    JOHANNESEN, Niels

    2010-01-01

    This paper develops a theoretical model of corporate taxation in the presence of financially integrated multinational firms. Under the assumption that multinational firms at least partly use internal loans to finance foreign investment, we find that the optimal corporate tax rate is positive from the perspective of a small, open economy. This finding contrasts the standard result that the optimal source based capital tax is zero. Intuitively, to the extent that multinational firms finance inv...

  18. A threshold Potts model of financial markets

    CERN Document Server

    Sieczka, PaweÅ?

    2007-01-01

    We proposed a model of interacting market agents based on the Potts spin model. The agents can take three actions: "buy," "sell," or "stay inactive." We defined a price evolution in terms of magnetization of the system. The model reproduces main stylized facts of real markets such as: fat-tailed distribution of returns, volatility clustering and a power-low decay of autocorrelation of absolute returns.

  19. Corporate Investments in Asian Emerging Markets: Financial Conditions, Financial Development, and Financial Constraints

    OpenAIRE

    Wang, Jianxin; Gochoco-Bautista, Maria Socorro; Sotocinal, Noli

    2013-01-01

    Motivated by the literature on the finance–growth nexus, this paper explores the mechanisms through which finance affects corporate investments and capital accumulation. We separate the effects of financial conditions from those of financial development. Based on a sample of firms from five Asian emerging economies, we find that (1) financial conditions and financial development affect corporate investments through different channels. Financial conditions affect firms' growth opportunities an...

  20. The Marketing Plan: An Integrative Device for Teaching Marketing Management.

    Science.gov (United States)

    Berdine, W. R.; Petersen, James C.

    1980-01-01

    The importance of the marketing plan is stressed as an integrative device for teaching marketing management, and a structure is presented to assist students in designing a marketing plan. Components of this plan include marketing objectives, targeting market and buying motives, external environment and competition, product, price, and promotion.…

  1. On the Market Risks Prevention of China’s Commercial Banks’Financial Product under the Financial Crisis

    OpenAIRE

    Mengchun Ding; Hongxin Li

    2009-01-01

    The year 2009 faces significant changes of economy. In front of the global financial crisis originated from Wall Street sub-prime mortgage crisis, China will be affected inevitably. The financial products market of the banking industry suffers from serious test. Starting from the concept, the classification, the risks, and the development of China’s commercial banks’ financial products, this paper analyzes the market risks of China’s commercial banks’ financial products under the financial cr...

  2. Modelling Information Flows in Financial Markets

    CERN Document Server

    Brody, Dorje C; Macrina, Andrea

    2010-01-01

    This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information about future cash flows. Each cash flow is determined by a collection of independent market factors called X-factors. The market filtration is generated by a set of information processes, each of which carries information about one of the X-factors, and eventually reveals the X-factor. Each information process has two terms, one of which contains a "signal" about the associated X-factor, and the other of which represents "market noise". The price of an asset is given by the expectation of the discounted cash flows in the risk-neutral measure, conditional on the information provided by the market. When the market noise is modelled by a Brownian bridge one is able to construct explicit formulae for asset prices, as well as semi-analytic expressions for the prices and greeks of options and derivatives. In particular, op...

  3. Networks in financial markets based on the mutual information rate

    Science.gov (United States)

    Fiedor, Pawe?

    2014-05-01

    In the last few years there have been many efforts in econophysics studying how network theory can facilitate understanding of complex financial markets. These efforts consist mainly of the study of correlation-based hierarchical networks. This is somewhat surprising as the underlying assumptions of research looking at financial markets are that they are complex systems and thus behave in a nonlinear manner, which is confirmed by numerous studies, making the use of correlations which are inherently dealing with linear dependencies only baffling. In this paper we introduce a way to incorporate nonlinear dynamics and dependencies into hierarchical networks to study financial markets using mutual information and its dynamical extension: the mutual information rate. We show that this approach leads to different results than the correlation-based approach used in most studies, on the basis of 91 companies listed on the New York Stock Exchange 100 between 2003 and 2013, using minimal spanning trees and planar maximally filtered graphs.

  4. Analysis of Spin Financial Market by GARCH Model

    International Nuclear Information System (INIS)

    A spin model is used for simulations of financial markets. To determine return volatility in the spin financial market we use the GARCH model often used for volatility estimation in empirical finance. We apply the Bayesian inference performed by the Markov Chain Monte Carlo method to the parameter estimation of the GARCH model. It is found that volatility determined by the GARCH model exhibits ''volatility clustering'' also observed in the real financial markets. Using volatility determined by the GARCH model we examine the mixture-of-distribution hypothesis (MDH) suggested for the asset return dynamics. We find that the returns standardized by volatility are approximately standard normal random variables. Moreover we find that the absolute standardized returns show no significant autocorrelation. These findings are consistent with the view of the MDH for the return dynamics

  5. Linking Financial Market Dynamics and the Impact of News

    Science.gov (United States)

    Nacher, J. C.; Ochiai, T.

    2011-09-01

    In financial markets, he behavior of investors determines the prices of financial products. However, these investors can also be influenced by good and bad news. Here, we present a mathematical model to reproduce the price dynamics in real financial markets affected by news. The model has both positive and negative feed-back mechanisms. Furthermore, the behavior of the model is examined by considering two different types of noise. Our results show that the dynamic balance of positive and negative feed-back mechanisms with the noise effect determines the asset price movement. For comparison with real market, we have used the Forex data corresponding to the time period of the recent Tohoku-Kanto earthquake in Japan.

  6. FBIH financial market segmentation on the basis of image factors

    Directory of Open Access Journals (Sweden)

    Arnela Bevanda

    2008-12-01

    Full Text Available The aim of the study is to recognize, single out and define market segments useful for future marketing strategies, using certain statistical techniques on the basis of influence of various image factors of financial institutions. The survey included a total of 500 interviewees: 250 bank clients and 250 clients of insurance companies. Starting from the problem area and research goal, the following hypothesis has been formulated: Basic preferences of clients in regard of image factors while selecting financial institutions are different enough to be used as such for differentiating significant market segments of clients. Two segments have been singled out by cluster analysis and named, respectively, traditionalists and visualists. Results of the research confirmed the established hypothesis and pointed to the fact that managers in the financial institutions of the Federation of Bosnia and Herzegovina (FBIH must undertake certain corrective actions, especially when planning and implementing communication strategies, if they wish to maintain their competitiveness in serving both selected segments.

  7. Estimating WACC for Regulated Industries on Developing Financial Markets and in Times of Market Uncertainty

    Directory of Open Access Journals (Sweden)

    Igor Stubelj

    2014-03-01

    Full Text Available The paper deals with the estimation of weighted average cost of capital (WACC for regulated industries in developing financial markets from the perspective of the current financial-economic crisis. In current financial market situation some evident changes have occurred: risk-free rates in solid and developed financial markets (e. g. USA, Germany have fallen, but due to increased market volatility, the risk premiums have increased. The latter is especially evident in transition economies where the amplitude of market volatility is extremely high. In such circumstances, there is a question of how to calculate WACC properly. WACC is an important measure in financial management decisions and in our case, business regulation. We argue in the paper that the most accurate method for calculating WACC is the estimation of the long-term WACC, which takes into consideration a long-term stable yield of capital and not the current market conditions. Following this, we propose some solutions that could be used for calculating WACC for regulated industries on the developing financial markets in times of market uncertainty. As an example, we present an estimation of the capital cost for a selected Slovenian company, which operates in the regulated industry of electric distribution.

  8. Optimal monetary policy, exchange rate misalignments and incomplete financial markets

    OpenAIRE

    Senay, Ozge; Sutherland, Alan James

    2016-01-01

    Recent literature on monetary policy in open economies shows that, when international financial trade is restricted to a single non-contingent bond, there are significant internal and external trade-offs that prevent optimal policy from simultaneously closing all welfare gaps. This implies an optimal policy which deviates from inflation targeting in order to offset real exchange rate misalignments. These simple models are, however, not good representations of modern financial markets. This pa...

  9. Why do financial market experts misperceive future monetary policy decisions?

    OpenAIRE

    Schmidt, Sandra; Nautz, Dieter

    2010-01-01

    This paper investigates why financial market experts misperceive the interest rate policy of the European Central Bank (ECB). Assuming a Taylor-rule-type reaction function of the ECB, we use qualitative survey data on expectations about the future interest rate, inflation, and output to discover the sources of in- dividual interest rate forecast errors. Based on a panel random coefficient model, we show that financial experts have systematically misperceived the ECB's in- terest rate rule. Ho...

  10. ACCOUNTING FOR MARKETING: MARKETING PERFORMANCE THROUGH FINANCIAL RESULTS

    OpenAIRE

    Levent KOSAN

    2014-01-01

    Accounting, especially strategic management accounting, provides significant contributions to companies for decisions in environments of intense competition. Accounting, which has positive effects of company strategy development and management, has become a required facet of marketing, another area that has gained significance. The aim of this study is to assess the contributions of accounting to marketing performance management and other areas related to marketing development and to evaluate...

  11. Indexation and causation of financial markets

    CERN Document Server

    Tanokura, Yoko

    2015-01-01

    This book presents a new statistical method of constructing a price index of a financial asset where the price distributions are skewed and heavy-tailed and investigates the effectiveness of the method. In order to fully reflect the movements of prices or returns on a financial asset, the index should reflect their distributions. However, they are often heavy-tailed and possibly skewed, and identifying them directly is not easy. This book first develops an index construction method depending on the price distributions, by using nonstationary time series analysis. Firstly, the long-term trend of the distributions of the optimal Box–Cox transformed prices is estimated by fitting a trend model with time-varying observation noises. By applying state space modeling, the estimation is performed and missing observations are automatically interpolated. Finally, the index is defined by taking the inverse Box–Cox transformation of the optimal long-term trend. This book applies the method to various financial data. ...

  12. THE ROLE OF THE FINANCIAL SYSTEM IN MARKET ECONOMY

    Directory of Open Access Journals (Sweden)

    C?RUNTU GENU ALEXANDRU

    2015-12-01

    Full Text Available Financial system can be approached from the perspective of sales in socio-economic system, namely a global financing mechanism, taking version account specific components, such as: normative base regulatory a financialmonetary methods, forms and techniques version running streams Monetary Financial methods, techniques usable forms and version carrying cash flows, financial levers. Integration contexts, the financial system becomes part of gear intended to ensure implementation and regulation of money flows version compared with the normal performance requirements of real processes in the economy.

  13. Novel indexes based on network structure to indicate financial market

    Science.gov (United States)

    Zhong, Tao; Peng, Qinke; Wang, Xiao; Zhang, Jing

    2016-02-01

    There have been various achievements to understand and to analyze the financial market by complex network model. However, current studies analyze the financial network model but seldom present quantified indexes to indicate or forecast the price action of market. In this paper, the stock market is modeled as a dynamic network, in which the vertices refer to listed companies and edges refer to their rank-based correlation based on price series. Characteristics of the network are analyzed and then novel indexes are introduced into market analysis, which are calculated from maximum and fully-connected subnets. The indexes are compared with existing ones and the results confirm that our indexes perform better to indicate the daily trend of market composite index in advance. Via investment simulation, the performance of our indexes is analyzed in detail. The results indicate that the dynamic complex network model could not only serve as a structural description of the financial market, but also work to predict the market and guide investment by indexes.

  14. Subprime crisis and instability of global financial markets

    Directory of Open Access Journals (Sweden)

    Radonji? Ognjen

    2010-01-01

    Full Text Available In order to prescribe adequate remedies to treat the current financial crisis one has to understand what in the first place went wrong. An age ago, older generations wrote that disease could not be cured without an accurate diagnosis. In contrast to mainstream 'efficient markets hypothesis' we argue that Minsky's financial instability hypothesis gives numerous valuable insights into sources and possible consequences of current global financial crisis. Furthermore, two decades ago Hyman P. Minsky predicted possible developments and perils of ever growing process of securitization of illiquid assets.

  15. Federal coal leases: marketing, management and financial profiles

    Energy Technology Data Exchange (ETDEWEB)

    1981-01-01

    Presented is a compilation of US government data that provides operating and financial details concerning all existing federal coal leases. Up to 352 details of each of the 588 leases in 14 states are given. These details are grouped into 6 major categories: (1) financial profiles; (2) technical profiles; (3) marketing profiles/producing leases; (4) marketing profiles/nonproducing leases; (5) production profiles; and (6) lease owner information. The source of the data is the US Department of Interior's Automated Coal Leasing System. (JMT)

  16. General autocatalytic theory and simple model of financial markets

    Science.gov (United States)

    Thuy Anh, Chu; Lan, Nguyen Tri; Viet, Nguyen Ai

    2015-06-01

    The concept of autocatalytic theory has become a powerful tool in understanding evolutionary processes in complex systems. A generalization of autocatalytic theory was assumed by considering that the initial element now is being some distribution instead of a constant value as in traditional theory. This initial condition leads to that the final element might have some distribution too. A simple physics model for financial markets is proposed, using this general autocatalytic theory. Some general behaviours of evolution process and risk moment of a financial market also are investigated in framework of this simple model.

  17. Three state herding model of the financial markets

    CERN Document Server

    Kononovicius, Aleksejus

    2012-01-01

    We propose a Markov jump process with the three state herding interaction. We see our approach as an agent-based model for the financial markets. Under certain assumptions this agent-based model can be related to the stochastic description exhibiting sophisticated statistical features. Along with power-law probability density function of the absolute returns we are able to reproduce the fractured power spectral density, which is observed in the high-frequency financial market data. Given example of consistent agent-based and stochastic modeling will provide background for the further developments in the research of complex social systems.

  18. Three-state herding model of the financial markets

    Science.gov (United States)

    Kononovicius, A.; Gontis, V.

    2013-01-01

    We propose a Markov jump process with the three-state herding interaction. We see our approach as an agent-based model for the financial markets. Under certain assumptions this agent-based model can be related to the stochastic description exhibiting sophisticated statistical features. Along with power-law probability density function of the absolute returns we are able to reproduce the fractured power spectral density, which is observed in the high-frequency financial market data. The given example of consistent agent-based and stochastic modeling will provide a background for further developments in the research of complex social systems.

  19. The Use of Financial Derivatives in Emerging Market Economies: An Empirical Evidence from Bosnia and Herzegovina's Non-Financial Firms

    OpenAIRE

    Emira Kozarevic; Meldina Kokorovic Jukan; Beriz Civic

    2014-01-01

    This paper discusses development of financial derivatives markets in emerging market economies, focusing on the use of financial derivatives in risk management purposes of non-financial firms in Bosnia and Herzegovina. For achieving the research goals authors collected data on the derivatives market structure and types of derivative instrument traded, focusing commercial banks, because of the authors’ prior knowledge of the derivatives market. Additionally, in order to assess the current stat...

  20. Forecasting Financial Time-Series using Artificial Market Models

    CERN Document Server

    Gupta, N; Johnson, N F; Gupta, Nachi; Hauser, Raphael; Johnson, Neil F.

    2005-01-01

    We discuss the theoretical machinery involved in predicting financial market movements using an artificial market model which has been trained on real financial data. This approach to market prediction - in particular, forecasting financial time-series by training a third-party or 'black box' game on the financial data itself -- was discussed by Johnson et al. in cond-mat/0105303 and cond-mat/0105258 and was based on some encouraging preliminary investigations of the dollar-yen exchange rate, various individual stocks, and stock market indices. However, the initial attempts lacked a clear formal methodology. Here we present a detailed methodology, using optimization techniques to build an estimate of the strategy distribution across the multi-trader population. In contrast to earlier attempts, we are able to present a systematic method for identifying 'pockets of predictability' in real-world markets. We find that as each pocket closes up, the black-box system needs to be 'reset' - which is equivalent to sayi...

  1. Vertical integration and market power

    Energy Technology Data Exchange (ETDEWEB)

    Maddigan, R.J.

    1980-01-01

    One of the continuing debates of industrial organization surrounds the importance of market structure in determining a firm's performance. This controversy develops naturally from the difficulties in measuring the relevant variables and the hazards of statistical analysis. The focus of this empirical study is the relationship between vertical integration, as an element of market structure, and market power, as a component of a firm's performance. The model presented in this paper differs from previous efforts because vertical integration is measured by the Vertical Industry Connections (VIC) index. VIC is defined as a function of the relative net interactions among the industries in which a firm operates, and is calculated by use of the national input-output tables. A linear regression model is estimated by means of a random sample of firms selected from the Standard and Poor's COMPUSTAT data base for 1963, 1967, and 1972. Combined cross-sectional, time-series methods are employed. The dependent variable is the price-cost margin; the independent variables include not only VIC, but also the concentration ratio, diversification index, value of assets, capital-output ratio, and sales growth. The results indicate that VIC is significant in increasing the price-cost margin, and thus support the hypothesis that vertical integration is a strategy to enhance market power. 1 figure, 3 tables.

  2. Models of Financial Markets with Extensive Participation Incentives

    CERN Document Server

    Yeung, C H; Zhang, Y -C

    2007-01-01

    We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with several attractor behaviors resembling those of real markets emerge, reflecting the roles played by the arbitrageurs and trendsetters, and including a phase with irregular price trends and positive sums. The positive-sumness of the players' wealths provides participation incentives for them. Evolution and the bid-ask spread provide mechanisms for the gain in wealth of both the players and market-makers. The enhanced survival of the new players through strategy pre-learning provides a mechanism to attract an influx of new players. We test the applicability of the model on real Hang Seng Index data over 20 years. Comparisons with other models show that our model has a superior average performance when applied to real financial data.

  3. Fluctuations and Market Friction in Financial Trading

    CERN Document Server

    Rosenow, B

    2001-01-01

    We study the relation between stock price changes and the difference in the number of sell and buy orders. Using a soft spin model, we describe the price impact of order imbalances and find an analogy to the fluctuation-dissipation theorem in physical systems. We empirically investigate fluctuations and market friction for a major US stock and find support for our model calculations.

  4. Fluctuations and Market Friction in Financial Trading

    Science.gov (United States)

    Rosenow, Bernd

    We study the relation between stock price changes and the difference in the volume of sell and buy orders. Using a soft spin model, we describe the price impact of order imbalances and find an analogy to the fluctuation-dissipation theorem in physical systems. We empirically investigate fluctuations and market friction for a major US stock and find support for our model calculations.

  5. MONETARY POLICY AND PARALLEL FINANCIAL MARKETS

    Directory of Open Access Journals (Sweden)

    Adela IONESCU

    2015-07-01

    Full Text Available Monetary policy is one of the economic policy "tools" through which it acts on the currency demand and supply in the economy. The importance of monetary policy results from its primary objective - price stability, plus limiting inflation and maintaining internal and external value of the currency. Responsibility for achieving these objectives rests with the Central Bank, which has a monopoly in the formulation and the implementation of monetary policy targets. Price stability is the primary objective of monetary policy and also the central objective of economic policy, alongside with: sustainable economic growth, full employment of labor force, balance of external payments equilibrium. To achieve these overall objectives of economic policy, monetary policy acts through currency as an instrument of action and it represents the overall action exercised by the monetary authority to influence economic development and to ensure price stability. In economic processes numerous factors emerge to the sale or purchase of capital available for a shorter or longer period and to achieving their aspirations of maximize capital gains, they are negotiating, they are confronting and agreeing within specific market relationships. The entirety of relations between various economic issues, enterprises and individuals, between them and the banking intermediaries, as well as the relationship between banks and other credit institutions on the transfer of cash money as specific form of debt and fructification of capital, form capital markets or credit markets. These markets are carved up according to the nature and purposes of the participants.

  6. Endogenous versus Exogenous Crashes in Financial Markets

    CERN Document Server

    Johansen, A

    2002-01-01

    We perform an extended analysis of the distribution of drawdowns in the two leading exchange markets (US dollar against the Deutsmark and against the Yen), in the major world stock markets, in the U.S. and Japanese bond market and in the gold market, by introducing the concept of ``coarse-grained drawdowns,'' which allows for a certain degree of fuzziness in the definition of cumulative losses and improves on the statistics of our previous results on the existence of ``outliers'' or ``kings.'' Then, for each identified outlier, we check whether log-periodic power law signatures (LPPS) are present and take the existence of LPPS as the qualifying signature for an endogenous crash: this is because a drawdown outlier is seen as the end of a speculative unsustainable accelerating bubble generated endogenously. In the absence of LPPS, we are able to identify what seems to have been the relevant historical event, i.e., a new piece of information of such magnitude and impact that it is seems reasonable to attribute t...

  7. The Integration of Corporate Non-Market and Market Strategies

    DEFF Research Database (Denmark)

    Xie, Peihong; Li, Xin; Xie, Xuemei

    2014-01-01

    Purpose: This paper aims to systematically examine the key notion of integration of non-market and market strategies in the increasingly popular study of corporate non-market strategies. Design/methodology/approach: This paper is based on a brief literature review of the non-market strategy (NMS......) research that shows the existing literature does not offer a clear and systematic account of the key notion of integration. It suggests any systematic account of integration should address at least three interrelated questions, i.e. why, what and how to integrate non-market and market strategies? Findings......: For the why question, the authors use a formal model to demonstrate that the essence of the most important type of integration synergy lies in the positive spillover or externality from non-market to market strategies. For the what question, the authors identify the contents of integration at three...

  8. Wealth selection in a financial market with heterogeneous agents

    OpenAIRE

    Anufriev, Mikhail; Dindo, Pietro

    2007-01-01

    We study the co-evolution of asset prices and agents' wealth in a financial market populated by an arbitrary number of heterogeneous, boundedly rational investors. We model assets' demand to be proportional to agents' wealth, so that wealth dynamics can be used as a selection device. For a general class of investment behaviors, we are able to characterize the long run market outcome, i.e. the steady-state equilibrium values of asset return, and agents' survival. Our investigation illustrates ...

  9. Herding and price convergence in a laboratory financial market

    OpenAIRE

    Cipriani, M; Guarino, A.

    2002-01-01

    We study whether herding can arise in a laboratory financial market in which agents trade sequentially. Agents trade an asset whose value is unknown and whose price is efficiently set by a market maker. We show that the presence of a price mechanism destroys the possibility of herding. Most agents follow their private information and prices converge to the fundamental value. This result contrasts with the case of a fixed price, where herding and cascades arise. When the p...

  10. Reputational Herding in Financial Markets: A Laboratory Experiment

    OpenAIRE

    Roider, Andreas; Voskort, Andrea

    2015-01-01

    We study reputational herding in financial markets in a laboratory experiment. In the spirit of Dasgupta and Prat (2008), career concerns are introduced in a sequential asset market, where wages for investors are set by subjects in the role of employers. Employers can observe investment behavior, but not investors? ability types. Thereby, reputational incentives may arise endogenously. We find that a sizeable fraction of investors follows an established trend even in a setting where there are...

  11. Financial analysts and information flows in the markets

    OpenAIRE

    Druz, Marina; Degeorge, François

    2010-01-01

    The aim of this research project is to discuss the information flow between managers, analysts and investors in the financial markets. It examines the official information releases such as quarterly earnings announcements, unofficial flows of information between managers and analysts, and uncertain information as interpretation of managers' actions, so-called "signals", used by analysts and investors. The agency problem created by informational inequality of the market participants cre...

  12. Visual market sector analysis for financial time series data

    OpenAIRE

    Ziegler, Hartmut; Jenny, M; Gruse, Tino; Keim, Daniel

    2010-01-01

    The massive amount of financial time series data that originates from the stock market generates large amounts of complex data of high interest. However, adequate solutions that can effectively handle the information in order to gain insight and to understand the market mechanisms are rare. In this paper, we present two techniques and applications that enable the user to interactively analyze large amounts of time series data in real-time in order to get insight into the development of assets...

  13. When Entrepreneurs Meet Financiers: Evidence from the Business Angel Market

    OpenAIRE

    Angela, Cipollone; Paolo E., Giordani

    2016-01-01

    This paper estimates the process of search and matching between entrepreneurs and financiers in the business angel (BA) market. We hand-collect a new dataset from the BA markets of 17 developed countries for the period 1996-2014, and we estimate the aggregate matching function, which captures the number of successful deals as a function of the number of potential entrepreneurs and of business angels. Empirical findings confirm the technological features assumed in the theoretical literature: ...

  14. Business Groups in Emerging Markets - Financial Control and Sequential Investment

    OpenAIRE

    Hainz, Christa

    2006-01-01

    Business groups in emerging markets perform better than unaffiliated firms. One explanation is that business groups substitute some functions of missing institutions, for example, enforcing contracts. We investigate this by setting up a model where firms within the business group are connected to each other by a vertical production structure and an internal capital market. Thus, the business group?s organizational mode and the financial structure allow a self-enforcing contract to be designed...

  15. Empirical Studies on Financial Markets: Private Equity, Corporate Bonds and Emerging Markets

    OpenAIRE

    Zwart, G.J. de

    2008-01-01

    This dissertation consists of five empirical studies on financial markets. Each study can be read independently and covers a specific market, either private equity, corporate bonds or emerging markets. The first study documents that risk factors cannot account for the significant excess returns of selection strategies based on value, momentum or earnings revisions indicators in the emerging equity market. The second study presents empirical evidence that security analysts do not efficiently u...

  16. THE FINANCIAL INSTRUMENTS FOR RISK MANAGEMENT ON THE INTERNATIONAL FINANCIAL MARKETS

    OpenAIRE

    Alina Hagiu

    2008-01-01

    The international financial market is extremely volatile because of the influence of anumerous objective and subjective factors. Because of these, în their fight for maximizing the profit, the creditinstitutes confronts permanently with all sort of risks.It is important to know that the risk is generated by a numerous operations and procedures. From thesecause, at least în the financial field, the risk must be considered as a complex of risks, în the sense that they canhave common causes, and...

  17. Benefits and Costs of International Financial Integration : Theory and Facts

    OpenAIRE

    Agenor, Pierre-Richard

    2001-01-01

    The author provides a selective review of the recent analytical and empirical literature on the benefits and costs of international financial integration. He discusses the impact of financial openness on consumption, investment, and growth, and the impact of foreign bank entry on the domestic financial system. Consistent with some recent studies, the author argues that financial integratio...

  18. On entropy, financial markets and minority games

    Science.gov (United States)

    Zapart, Christopher A.

    2009-04-01

    The paper builds upon an earlier statistical analysis of financial time series with Shannon information entropy, published in [L. Molgedey, W. Ebeling, Local order, entropy and predictability of financial time series, European Physical Journal B-Condensed Matter and Complex Systems 15/4 (2000) 733-737]. A novel generic procedure is proposed for making multistep-ahead predictions of time series by building a statistical model of entropy. The approach is first demonstrated on the chaotic Mackey-Glass time series and later applied to Japanese Yen/US dollar intraday currency data. The paper also reinterprets Minority Games [E. Moro, The minority game: An introductory guide, Advances in Condensed Matter and Statistical Physics (2004)] within the context of physical entropy, and uses models derived from minority game theory as a tool for measuring the entropy of a model in response to time series. This entropy conditional upon a model is subsequently used in place of information-theoretic entropy in the proposed multistep prediction algorithm.

  19. Evaluation of wholesale electric power market rules and financial risk management by agent-based simulations

    Science.gov (United States)

    Yu, Nanpeng

    As U.S. regional electricity markets continue to refine their market structures, designs and rules of operation in various ways, two critical issues are emerging. First, although much experience has been gained and costly and valuable lessons have been learned, there is still a lack of a systematic platform for evaluation of the impact of a new market design from both engineering and economic points of view. Second, the transition from a monopoly paradigm characterized by a guaranteed rate of return to a competitive market created various unfamiliar financial risks for various market participants, especially for the Investor Owned Utilities (IOUs) and Independent Power Producers (IPPs). This dissertation uses agent-based simulation methods to tackle the market rules evaluation and financial risk management problems. The California energy crisis in 2000-01 showed what could happen to an electricity market if it did not go through a comprehensive and rigorous testing before its implementation. Due to the complexity of the market structure, strategic interaction between the participants, and the underlying physics, it is difficult to fully evaluate the implications of potential changes to market rules. This dissertation presents a flexible and integrative method to assess market designs through agent-based simulations. Realistic simulation scenarios on a 225-bus system are constructed for evaluation of the proposed PJM-like market power mitigation rules of the California electricity market. Simulation results show that in the absence of market power mitigation, generation company (GenCo) agents facilitated by Q-learning are able to exploit the market flaws and make significantly higher profits relative to the competitive benchmark. The incorporation of PJM-like local market power mitigation rules is shown to be effective in suppressing the exercise of market power. The importance of financial risk management is exemplified by the recent financial crisis. In this dissertation, basic financial risk management concepts relevant for wholesale electric power markets are carefully explained and illustrated. In addition, the financial risk management problem in wholesale electric power markets is generalized as a four-stage process. Within the proposed financial risk management framework, the critical problem of financial bilateral contract negotiation is addressed. This dissertation analyzes a financial bilateral contract negotiation process between a generating company and a load-serving entity in a wholesale electric power market with congestion managed by locational marginal pricing. Nash bargaining theory is used to model a Pareto-efficient settlement point. The model predicts negotiation results under varied conditions and identifies circumstances in which the two parties might fail to reach an agreement. Both analysis and agent-based simulation are used to gain insight regarding how relative risk aversion and biased price estimates influence negotiated outcomes. These results should provide useful guidance to market participants in their bilateral contract negotiation processes.

  20. Integration and Comovement of Developed and Emerging Islamic Stock Markets: A Case Study of Malaysia

    OpenAIRE

    Naseri, Marjan; Masih, Mansur

    2014-01-01

    This paper attempts to analyse the extent of financial integration of two developed (the U.S. and Japan) and two emerging Islamic stock markets (China and India) with the Malaysian Islamic stock market in order for the Malaysian financial traders to make decision about their portfolio diversification, risk management and asset allocation. Despite the growing interest in Islamic finance, there are few empirical studies investigating integration of Islamic stock markets. As a res...

  1. Electrodynamical model of quasi-efficient financial market

    CERN Document Server

    Ilinskii, K N; Ilinski, Kirill N.; Stepanenko, Alexander S.

    1998-01-01

    The modelling of financial markets presents a problem which is both theoretically challenging and practically important. The theoretical aspects concern the issue of market efficiency which may even have political implications \\cite{Cuthbertson}, whilst the practical side of the problem has clear relevance to portfolio management \\cite{Elton} and derivative pricing \\cite{Hull}. Up till now all market models contain "smart money" traders and "noise" traders whose joint activity constitutes the market \\cite{DeLong,Bak}. On a short time scale this traditional separation does not seem to be realistic, and is hardly acceptable since all high-frequency market participants are professional traders and cannot be separated into "smart" and "noisy". In this paper we present a "microscopic" model with homogenuous quasi-rational behaviour of traders, aiming to describe short time market behaviour. To construct the model we use an analogy between "screening" in quantum electrodynamics and an equilibration process in a mar...

  2. Heterogeneous volatility cascade in financial markets

    CERN Document Server

    Zumbach, G; Zumbach, Gilles; Lynch, Paul

    2001-01-01

    Using high frequency data, we have studied empirically the change of volatility, also called volatility derivative, for various time horizons. In particular, the correlation between the volatility derivative and the volatility realized in the next time period is a measure of the response function of the market participants. This correlation shows explicitly the heterogeneous structure of the market according to the characteristic time horizons of the differents agents. It reveals a volatility cascade from long to short time horizons, with a structure different from the one observed in turbulence. Moreover, we have developed a new ARCH-type model which incorporates the different groups of agents, with their characteristic memory. This model reproduces well the empirical response function, and allows us to quantify the importance of each group.

  3. Using an Artificial Financial Market for studying a Cryptocurrency Market

    OpenAIRE

    Cocco, Luisanna; Concas, Giulio; Marchesi, Michele

    2014-01-01

    This paper presents an agent-based artificial cryptocurrency market in which heterogeneous agents buy or sell cryptocurrencies, in particular Bitcoins. In this market, there are two typologies of agents, Random Traders and Chartists, which interact with each other by trading Bitcoins. Each agent is initially endowed with a finite amount of crypto and/or fiat cash and issues buy and sell orders, according to her strategy and resources. The number of Bitcoins increases over ti...

  4. Using an Artificial Financial Market for studying a Cryptocurrency Market

    OpenAIRE

    Luisanna Cocco; Giulio Concas; Michele Marchesi

    2014-01-01

    This paper presents an agent-based artificial cryptocurrency market in which heterogeneous agents buy or sell cryptocurrencies, in particular Bitcoins. In this market, there are two typologies of agents, Random Traders and Chartists, which interact with each other by trading Bitcoins. Each agent is initially endowed with a finite amount of crypto and/or fiat cash and issues buy and sell orders, according to her strategy and resources. The number of Bitcoins increases over time with a rate pro...

  5. The structure and resilience of financial market networks

    Science.gov (United States)

    Kauê Dal'Maso Peron, Thomas; da Fontoura Costa, Luciano; Rodrigues, Francisco A.

    2012-03-01

    Financial markets can be viewed as a highly complex evolving system that is very sensitive to economic instabilities. The complex organization of the market can be represented in a suitable fashion in terms of complex networks, which can be constructed from stock prices such that each pair of stocks is connected by a weighted edge that encodes the distance between them. In this work, we propose an approach to analyze the topological and dynamic evolution of financial networks based on the stock correlation matrices. An entropy-related measurement is adopted to quantify the robustness of the evolving financial market organization. It is verified that the network topological organization suffers strong variation during financial instabilities and the networks in such periods become less robust. A statistical robust regression model is proposed to quantity the relationship between the network structure and resilience. The obtained coefficients of such model indicate that the average shortest path length is the measurement most related to network resilience coefficient. This result indicates that a collective behavior is observed between stocks during financial crisis. More specifically, stocks tend to synchronize their price evolution, leading to a high correlation between pair of stock prices, which contributes to the increase in distance between them and, consequently, decrease the network resilience.

  6. Climatic change. Market scan international financial organizations

    International Nuclear Information System (INIS)

    This report provides an overview of the opportunities for Dutch trade and industry in climate programs of the World Bank, EBRD and the UN. The Market Scan shows that international organizations financed more than 4.4 billion dollars of climate projects in 2008. The current Dutch cabinet will allocate 500 million euros to renewable energy, part of which through international organizations. Businesses can compete for contracts in tenders.

  7. Financial Markets Equilibrium with Heterogeneous Agents

    OpenAIRE

    Cvitanic, Jaksa; Jouini, Elyès; Semyon MALAMUD; Napp, Clotilde

    2012-01-01

    This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may dier in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the properties of the equilibrium. In particular, we analyze the consumption shares, the market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility as well as th...

  8. Regulation versus Competition on European Financial Markets

    OpenAIRE

    Alexandra HOROBET; Ilie, Livia

    2007-01-01

    Competition is the mechanism that helps companies, institutions and markets to become more productive and efficient. one of the main obstacles to economic growth is represented by the policies that hinder competition. Excessive protection may create a handicap for the European economic system which will have not all the necessary instruments to face the increasing competition between companies, countries, economic regions.The paper aims at analyzing the relationship between regulation, compet...

  9. An adaptive stochastic model for financial markets

    International Nuclear Information System (INIS)

    An adaptive stochastic model is introduced to simulate the behavior of real asset markets. The model adapts itself by changing its parameters automatically on the basis of the recent historical data. The basic idea underlying the model is that a random variable uniformly distributed within an interval with variable extremes can replicate the histograms of asset returns. These extremes are calculated according to the arrival of new market information. This adaptive model is applied to the daily returns of three well-known indices: Ibex35, Dow Jones and Nikkei, for three complete years. The model reproduces the histograms of the studied indices as well as their autocorrelation structures. It produces the same fat tails and the same power laws, with exactly the same exponents, as in the real indices. In addition, the model shows a great adaptation capability, anticipating the volatility evolution and showing the same volatility clusters observed in the assets. This approach provides a novel way to model asset markets with internal dynamics which changes quickly with time, making it impossible to define a fixed model to fit the empirical observations.

  10. Understanding the source of multifractality in financial markets.

    Czech Academy of Sciences Publication Activity Database

    Baruník, Jozef; Aste, T.; Di Matteo, T.; Liu, R.

    2012-01-01

    Ro?. 391, ?. 17 (2012), s. 4234-4251. ISSN 0378-4371 R&D Projects: GA ?R GA402/09/0965 Institutional research plan: CEZ:AV0Z10750506 Keywords : Multifractality * Financial markets * Hurst exponent Subject RIV: AH - Economics Impact factor: 1.676, year: 2012 http://www.sciencedirect.com/science/article/pii/S0378437112002890

  11. Traders' strategy with price feedbacks in financial market

    OpenAIRE

    Takayuki Mizuno; Tohur Nakano; Misako Takayasu; Hideki Takayasu

    2003-01-01

    We introduce an autoregressive-type model of prices in financial market taking into account the self-modulation effect. We find that traders are mainly using strategies with weighted feedbacks of past prices. These feedbacks are responsible for the slow diffusion in short times, apparent trends and power law distribution of price changes.

  12. IBM announces global Grid computing solutions for banking, financial markets

    CERN Multimedia

    2003-01-01

    "IBM has announced a series of Grid projects around the world as part of its Grid computing program. They include IBM new Grid-based product offerings with business intelligence software provider SAS and other partners that address the computer-intensive needs of the banking and financial markets industry (1 page)."

  13. Correlation between Islamic stock and Commodity markets: An investigation into the impact of financial crisis and financialization of commodity markets

    OpenAIRE

    Khan, Aftab; Masih, Mansur

    2014-01-01

    The repercussions of the recent financial crisis were felt over different parts of the world causing much calamity to different markets, economies and investors. The capital markets, in particular, took a severe hit during the crisis plummeting to all-time lows. However, before the crisis, the significant rise in commodity prices since 2002 and their subsequent fall since July 2008 have revived the debate on the role of commodities in the strategic and tactical asset allocation process. There...

  14. Micro and Macro Benefits of Random Investments in Financial Markets

    CERN Document Server

    Biondo, Alessio Emanuele; Rapisarda, Andrea

    2014-01-01

    In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained about the effectiveness of random strategies of investment, compared with some of the most used trading strategies for forecasting the behavior of real financial indexes. We also push forward our analysis by means of a Self-Organized Criticality model, able to simulate financial avalanches in trading communities with different network topologies, where a Pareto-like power law behavior of wealth spontaneously emerges. In this context, we present new findings and suggestions for policies based on the effects that random strategies can have in terms of reduction of dangerous financial extreme events, i.e. bubbles and crashes.

  15. Sector strength and efficiency on developed and emerging financial markets

    Science.gov (United States)

    Fiedor, Pawe?

    2014-11-01

    In this paper we analyse the importance of sectors and market efficiency on developed and emerging financial markets. To perform this we analyse New York Stock Exchange between 2004 and 2013 and Warsaw Stock Exchange between 2000 and 2013. To find out the importance of sectors we construct minimal spanning trees for annual time series consisting of daily log returns and calculate centrality measures for all stocks, which we then aggregate by sectors. Such analysis is of interest to analysts for whom the knowledge of the influence of particular groups of stocks to the market behaviour is crucial. We also analyse the predictability of price changes on those two markets formally, using the information-theoretic concept of entropy rate, to find out the differences in market efficiency between a developed and an emerging market, and between sectors themselves. We postulate that such analysis is important to the study of financial markets as it can contribute to the profitability of investments, particularly in the case of algorithmic trading.

  16. Volatility, Persistence, and Survival in Financial Markets

    CERN Document Server

    Constantin, M

    2005-01-01

    We study the temporal fluctuations in time--dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price fluctuations as a non--Markovian stochastic process using the first--passage statistical concepts of persistence and survival. We report the results of empirical measurements of the normalized $q$-order correlation functions $f_q(t)$, survival probability $S(t)$, and persistence probability $P(t)$ for several stock market dynamical sets. We analyze both minute--to--minute and higher frequency stock market recordings (i.e., with the sampling time $\\delta t$ of the order of days). We find that the fluctuating stock price is multifractal and the choice of $\\delta t$ has no effect on the qualitative multifractal behavior displayed by the $1/q$--dependence of the generalized Hurst exponent $H_q$ associated with the power--law evolution of the correlation function $f_q(t)\\sim t...

  17. Crossover Phenomena in Detrended Fluctuation Analysis Used in Financial Markets

    International Nuclear Information System (INIS)

    A systematic analysis of Shanghai and Japan stock indices for the period of Jan. 1984 to Dec. 2005 is performed. After stationarity is verified by ADF (Augmented Dickey-Fuller) test, the power spectrum of the data exhibits a power law decay as a whole characterized by 1/f? processes with possible long range correlations. Subsequently, by using the method of detrended fluctuation analysis (DFA) of the general volatility in the stock markets, we find that the long-range correlations are occurred among the return series and the crossover phenomena exhibit in the results obviously. Further, Shanghai stock market shows long-range correlations in short time scale and shows short-range correlations in long time scale. Whereas, for Japan stock market, the data behaves oppositely absolutely. Last, we compare the varying of scale exponent in large volatility between two stock markets. All results obtained may indicate the possibility of characteristic of multifractal scaling behavior of the financial markets.

  18. Financial Friction and Multiplicative Markov Market Game

    CERN Document Server

    Aurell, E; Aurell, Erik; Muratore-Ginanneschi, Paolo

    1999-01-01

    We study long-term growth-optimal strategies on a simple market with linear proportional transaction costs. We show that several problems of this sort can be solved in closed form, and explicit the non-analytic dependance of optimal strategies and expected frictional losses of the friction parameter. We present one derivation in terms of invariant measures of drift-diffusion processes (Fokker- Planck approach), and one derivation using the Hamilton-Jacobi-Bellman equation of optimal control theory. We also show that a significant part of the results can be derived without computation by a kind of dimensional analysis. We comment on the extension of the method to other sources of uncertainty, and discuss what conclusions can be drawn about the growth-optimal criterion as such.

  19. On the Market Risks Prevention of China’s Commercial Banks’Financial Product under the Financial Crisis

    Directory of Open Access Journals (Sweden)

    Mengchun Ding

    2009-07-01

    Full Text Available The year 2009 faces significant changes of economy. In front of the global financial crisis originated from Wall Street sub-prime mortgage crisis, China will be affected inevitably. The financial products market of the banking industry suffers from serious test. Starting from the concept, the classification, the risks, and the development of China’s commercial banks’ financial products, this paper analyzes the market risks of China’s commercial banks’ financial products under the financial crisis and advances specific countermeasures for China’s commercial banks dealing with crisis and defending market risks.

  20. 76 FR 38059 - Defining Larger Participants in Certain Consumer Financial Products and Services Markets

    Science.gov (United States)

    2011-06-29

    ...any Federal consumer financial law applicable to...the relevant product markets and geographic markets.'' \\11\\ The factors...involving consumer financial products or services...the extent to which institutions are subject to...

  1. Coherence and incoherence collective behavior in financial market

    Science.gov (United States)

    Zhao, Shangmei; Xie, Qiuchao; Lu, Qing; Jiang, Xin; Chen, Wei

    2015-10-01

    Financial markets have been extensively studied as highly complex evolving systems. In this paper, we quantify financial price fluctuations through a coupled dynamical system composed of phase oscillators. We find that a Financial Coherence and Incoherence (FCI) coexistence collective behavior emerges as the system evolves into the stable state, in which the stocks split into two groups: one is represented by coherent, phase-locked oscillators, the other is composed of incoherent, drifting oscillators. It is demonstrated that the size of the coherent stock groups fluctuates during the economic periods according to real-world financial instabilities or shocks. Further, we introduce the coherent characteristic matrix to characterize the involvement dynamics of stocks in the coherent groups. Clustering results on the matrix provides a novel manifestation of the correlations among stocks in the economic periods. Our analysis for components of the groups is consistent with the Global Industry Classification Standard (GICS) classification and can also figure out features for newly developed industries. These results can provide potentially implications on characterizing the inner dynamical structure of financial markets and making optimal investment into tragedies.

  2. The People's Republic of China's financial markets: Are they deep and liquid enough for renminbi internationalization?

    OpenAIRE

    Cruz, Prince Christian; Gao, Yuning; Song, Lei Lei

    2014-01-01

    Domestic financial market development is a key determinant of a currency's international status, and financial depth and market liquidity are two essential attributes for an international currency. This paper discusses the status of the People's Republic of China's (PRC) financial markets and their depth and liquidity conditions. The paper also compares the PRC's financial markets with those in developed and emerging economies, contemporaneously and historically. The paper finds that the PRC'...

  3. ECONOMIC NATURE OF THE FINANCIAL REGULATION OF INSURANCE MARKET

    Directory of Open Access Journals (Sweden)

    L. Shirinyan

    2013-07-01

    Full Text Available Author made critical review of researches and found out the existance of the problem of determination and differentiation in a scientific literature the concepts “financial regulation of the insurance market”, “government financial regulation of the insurance market” and “government regulation of the insurance market”. It is offered the consideration of the insurance market from positions of analysis of the complex systems as being the component part of the greater system. It is disclosured the economic nature and determined the mentioned notions.

  4. Market, Country and World Effects on Regional Equity Market Integration

    Directory of Open Access Journals (Sweden)

    Chee-Wooi Hooy

    2009-07-01

    Full Text Available This study explores the fundamental driving forces of regional equity market integration in a trading bloc. The determinant factors are categorized into market attribute, economic fundamentals and world information. Our sample consists of 26 equity markets of five regional trading blocs, namely AFTA, CER, EFTA, EU and NAFTA over the period of January 1999 to August 2005. We measure market integration based on pricing errors as proposed by Korajczyk (1996 and Levine and Zervos (1998. Using panel regressions, our results show that equity integration in these trading blocs is driven internally, where only individual market volatility and economic fundamentals play a significant role in the process. Intrabloc trade is found to enhance regional equity market integration, supporting the notion that regional convergence extends beyond the trade sector that is promoted in the trade agreements. We also document regime shifting effects during stock market crises, where most of these markets became strongly integrated after a regional crisis, but integration was significantly weakened during a crisis that affected the world markets. Also, the level of equity market integration differs across trading blocs, where the blocs with a smaller number of country members are relatively more integrated.

  5. DEEPENING SERVICES MARKET INTEGRATION - A CRITICAL ASSESSMENT

    Directory of Open Access Journals (Sweden)

    Jacques Pelkmans

    2007-12-01

    Full Text Available The greatest asset of the European Union is undoubtedly its internal market. However, the internal market is not completed: it suffers from a giant hole with respect to many services. The present contribution addresses the status of services in the internal market and, in particular, the horizontal liberalisation (or, the lack of it of services outside the two large sectors which greatly deepened market integration (6 modes of transport and 3 financial services markets. Because a horizontal perspective on services in the EU is still little understood, it is briefly summarized what services really are and how their regulatory logic in the internal market can help to classify them. The (strong economic case for deepening services market integration is built on recent empirical economic analysis as well as simulation. This is followed by a discussion, with flowchart, of the Bolkestein draft directive, against the backdrop of the frustrating lack of, or at best, selective progress on services for decades. A survey of economic impact studies of the draft directive is provided, too, underpinning its importance even when the infamous origin principle is taken out. Some light is subsequently shed on the tumultuous politicisation of the services debate. Emphasis is laid on the socio-economic context (which, it is submitted, sharpened the discussion at times into polarisation and a series of other factors such as the diversity of the national regulatory frameworks of services and the labour employed, the complexity of the draft directive, the potentially radical nature of the origin principle (especially for those not aware of the case law of the ECJ, the dominant role of the EP and the opportunism of leading national politicians. Finally, directive 2006/123 –meanwhile in force – is explained and briefly assessed. Apart from the conspicuous manifestation of 'Angst' in drafting the directive, the (de merits are set out. The conclusion is that a badly drafted directive with excessive emphasis on exclusions and derogations, and which lacks a driving principle, nevertheless comprises several functional obligations in general (e.g single window, administrative cooperation in dedicated networks, etc., significant advantages for free establishment (which imply equally significant economic gains and a firm discipline for (or prohibition of bad practices with respect to temporary provision of services.

  6. Product Market Integration, Wage Dispersion and Unemployment

    OpenAIRE

    Andersen, Torben M.

    2001-01-01

    Even when international product market integration is taking place between fairly similar countries with low labour mobility, it may have important effects for labour markets by increasing the mobility of jobs. This creates both opportunities through exports and threats from imports. Is there any reason why the benefits and costs of product market integration should be unequally distributed across different groups in the labour market? Considering integration as a gradual process lowering tra...

  7. Narrative Financial Therapy: Integrating a Financial Planning Approach with Therapeutic Theory

    OpenAIRE

    Megan A. McCoy; D. Bruce Ross; Joseph W. Goetz

    2014-01-01

    The article serves as one of the first attempts to develop an integrated theoretical approach to financial therapy that can be used by practitioners from multiple disciplines. The presented approach integrates the components of the six-step financial planning process with components of empirically-supported therapeutic methods. This integration provides the foundation for a manualized approach to financial therapy, shaped by the writings of narrative theorists and select cognitive-behavioral ...

  8. Business Process Management Integration Solution in Financial Sector

    Directory of Open Access Journals (Sweden)

    2009-01-01

    Full Text Available It is vital for financial services companies to ensure the rapid implementation of new processes to meet speed-to-market, service quality and compliance requirements. This has to be done against a background of increased complexity. An integrated approach to business processes allows products, processes, systems, data and the applications that underpin them to evolve quickly. Whether it’s providing a loan, setting up an insurance policy, or executing an investment instruction, optimizing the sale-to-fulfillment process will always win new business, cement customer loyalty, and reduce costs. Lack of integration across lending, payments and trading, on the other hand, simply presents competitors who are more efficient with a huge profit opportunity.

  9. The role of the Financial Supervision Authority and the situation of the client on the financial services market with special emphasis on the banking services market

    OpenAIRE

    Edyta Rutkowska-Tomaszewska

    2012-01-01

    A well-functioning financial services market should be stable and transparent, as well as ensure security and protect the interests of its participants. These goals and tasks are defined in a number of legal acts, and an important role in their realization has been entrusted to the Polish Financial Supervision Authority as the oversight body for the financial services market. The Polish Financial Supervision Authority (hereinafter referred to as the FSA) has been equipped with tools allowing ...

  10. The Financial Protectionism-Financial Integration Dilemma through Capital Mobility: Economic Performance vs Financial Crises

    Directory of Open Access Journals (Sweden)

    Fatma Kchir Jedidi

    2011-10-01

    Full Text Available In this paper, a theoretical and an empirical discussion of the post-crisis supremacy of financial integration over financial protectionism are proposed. The debate is done through a survey of the advantages each line of thinking brings about to improve economic performance and reduce crisis probability or its magnitude. Moreover, in this paper we study the impact of financial integration through capital mobility on economic growth of a sample of emerging countries. The contribution of our paper is the use of a number of capital mobility openness measures. Thus, we propose to test whether this impact varies with the used measure, the time period and the sample of selected countries. We adopted a panel data analysis technique proposed by Arellano and Bond. With reference to the different estimations conducted, we can conclude that the impact of capital mobility liberalization on economic growth depends on the openness indicator or measure used, the sample of countries studied and the time period examined.

  11. Modelling Financial Markets by Self-Organized Criticality

    CERN Document Server

    Biondo, A E; Rapisarda, A

    2015-01-01

    We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders, composed by chartists and fundamentalists, and focus on the role of informative pressure on market participants, showing how the spreading of information, based on a realistic imitative behavior, drives contagion and causes market fragility. In this model imitation is not intended as a change in the agent's group of origin, but is referred only to the price formation process. We introduce in the community also a variable number of random traders in order to study their possible beneficial role in stabilizing the market, as found in other studies. Finally we also suggest some counterintuitive policy strategies able to dampen fluctuations by means of a partial reduction of information.

  12. Modeling financial markets by self-organized criticality

    Science.gov (United States)

    Biondo, Alessio Emanuele; Pluchino, Alessandro; Rapisarda, Andrea

    2015-10-01

    We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders, composed by chartists and fundamentalists, and focus on the role of informative pressure on market participants, showing how the spreading of information, based on a realistic imitative behavior, drives contagion and causes market fragility. In this model imitation is not intended as a change in the agent's group of origin, but is referred only to the price formation process. We introduce in the community also a variable number of random traders in order to study their possible beneficial role in stabilizing the market, as found in other studies. Finally, we also suggest some counterintuitive policy strategies able to dampen fluctuations by means of a partial reduction of information.

  13. Responsiveness of the MENA Economic Growth to the EU Financial Integration: A Problem Evaluation

    Directory of Open Access Journals (Sweden)

    Seyed Komail Tayebi

    2011-01-01

    Full Text Available Implementing a currency union may lead members to face financial crisis if their financial markets are not ready to adopt themselves to a new situation. There are still problems like ownership concentration and self-governing states cause limitation in economic growth, financial development, and the ability of a country to take advantage of financial integration. The evidence is that the proportion of global financial flows dedicated to the low- and middle-income developing economies, decreased after the Asian crisis of 1997-98 (Das, 2006. These problems explain why the impact of financial integration has been limited and why it can lead to capital flight and financial crises. In this study, we develop an analytical framework of economic growth and assessing special and differential treatment of currency union (a subject of financial integration members (like the EU and apply this framework to MENA countries. We propose specifically that one can evaluate the "average" impact of the currency union membership on growth of the countries. It reveals the fact that the routine program evaluation can be for all the EU and MENA members. We will call this treated or untreated, respectively. Next, we predict such outcomes for a group of countries based on matching of their characteristics. Hence we use the matching method to make a relationship between a response variable (economic growth and a treatment variable (financial integration experimentally in the economies of the EU and MENA.

  14. Flights and CAViaR - Financial market stability and the stock-bond return relation

    OpenAIRE

    Viitanen, Tero

    2011-01-01

    PURPOSE OF THE STUDY This paper investigates the intranational dynamic relationship between daily stock and government bond returns of selected countries between January 1, 1999 and December 31, 2010 to assess financial market stability in different countries and market conditions. The underlying hypothesis of this paper is that the financial markets of the world’s most advanced economies exhibit financial market stability even under extreme market conditions and potentially systemic even...

  15. Self-fulfilling Ising Model of Financial Markets

    CERN Document Server

    Zhou, W X; Zhou, Wei-Xing; Sornette, Didier

    2005-01-01

    We study a dynamical Ising model of agents' opinions (buy or sell) with coupling coefficients reassessed continuously in time according to how past external news (magnetic field) have explained realized market returns. By combining herding, the impact of external news and private information, we test within the same model the hypothesis that agents are rational versus irrational. We find that the stylized facts of financial markets are reproduced only when agents are over-confident and mis-attribute the success of news to predict return to herding effects, thereby providing positive feedbacks leading to the model functioning close to the critical point.

  16. A New Approach to Spreadsheet Analytics Management in Financial Markets

    CERN Document Server

    Sentence, Brian

    2008-01-01

    Spreadsheets in financial markets are frequently used as database, calculator and reporting application combined. This paper describes an alternative approach in which spreadsheet design and database technology have been brought together in order to alleviate management and regulatory concerns over the operational risks of spreadsheet usage. In particular, the paper focuses on the rapid creation and centralised deployment of statistical analytics within a software system now in use by major investment banks, and presents a novel technique for the manipulation in spreadsheets of high volumes of intraday market data.

  17. Hedging in nonlinear models of illiquid financial markets

    OpenAIRE

    Sah, Nadim

    2014-01-01

    The majority of mathematical models concerned with the pricing and replication of derivatives in financial markets relies on the implicit assumption that the price for a traded position is linear in the position size, as is the case, for instance, in the famous Black-Scholes model. While suitable for small transactions, these models are inadequate if transaction sizes are large enough to be significant in comparison to the size of the market as a whole. In this thesis we study a nonlinear fra...

  18. Financial market pressure, tacit collusion and oil price formation

    International Nuclear Information System (INIS)

    We explore a hypothesis that a change in investment behaviour among international oil companies (IOC) towards the end of the 1990s had long-lived effects on OPEC strategies, and on oil price formation. Coordinated investment constraints were imposed on the IOCs through financial market pressures for improved short-term profitability in the wake of the Asian economic crisis. A partial equilibrium model for the global oil market is applied to compare the effects of these tacitly collusive capital constraints on oil supply with an alternative characterised by industrial stability. Our results suggest that even temporary economic and financial shocks may have a long-term impact on oil price formation. (author)

  19. Using trading strategies to detect phase transitions in financial markets.

    Science.gov (United States)

    Forró, Z; Woodard, R; Sornette, D

    2015-04-01

    We show that the log-periodic power law singularity model (LPPLS), a mathematical embodiment of positive feedbacks between agents and of their hierarchical dynamical organization, has a significant predictive power in financial markets. We find that LPPLS-based strategies significantly outperform the randomized ones and that they are robust with respect to a large selection of assets and time periods. The dynamics of prices thus markedly deviate from randomness in certain pockets of predictability that can be associated with bubble market regimes. Our hybrid approach, marrying finance with the trading strategies, and critical phenomena with LPPLS, demonstrates that targeting information related to phase transitions enables the forecast of financial bubbles and crashes punctuating the dynamics of prices. PMID:25974543

  20. Market risk stress testing for internationally active financial institutions

    Directory of Open Access Journals (Sweden)

    Markovi? Petar

    2011-01-01

    Full Text Available The paper develops a comprehensive framework for market risk stress testing in internationally active financial institutions. We begin by defining the scope and type of the stress test and explaining how to select risk factors and the stress time horizon. We then address challenges related to data gathering, followed by in-depth discussion of techniques for developing realistic shock scenarios. Next the process of shock application to a particular portfolio is described, followed by determination of portfolio profit and loss. We conclude by briefly discussing the issue of assigning probability to stress scenarios. We illustrate the framework by considering the development of a ‘worst case’ scenario using global financial market data from Thomson Reuters Datastream.

  1. Using trading strategies to detect phase transitions in financial markets

    Science.gov (United States)

    Forró, Z.; Woodard, R.; Sornette, D.

    2015-04-01

    We show that the log-periodic power law singularity model (LPPLS), a mathematical embodiment of positive feedbacks between agents and of their hierarchical dynamical organization, has a significant predictive power in financial markets. We find that LPPLS-based strategies significantly outperform the randomized ones and that they are robust with respect to a large selection of assets and time periods. The dynamics of prices thus markedly deviate from randomness in certain pockets of predictability that can be associated with bubble market regimes. Our hybrid approach, marrying finance with the trading strategies, and critical phenomena with LPPLS, demonstrates that targeting information related to phase transitions enables the forecast of financial bubbles and crashes punctuating the dynamics of prices.

  2. Asymptotic arbitrage and num\\'eraire portfolios in large financial markets

    CERN Document Server

    Rokhlin, D B

    2007-01-01

    This paper deals with the notion of a large financial market and the concepts of asymptotic arbitrage and strong asymptotic arbitrage (both of the first kind), introduced by Yu.M. Kabanov and D.O. Kramkov. We show that the arbitrage properties of a large market are completely determined by the asymptotic behavior of the sequence of the num\\'eraire portfolios, related to the small markets. The obtained criteria can be expressed in terms of contiguity, entire separation and Hellinger integrals, provided these notions are extended to sub-probability measures. As examples we consider market models on finite probability spaces, semimartingale and diffusion models. Also a discrete-time infinite horizon market model with one log-normal stock is examined.

  3. Benefits of an integrated European electricity market

    OpenAIRE

    Böckers, Veit; Haucap, Justus; Heimeshoff, Ulrich

    2013-01-01

    This paper analyses the benefits of further market integration of European wholesale electricity markets. Major gains from trade are sill left unrealized due to (1) uncomplete market coupling of national wholesale markets, (2) isolated national regulation of capacity and reserve mechanisms (CRM) and (3) a lack of harmonization of national support schemes for renewable energies.

  4. Revenue diversification in emerging market banks: implications for financial performance

    OpenAIRE

    Ben Gamra, Saoussen; Plihon, Dominique

    2011-01-01

    Shaped by structural forces of change, banking in emerging markets has recently experienced a decline in its traditional activities, leading banks to diversify into new business strategies. This paper examines whether the observed shift into non-interest based activities improves financial performance. Using a sample of 714 banks across 14 East-Asian and Latin-American countries over the post 1997-crisis changing structure, we find that diversification gains are more than of...

  5. IMF surveillance and financial markets: A political economy analysis

    OpenAIRE

    Fratzscher, Marcel; Reynaud, Julien

    2010-01-01

    The International Monetary Fund (IMF) is in the process of re-inventing itself with bilateral and multilateral surveillance emerging as a key function. The paper analyses how IMF surveillance announcements may be influenced by political power that member countries exert at the IMF. First, we analyze the content of Article IV Public Information Notices (PIN), and second, we use the financial market reaction to the release PINs as tools to identify the role of political economy factors for IMF ...

  6. Asymptotic Arbitrage in Large Financial Markets With Friction

    OpenAIRE

    Lépinette, Emmanuel; Ostafe, Lavinia

    2011-01-01

    In the modern version of Arbitrage Pricing Theory suggested by Kabanov and Kramkov the fundamental financially meaningful concept is an asymptotic arbitrage. The "real world" large market is represented by a sequence of "models" and, though each of them is arbitrage free, investors may obtain non-risky profits in the limit. Mathematically, absence of the asymptotic arbitrage is expressed as contiguity of envelopes of the sets of equivalent martingale measures and objective probabilities. The ...

  7. Critical Analysis of Electronic Simulation of Financial Market Fluctuations

    OpenAIRE

    Fanchiotti, H.; Canal, C. A. García; Martínez, N.

    2002-01-01

    An interesting analog circuit for simulating a signal with fluctuations having a probability density function with a power tail has recently been proposed and constructed. The exponent of the power law can be fixed by tuning an appropriate circuit element. The proposal is to use the circuit as a simulator-generator of financial market fluctuations and as a tool for risk estimations and forecasts. We present a discussion of the stability conditions for multiplicative noise and an exhaustive an...

  8. Endogenous financial literacy, saving and stock market participation

    OpenAIRE

    Spataro, Luca; CORSINI, LORENZO

    2013-01-01

    There is a consolidated empirical literature providing evidence of the fact that financial literacy, human capital, savings and stock market participation are interconnected decisions. However, to the best of our knowledge, a theoretical explanation of such connections is missing. In this paper we aim at filling this gap, by building a framework that includes all these decisions in an encompassing model. The results of our model provide a theoretical foundation for the role and the determinan...

  9. Imperfect Financial Markets and the Cyclicality of Social Spending

    OpenAIRE

    Froemel, Maren

    2014-01-01

    I develop a novel link between frictions in international financial markets and fiscal procyclicality.Complementing existing evidence, A decomposition of government expenditure into social spending and public good spending reveals that the cyclical correlation of social spending exhibits the biggest differences across countries. I build a small open economy model with income inequality, endogenous fiscal policy and sovereign default risk to rationalize this spending procyclicality. Government...

  10. The role of rating agencies in international financial market

    OpenAIRE

    Emilian - Constantin MIRICESCU

    2015-01-01

    In the context of financial markets globalization, the role of rating agencies and credit ratings expanded sharply. Standard & Poor's awarded in the late 70’s ratings only for 12 countries and currently it assigned ratings for 129 countries. Global rating agencies Standard & Poor's, Moody’s and Fitch publish long term sovereign ratings and short term sovereign ratings. The role of sovereign ratings is the decrease of informational asymmetry between borrowers (countries) – acting as issuers an...

  11. Product Market Integration, Comparative Advantages and Labour Market Performance

    DEFF Research Database (Denmark)

    Andersen, Torben M.; Rose Skaksen, Jan

    2003-01-01

    Product Market Integration, Comparative Advantages andLabour Market Performance@*In a two-country model with trade driven by comparative advantages, it is considered howimperfectly competitive labour markets are affected by lower frictions in international goodstrade. Easier goods trading is...

  12. Assessment of Development of Financial Markets in Central and Eastern European Countries During the Period of Transformation ?????? ???????? ?????????? ?????? ? ??????? ??????????? ? ????????? ?????? ? ?????? ?????????????

    Directory of Open Access Journals (Sweden)

    Kasiyan Yevgeniy V.

    2013-05-01

    Full Text Available The article studies development of financial markets of transition economies of Central and Eastern Europe as an important factor that influences economic growth. The article also draws attention to specific features of financial reforms directed at creation of efficient stock markets and its productivity. The author makes assessment of the level of development of the securities markets in the countries of Central and Eastern Europe in the context of their qualitative characteristics, such as depth, efficiency and stability. The author also shows the level of integration into international markets of capital and conducts comparison with developed neighbouring countries – members of European Union. The article also studies main shortcomings and problems of development of financial markets in these states and sets prospects of their development in the post-crisis period.? ?????? ?????? ??????????? ???????? ?????????? ?????? ?????????? ???????? ??????????? ? ????????? ?????? ??? ??????? ???????, ????????? ?? ????????????? ????. ? ?????? ????? ?????????? ???????? ?? ??????????? ?????????? ?????? ???????????? ?? ???????? ??????????? ???????? ?????? ? ?? ????????????????. ??????? ??????? ?????? ?????? ???????? ?????? ?????? ????? ? ??????? ??????????? ? ????????? ?????? ? ????????? ?? ???????????? ????????????? ????? ??? ???????, ????????????? ? ????????????, ??????? ??????? ?????????? ? ????????????? ????? ???????? ? ????????? ????????????? ?????????????? ? ????????? ????????? ????????–??????? ???????????? ?????. ????? ? ???? ?????? ??????????? ???????? ?????????? ? ???????? ???????? ?????????? ?????? ? ???? ????????????, ???????? ??????????? ?? ???????? ? ????????????? ??????.

  13. Time Varying Market Integration and Expected Rteurns in Emerging Markets

    OpenAIRE

    de Jong, F.C.J.M.; de Roon, F.A.

    2001-01-01

    We use a simple model in which the expected returns in emerging markets depend on their systematic risk as measured by their beta relative to the world portfolio as well as on the level of integration in that market.The level of integration is a time-varying variable that depends on the market value of the assets that can be held by domestic investors only versus the market value of the assets that can be traded freely.Our empirical analysis for 30 emerging markets shows that there are strong...

  14. Coupled effects of market impact and asymmetric sensitivity in financial markets

    CERN Document Server

    Zhong, Li-Xin; Ren, Fei; Shi, Yong-Dong

    2012-01-01

    By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the investors' global behavior are found to be closely related to the phase region they fall into. Within the region where the market impact is small, investors' asymmetric response to gains and losses leads to the occurrence of herd behavior, when all the investors are prone to behave similarly in an extreme way and large price fluctuations occur. A linear relation between the standard deviation of stock price changes and the mean value of strategies is found. With full market impact, the investors tend to self-segregate into opposing groups and the introduction of asymmetric sensitivity leads to the disappearance of dominant strategies. Compared with the situations in the stock market with little market impact, the stock price fluctuations are suppressed and an efficient market occ...

  15. Integrated Marketing Communication plan for GSK Nordic

    OpenAIRE

    Savelius, Sanna

    2013-01-01

    The purpose of this thesis was to create an integrated marketing communication plan for GSK Nordic. This included creating a marketing gift that will be sent to Swedish service firms and suggestions on how IMC could be implemented also in the future. The focus was on creating a marketing gift which would help GSK Nordic achieve their goal of finding co-operation partner from Sweden. Theoretical part of this thesis focused on the concept of integrated marketing com-munication and communica...

  16. Approaches to 'markets': the development of Shanghai as an international financial centre

    OpenAIRE

    Lai, Karen P.Y.

    2007-01-01

    This thesis opens up the black box of ‘markets’ by scrutinising the process of market formation and examining its complexities in the context of Shanghai’s development as an international financial centre. The financial markets in Shanghai are framed, understood and acted upon differently by the Chinese local and central governments, regulatory institutions, local and foreign financial institutions and transnational interests. The construction of a financial centre in Shanghai is thus not onl...

  17. From Fragmentation towards Innovation, the Application of Institutionalism towards Financial Market Theories

    OpenAIRE

    von Bernstorff, Alexandra

    2004-01-01

    Financial markets in less developed countries suffer from financial dualism, a situation in which a large informal sector coexists alongside a formal one. Contemporary financial market theories are not able to incorporate an understanding of the informal sector and are, therefore, only applicable to the formal system which is unsatisfying. With over 80 percent of the worlds population relying on informal financial arrangement (World Bank 2001), financial informality is not just a small except...

  18. COMMUNICATION AND PROMOTION OF INTEGRATED MARKETING

    Directory of Open Access Journals (Sweden)

    Keshav Lengare

    2016-03-01

    Full Text Available Integrated Marketing Communication emerges as a powerful tool that guides practitionersin developing and implementing marketing communications more consistently and effectively.Despite its continuing appeal little is known about its physical or visible form in marketing communication process, but the emergence of this concept has become one of the most significantexamples of development in the marketing discipline. It is the most innovative function ofmarketing endorsed by advertising and marketing practitioners. Integrated Marketing Communication has moved beyond communication to the process of using promotional elements in a unified way so that a synergistic communication effect is created and achieved.

  19. Self-referential behaviour, overreaction and conventions in financial markets

    CERN Document Server

    Wyart, M; Wyart, Matthieu; Bouchaud, Jean-Philippe

    2003-01-01

    We study a generic model for self-referential behaviour in financial markets, where agents attempt to use some (possibly fictitious) causal correlations between a certain quantitative information and the price itself. This correlation is estimated using the past history itself, and is used by a fraction of agents to devise active trading strategies. The impact of these strategies on the price modify the observed correlations. A potentially unstable feedback loop appears and destabilizes the market from an efficient behaviour. For large enough feedbacks, we find a `phase transition' beyond which non trivial correlations spontaneously set in and where the market switches between two long lived states, that we call conventions. This mechanism leads to overreaction and excess volatility, which may be considerable in the convention phase. A particularly relevant case is when the source of information is the price itself. The two conventions then correspond then to either a trend following regime or to a contrarian...

  20. On the Modular Dynamics of Financial Market Networks

    CERN Document Server

    Silva, Filipi N; Peron, Thomas K DM; Rodrigues, Francisco A; Ye, Cheng; Wilson, Richard C; Costa, Edwin Hancockm Luciano da F

    2015-01-01

    The financial market is a complex dynamical system composed of a large variety of intricate relationships between several entities, such as banks, corporations and institutions. At the heart of the system lies the stock exchange mechanism, which establishes a time-evolving network of transactions among companies and individuals. Such network can be inferred through correlations between time series of companies stock prices, allowing the overall system to be characterized by techniques borrowed from network science. Here we study the presence of communities in the inferred stock market network, and show that the knowledge about the communities alone can provide a nearly complete representation of the system topology. This is done by defining a simple random model sharing only the sizes and interconnectivity between communities observed in the time-evolving stock market network. We show that many topological characteristics of the inferred networks are preserved in the modeled networks. In particular, we find t...

  1. Testing for detailed balance in a financial market

    Science.gov (United States)

    Fiebig, H. R.; Musgrove, D. P.

    2015-06-01

    We test a historical price-time series in a financial market (the NASDAQ 100 index) for a statistical property known as detailed balance. The presence of detailed balance would imply that the market can be modeled by a stochastic process based on a Markov chain, thus leading to equilibrium. In economic terms, a positive outcome of the test would support the efficient market hypothesis, a cornerstone of neo-classical economic theory. In contrast to the usage in prevalent economic theory the term equilibrium here is tied to the returns, rather than the price-time series. The test is based on an action functional S constructed from the elements of the detailed balance condition and the historical data set, and then analyzing S by means of simulated annealing. Checks are performed to verify the validity of the analysis method. We discuss the outcome of this analysis.

  2. Integrating Energy Markets: Does Sequencing Matter?

    OpenAIRE

    Neuhoff, Karsten; Newbery, David

    2004-01-01

    This paper addresses three questions that are relevant to integrating different regional transmission areas. Market integrating normally increases the number of competitors and should therefore reduce prices but the first section shows that prices could rise when the number of generators initially increases. Regulatory effort will also be affected by market integration. If the number of generators in either market is low, then our analysis suggests that the outcome depends on whether the regu...

  3. Searching for New Regulatory Frameworks for the Intermediate Financial Market Structure in Post-Crisis Asia

    OpenAIRE

    Shirai, Sayuri

    2001-01-01

    In Asia, commercial banks are already playing an important role in the corporate bond market as issuers, underwriters, investors, and guarantors. This reflects banks’ dominance of their financial markets, their high reputation, and the informational advantages they enjoy. Thus, banks should be encouraged to foster corporate bond market development and pursue a complementary role. Such a financial landscape can be characterized as an “intermediate financial market structure,” which lies somewh...

  4. Impact of Financial News Headline and Content to Market Sentiment

    Directory of Open Access Journals (Sweden)

    Tan Li

    2014-04-01

    Full Text Available Business and financial news are important resources that investors referred to when monitoring the stock performance. News brings us the latest information about the stock market. Studies have shown that business and financial news have a strong correlation with future stock performance. Business and financial news can be used to extract sentiments and opinions that may assist in the stock price predictions. In this paper, we present a sentiment analyser for financial news articles using lexicon-based approach. We utilized two most important elements of news, the headline and the content as our test data. We use polarity lexicon to distinguish between positive and negative polarity of each term in the corpus. We further investigate on how news headline will affect the sentiment analysis by adjusting the weights of the news headline and news content’s sentiment value. Three sets of experiments were carried out using headline only, content only and headline and content as test data. In the experiment, we used non-stemming tokens and stemming tokens when considering individual word found in the news article. The preliminary results are presented and discussed in this paper.

  5. Financial News and Market Panics in the Age of Highfrequency Sentiment Trading Algorithms

    DEFF Research Database (Denmark)

    Kleinnijenhuis, Jan; Schultz, Friederike

    2013-01-01

    Whether financial news may contribute to market panics is not an innocent question. A positive answer is easily used as a legitimation to limit the freedom of financial journalists. Long-term effects of news are moreover inconsistent with the Efficient Market Hypothesis (EMH), which maintains that new information gives immediately rise to a new equilibrium. The EMH is under discussion, however, as a result of the transformation of financial markets and of financial journalism due to new economic thoughts, new communication theories, high-frequency trading and high-frequency sentiment analysis. As a case study of a market panic we show the impact of US news, UK news and Dutch news on three Dutch banks during the financial crisis of 2007–9. To avoid market panics, financial journalists may strive for greater transparency, not only on asset prices and corporate philosophies, but also on network dependencies in the worldwide financial markets.

  6. The highly intelligent virtual agents for modeling financial markets

    Science.gov (United States)

    Yang, G.; Chen, Y.; Huang, J. P.

    2016-02-01

    Researchers have borrowed many theories from statistical physics, like ensemble, Ising model, etc., to study complex adaptive systems through agent-based modeling. However, one fundamental difference between entities (such as spins) in physics and micro-units in complex adaptive systems is that the latter are usually with high intelligence, such as investors in financial markets. Although highly intelligent virtual agents are essential for agent-based modeling to play a full role in the study of complex adaptive systems, how to create such agents is still an open question. Hence, we propose three principles for designing high artificial intelligence in financial markets and then build a specific class of agents called iAgents based on these three principles. Finally, we evaluate the intelligence of iAgents through virtual index trading in two different stock markets. For comparison, we also include three other types of agents in this contest, namely, random traders, agents from the wealth game (modified on the famous minority game), and agents from an upgraded wealth game. As a result, iAgents perform the best, which gives a well support for the three principles. This work offers a general framework for the further development of agent-based modeling for various kinds of complex adaptive systems.

  7. Financial overview of integrated community energy systems

    Energy Technology Data Exchange (ETDEWEB)

    Croke, K. G.; Hurter, A. P.; Lerner, E.; Breen, W.; Baum, J.

    1977-01-01

    This report is designed to analyze the commercialization potential of various concepts of community-scale energy systems that have been termed Integrated Community Energy Systems (ICES). A case analysis of alternative ICES concepts applied to a major metropolitan development complex is documented. The intent of this study is twofold: (1) to develop a framework for comparing ICES technologies to conventional energy supply systems and (2) to identify potential problems in the commercialization of new systems approaches to energy conservation. In brief, the ICES Program of the ERDA Office of Energy Conservation is intended to identify the opportunities for energy conservation in the community context through analysis, development, and/or demonstration of: location and design of buildings, building complexes, and infrastructure links; engineering and systems design of existing, emerging, and advanced energy production and delivery technologies and systems; regulatory designs for public planning, administration, and regulation of energy-conserving community development and energy services; and financial planning for energy-conserving community development and energy supply systems.

  8. Dynamics of cluster structures in a financial market network

    Science.gov (United States)

    Kocheturov, Anton; Batsyn, Mikhail; Pardalos, Panos M.

    2014-11-01

    In the course of recent fifteen years the network analysis has become a powerful tool for studying financial markets. In this work we analyze stock markets of the USA and Sweden. We study cluster structures of a market network constructed from a correlation matrix of returns of the stocks traded in each of these markets. Such cluster structures are obtained by means of the P-Median Problem (PMP) whose objective is to maximize the total correlation between a set of stocks called medians of size p and other stocks. Every cluster structure is an undirected disconnected weighted graph in which every connected component (cluster) is a star, or a tree with one central node (called a median) and several leaf nodes connected with the median by weighted edges. Our main observation is that in non-crisis periods of time cluster structures change more chaotically, while during crises they show more stable behavior and fewer changes. Thus an increasing stability of a market graph cluster structure obtained via the PMP could be used as an indicator of a coming crisis.

  9. Evidence on the Efficient Market Hypothesis from 44 Global Financial Market Indexes

    OpenAIRE

    William R. Latham; Helen M. Bowers; Huijian Dong

    2013-01-01

    This paper employs Granger causality tests to identify the impacts of historical information from global financial markets on their current levels in 30-day windows. The dataset consists primarily of the daily index levels of the (1) open, (2) closed, (3) intraday high, (4) intraday low, and (5) trading volume series for the world’s 37 most influential equity market indexes, two crude oil prices, a gold price, and four major money market prices in the United States are used as control groups....

  10. Financial Inclusion and the Linkages to Stability, Integrity and Protection : Insights from the South African Experience

    OpenAIRE

    CGAP

    2012-01-01

    International Standard-Setting Bodies (SSBs) and national policy makers-including financial regulators-pursue the core objectives of financial stability, financial integrity and financial consumer protection. These advances challenge financial regulators to consider how to optimize the linkages among the four distinct policy objectives financial inclusion, financial stability, financial in...

  11. Optimal Robust Mean-Variance Hedging in Incomplete Financial Markets

    CERN Document Server

    Lazrieva, N

    2008-01-01

    Optimal B-robust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal mean-variance robust (optimal V -robust) trading strategy is find to hedge in mean-variance sense the contingent claim in incomplete financial market with arbitrary information structure and misspecified volatility of asset price, which is modelled by multidimensional continuous semimartingale. Obtained results are applied to stochastic volatility model, where the model of latent volatility process contains unknown multidimensional parameter in drift coefficient and small parameter in diffusion term.

  12. Ito calculus without probability in idealized financial markets

    CERN Document Server

    Vovk, Vladimir

    2011-01-01

    We consider idealized financial markets in which price paths of the traded securities are cadlag functions, imposing mild restrictions on the allowed size of jumps. We prove the existence of quadratic variation for typical price paths, where the qualification "typical" means that there is a trading strategy that risks only one monetary unit and brings infinite capital if quadratic variation does not exist. This result allows one to apply numerous known results in pathwise Ito calculus to typical price paths; we give a brief overview of such results.

  13. Influence of Terrorist Activities on Financial Markets: Evidence from KSE

    Directory of Open Access Journals (Sweden)

    Usman Bashir

    2013-05-01

    Full Text Available This paper investigates the influence of terrorist activities taking place in Pakistan on KSE (Karachi Stock Exchange for the period of 01/2005 to 12/2010 using the GARCH & GARCH- EVT to identify the relationship between these two variables, the study establishes that the terrorist activities adversely affect the financial markets and in case of KSE, it is highly significant relation. Reason for the negative relationship exists because of the foremost increase in number of terrorism attacks in Pakistan.

  14. Integrating Ethics into the Marketing Curriculum.

    Science.gov (United States)

    Martin, James H.

    1990-01-01

    Describes how John Carroll University successfully integrated ethics into existing marketing courses. Provides a summary of the current literature on marketing ethics, discusses the educational goals that are met by integrating ethics into the curriculum, examines available curricular options, and details the design and implementation of a segment…

  15. The Marketing-Finance Interface Towards Financial Services: with Special Reference to New Services Provided by Futures Exchanges

    OpenAIRE

    Pennings, J.M.E.; Wetzels, M.G.M.; M.T.G. Meulenberg

    1999-01-01

    The financial services industry is one of the fastest growing service industries. The financial services industry includes financial derivatives markets such as options and futures markets. In order to ensure survival, firms providing financial services show a rapid product innovation. However, for financial services the risk of failure is considerable. Argues that a synthesis between the financial approach and the marketing approach towards financial services provides a conceptual framework ...

  16. Integrating gas and electric markets and regulation

    International Nuclear Information System (INIS)

    The issues determining what energy companies must do to compete in an increasingly competitive energy market and what regulators must do to ensure fairness in competition were discussed. The similarities of gas and electric markets, and the factors driving their integration were highlighted. The importance of communications and customer service in the energy market and the nature of market power in the gas and electric industries was described. Three reasons were given why gas/electric mergers will be beneficial: (1) operating efficiency, (2) applying gas experience to electric markets, and (3) opportunity to exercise market power. Potential regulatory problems were also reviewed

  17. Characterization of large price variations in financial markets

    CERN Document Server

    Johansen, A

    2002-01-01

    Statistics of drawdowns (loss from the last local maximum to the next local minimum) plays an important role in risk assessment of investment strategies. As they incorporate higher ($>$ two) order correlations, they offer a better measure of real market risks than the variance or other cumulants of daily (or some other fixed time scale) of returns. Previous results have shown that the vast majority of drawdowns occurring on the major financial markets have a distribution which is well-represented by a stretched exponential, while the largest drawdowns are occurring with a significantly larger rate than predicted by the bulk of the distribution and should thus be characterized as outliers. In the present analysis, the definition of drawdowns is generalised to coarse-grained drawdowns or so-called epsilon-drawdowns and a link between such epsilon-outliers and preceding log-periodic power law bubbles previously identified is established.

  18. Forecasting Financial Market Annual Performance Measures: Further Evidence

    Directory of Open Access Journals (Sweden)

    Edward J. Lusk

    2010-01-01

    Full Text Available Problem statement: Forecasting is simple; producing accurate forecasts is the essential task. Experience suggests that financial managers often assume that because models used in forecasting are appropriate that they are effective. This study addresses this assumption. Effective is taken to mean forecasts where the Absolute Percentage Error (APE is equal to or less than 10%. It has been reported that forecasts of the CAPM-β using the Bloomberg heuristic did not provide effective forecasts. We were interested to determine if the lack of forecasting accuracy is peculiar to β or is more pervasive. Approach: We expanded the analysis to include three measures of Excess Market Return: Jensen’s α (Jα, the Sharpe Performance Index (SPI and the Treynor Performance Index (TPI and two measures of market risk: we once again consider β and also a measure of non-market risk called idiosyncratic Risk (iR. We used information on 58 firms continuously traded on the NYSE or the NASDAQ from 1980 to and including 2008 to evaluate the effectiveness of forecasts of: Jα, SPI, TPI, β and iR. Results: Using Exponential Smoothing or (1,0,0 ARIMA models, we found no evidence that effective forecasts of these five market measures can be derived from such forecasting models. Conclusion/Recommendations: The important implication is: Financial Managers should be aware that even though they are they are using appropriate models to generate forecasts of Jα, SPI, TPI, β and iR that is no guarantee that such forecasts are effective. Finally, the authors’ results are posted on Scholarly Commons.

  19. Dynamic effects of increasing heterogeneity in financial markets

    International Nuclear Information System (INIS)

    Despite canonical behavioural financial market models [Day R, Huang W. Bulls, bears and market sheep. J Econ Behav Org 1990;14:299-329], that use different types of agents (i.e., fundamentalist vs. chartists), we develop a model in which the source of instability is the interaction of groups that are homogeneous in the strategy they use, but have heterogeneous beliefs about the fundamental value of the asset. Specifically, heterogeneity arises among two groups of fundamentalists that follow gurus. We show that an increasing distance between beliefs (the degree of heterogeneity), leads first (i) to a pitchfork bifurcation to arise secondly (ii) it generates, together with a larger reaction to misalignment of both market maker and agents, the appearance of a periodic, or even, chaotic, price fluctuation; (iii) finally a homoclinic bifurcation [Dieci R, Bischi GI, Gardini L. From bi-stability to chaotic oscillations in a macroeconomic model. Chaos, Solitons and Fractals 2001;12:805-22] transforms a two piece chaotic set into a one piece chaotic set that generates bull and bear markets.

  20. On the inherent instability of international financial markets: Natural nonlinear interactions between stock and foreign exchange markets

    OpenAIRE

    Dieci, Roberto; Westerhoff, Frank

    2011-01-01

    We develop a novel financial market model in which the stock markets of two countries are linked via and with the foreign exchange market. To be precise, there are domestic and foreign speculators in each of the two stock markets which rely either on linear technical or linear fundamental trading strategies to determine their orders. Since foreign stock market speculators require foreign currency to conduct their trades, all three markets are connected. Our setup entails a natural nonlinearit...

  1. Evidence of market manipulation in the financial crisis

    CERN Document Server

    Misra, Vedant; Bar-Yam, Yaneer

    2011-01-01

    We provide direct evidence of market manipulation at the beginning of the financial crisis in November 2007. The type of manipulation, a "bear raid," would have been prevented by a regulation that was repealed by the Securities and Exchange Commission in July 2007. The regulation, the uptick rule, was designed to prevent manipulation and promote stability and was in force from 1938 as a key part of the government response to the 1928 market crash and its aftermath. On November 1, 2007, Citigroup experienced an unusual increase in trading volume and decrease in price. Our analysis of financial industry data shows that this decline coincided with an anomalous increase in borrowed shares, the selling of which would be a large fraction of the total trading volume. The selling of borrowed shares cannot be explained by news events as there is no corresponding increase in selling by share owners. A similar number of shares were returned on a single day six days later. The magnitude and coincidence of borrowing and r...

  2. Coupled effects of market impact and asymmetric sensitivity in financial markets

    Science.gov (United States)

    Zhong, Li-Xin; Xu, Wen-Juan; Ren, Fei; Shi, Yong-Dong

    2013-05-01

    By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the investors’ global behavior are found to be closely related to the phase region they fall into. Within the region where the market impact is small, investors’ asymmetric response to gains and losses leads to the occurrence of herd behavior, when all the investors are prone to behave similarly in an extreme way and large price fluctuations occur. A linear relation between the standard deviation of stock price changes and the mean value of strategies is found. With full market impact, the investors tend to self-segregate into opposing groups and the introduction of asymmetric sensitivity leads to the disappearance of dominant strategies. Compared with the situations in the stock market with little market impact, the stock price fluctuations are suppressed and an efficient market occurs. Theoretical analyses indicate that the mechanism of phase transition from clustering to self-segregation in the present model is similar to that in the majority-minority game and the occurrence and disappearance of efficient markets are related to the competition between the trend-following and the trend-aversion forces. The clustering of the strategies in the present model results from the majority-wins effect and the wealth-driven mechanism makes the market become predictable.

  3. An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market

    CERN Document Server

    Dionisio, A; Mendes, D A; Dionisio, Andreia; Menezes, Rui; Mendes, Diana A.

    2006-01-01

    In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing interrelationship between physics and financial theory. In this field the analysis of uncertainty, which is crucial in financial analysis, can be made using measures of physics statistics and information theory, namely the Shannon entropy. One advantage of this approach is that the entropy is a more general measure than the variance, since it accounts for higher order moments of a probability distribution function. An empirical application was made using data collected from the Portuguese Stock Market.

  4. An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market

    Science.gov (United States)

    Dionisio, A.; Menezes, R.; Mendes, D. A.

    2006-03-01

    In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing interrelationship between physics and financial theory. In this field the analysis of uncertainty, which is crucial in financial analysis, can be made using measures of physics statistics and information theory, namely the Shannon entropy. One advantage of this approach is that the entropy is a more general measure than the variance, since it accounts for higher order moments of a probability distribution function. An empirical application was made using data collected from the Portuguese Stock Market.

  5. Impact of global financial crisis on stylized facts between energy markets and stock markets

    Science.gov (United States)

    Leng, Tan Kim; Cheong, Chin Wen; Hooi, Tan Siow

    2014-06-01

    Understanding the stylized facts is extremely important and has becomes a hot issue nowadays. However, recent global financial crisis that started from United States had spread all over the world and adversely affected the commodities and financial sectors of both developed and developing countries. This paper tends to examine the impact of crisis on stylized facts between energy and stock markets using ARCH-family models based on the experience over 2008 global financial crisis. Empirical results denote that there is long lasting, persists and positively significant the autocorrelation function of absolute returns and their squares in both markets for before and during crisis. Besides that, leverage effects are found in stock markets whereby bad news has a greater impact on volatility than good news for both before and during crisis. However, crisis does not indicate any impact on risk-return tradeoff for both energy and stock markets. For forecasting evaluations, GARCH model and FIAPARCH model indicate superior out of sample forecasts for before and during crisis respectively.

  6. Systemic risk of UCITS investment funds and financial market stability tested using MRS model

    OpenAIRE

    Krišto, Jakša; Stojanović, Alen; FILIPOVIĆ, Hrvoje

    2015-01-01

    Systemic risk came into attention in the period of recent financial crisis. Importance of financial intermediation of investment funds is posing to a systemic influence of this sector to a stability of a financial market and therefore whole financial sector. This was proven through investment behavior, fire sales and net outflows from investment funds during the financial crisis. The article is testing systemic risk of whole range of different UCITS investment funds and behavior of these inst...

  7. HERDING BEHAVIOR UNDER MARKETS CONDITION: EMPIRICAL EVIDENCE ON THE EUROPEAN FINANCIAL MARKETS

    Directory of Open Access Journals (Sweden)

    Moatemri Ouarda

    2013-01-01

    Full Text Available This study presents four main contributions to the literature of behavior herding. Firstly, it extends the behavioral researches of herding of the investors on a developed market and mainly on a European market as a whole. Secondly, we are interested in examination of herding behavior at the level of sectors by using data at the levels of companies. Thirdly, this document estimates the implications of herding behavior in terms of returns, volatility and volume of transaction. Fourthly, the herding behavior is revealed as well during the period of the recent global financial crisis in 2007-2008 and of Asian crisis. Our results reveal a strong evidence of herding behavior sharply contributed to a bearish situation characterized by a strong volatility and a trading volume. The repercussion of herding during the period of the recent financial crisis is clearly revealed for the sectors of the finance and the technology.

  8. An Investigation of the Integrity of Internet Financial Reporting

    OpenAIRE

    Barry Smith; Aileen Pierce

    2005-01-01

    Since the mid 1990s, large companies have increasingly used the Internet to disclose business and financial information. Internet technology is regularly claimed to facilitate greater relevance and timeliness of business information. The integrity of information disclosed on corporate websites has, however, been subject to comparatively little scrutiny. This study focuses on the integrity of Internet Financial Reporting (IFR) by reference to the adequacy of underlying corporate governance pro...

  9. Capital Market Integration in ASEAN Countries: Special Investigation of Indonesian Towards the Big Four

    Directory of Open Access Journals (Sweden)

    Barli Suryanta

    2012-01-01

    Full Text Available ASEAN already proposed financial integration through capital market integration based on ASEAN Economics Community (AEC 2020 treaty in order to aim comprehensive ASEAN economic integration. The objective of this study is to occur the capacity of Indonesian in terms of integrating its capital market towards the big four i.e., Singaporean, Malaysian, Philippines, and Thailand.  Vector Auto-regression (VAR analysis is utilized to investigate Indonesian market returns co-movement and dynamic link with ASEAN 4. The conclusion of this study, there is neither co-movement nor strong dynamic link between Indonesian capital market with those of Singaporean, Malaysian, Philippines, and Thailand. Keywords: ASEAN Capital market integration, Indonesian Capital Market, ASEAN 4 Capital Market, VAR Framework.

  10. Designing a Financial Market Structure in Post-Crisis Asia: How to Develop Corporate Bond Markets

    OpenAIRE

    Yoshitomi, Masaru; Shirai, Sayuri

    2001-01-01

    Since the Asian financial crisis, strong and increasingly prevalent views have emerged thatbanks are no more functional and that economic development should rely on capital markets. Suchviews claim that the Asian crisis was caused by heavy dependence of firms’ investment on bank loansand that Asian commercial banks did not function as properly as those operating in some advancedcountries, due to crony relations among banks, firms, and governments. These views conclude thatpolicies should plac...

  11. When the financial markets start coughing, office markets quickly catch a cold

    Directory of Open Access Journals (Sweden)

    Sabine Dörry

    2011-11-01

    Full Text Available “Where does property ‘fit’ into the dynamics of value creation under contemporary capitalism?” and “What about the economics of property?”, only recently did Christophers (2010: 94 address these questions to his fellow geographers. With Towers of Capital, Lizieri has now presented a long overdue book, which insightfully investigates the multifaceted – though primarily economic – phenomena of office markets, specifically in international financial centres (IFCs, and their strong entanglement...

  12. Impact of the Global Crisis on the Financial Linkages between the Stock Market and the Foreign Exchange Market from Romania

    OpenAIRE

    Stefanescu, Razvan; Dumitriu, Ramona

    2009-01-01

    This paper explores the financial linkages between the Romanian stock market and the exchange market in the context of the global crisis. We investigate such relations for two periods of time: one from January 2006 to February 2008, when the Romanian financial markets were quite tranquil and the other from March 2008 to September 2009, while the global crisis effects were considerable for Romania. For the first period of time we could not prove significant relations between the foreign exchan...

  13. A Limit Theorem for Financial Markets with Inert Investors

    CERN Document Server

    Bayraktar, E; Sircar, R; Bayraktar, Erhan; Horst, Ulrich; Sircar, Ronnie

    2006-01-01

    We study the effect of investor inertia on stock price fluctuations with a market microstructure model comprising many small investors who are inactive most of the time. It turns out that semi-Markov processes are tailor made for modelling inert investors. With a suitable scaling, we show that when the price is driven by the market imbalance, the log price process is approximated by a process with long range dependence and non-Gaussian returns distributions, driven by a fractional Brownian motion. Consequently, investor inertia may lead to arbitrage opportunities for sophisticated market participants. The mathematical contributions are a functional central limit theorem for stationary semi-Markov processes, and approximation results for stochastic integrals of continuous semimartingales with respect to fractional Brownian motion.

  14. Managerial Incentives and Market Integration

    OpenAIRE

    Weibull, Jörgen W.

    1996-01-01

    This paper develops a new analytical approach to the old question whether market conditions may influence the internal efficiency of firms. The basic textbook model of the firm is slightly extended to incorporate managers' incentives to reduce production costs in an imperfectly competitive product market. This is done without invoking any agency problem or other form of information asymmetry in firms. The analysis extends Marshallian and Hicksian consumer analysis to managers' demand for leis...

  15. The Evolutionary Model of Financial Markets in Terms of Transformation Economy ???????????? ?????? ????????? ??????????? ????? ? ???????? ????????????????? ?????????

    Directory of Open Access Journals (Sweden)

    Zakharchenko Pavel V.

    2012-12-01

    Full Text Available The article is devoted to solving of actual problem the construction and research management model the conduct of financial market in the conditions of transformation economy. It is offered and in theory grounded conception of management the conduct of financial market of Ukraine. On its basis the nonlinear dynamic model of evolutional conduct of fund market is built, the scenarios of development of economic processes are got at such market.?????? ????????? ??????? ?????????? ???????? ?????????? ? ???????????? ?????? ?????????? ?????????? ??????????? ????? ? ???????? ????????????????? ?????????. ?????????? ? ???????????? ?????????? ????????? ?????????? ?????????? ??????????? ????? ???????. ?? ?? ?????? ????????? ?????????? ???????????? ?????? ????????????? ????????? ????????? ?????, ???????? ???????? ???????? ????????????? ????????? ?? ????? ?????.

  16. Integrating Sustainability Education into International Marketing Curricula

    Science.gov (United States)

    Perera, Chamila Roshani; Hewege, Chandana Rathnasiri

    2016-01-01

    Purpose: The purpose of this study is to extend the current knowledge of curriculum developments in international business and marketing curricula. Integrating sustainability into business and marketing curricula of the universities are widely debated in previous literature. Sustainability is a global phenomenon; however, curriculum development…

  17. Integrating Sustainability Education into International Marketing Curricula

    Science.gov (United States)

    Perera, Chamila Roshani; Hewege, Chandana Rathnasiri

    2016-01-01

    Purpose: The purpose of this study is to extend the current knowledge of curriculum developments in international business and marketing curricula. Integrating sustainability into business and marketing curricula of the universities are widely debated in previous literature. Sustainability is a global phenomenon; however, curriculum development…

  18. Merging Advertising and PR: Integrated Marketing Communications.

    Science.gov (United States)

    Rose, Patricia B.; Miller, Debra A.

    1994-01-01

    Identifies and compares the perceived educational needs of advertising and public relations practitioners. Explores differences between practitioners in small versus large markets, and assesses practitioners' beliefs about integrated marketing communications (the merger of advertising and public relations under a single organizational unit). (SR)

  19. Is oil supply choked by financial market pressures?

    International Nuclear Information System (INIS)

    Since the late 1990s, financial analysts have focused strongly on short-term profitability for benchmarking and valuation of international oil and gas companies. The increasing pressure for strict capital discipline among oil and gas companies may have reduced their willingness to invest for future reserves and production growth. The current high oil price is partly due to low exploration activity in the oil industry the last decade. We present and discuss the background for this development-based on previous academic research, industry trends and current valuation practices. An estimated econometric model of stock market valuation among oil and gas companies suggests that analysts and companies have put exaggerate weight on short-term earnings and accounting profitability. We therefore expect that the attention will shift back to long-term reserve and production growth

  20. Data Mining for Customer Segmentation in Personal Financial Market

    Science.gov (United States)

    Wang, Guoxun; Li, Fang; Zhang, Peng; Tian, Yingjie; Shi, Yong

    The personal financial market segmentation plays an important role in retail banking. It is widely admitted that there are a lot of limitations of conventional ways in customer segmentation, which are knowledge based and often get bias results. In contrast, data mining can deal with mass of data and never miss any useful knowledge. Due to the mass storage volume of unlabeled transaction data, in this paper, we propose a clustering ensemble method based on majority voting mechanism and two alternative manners to further enhance the performance of customer segmentation in real banking business. Through the experiments and examinations in real business environment, we can come to a conclusion that our model reflect the true characteristics of various types of customers and can be used to find the investment preferences of customers.

  1. Vertical integration and performance in marketing channels

    OpenAIRE

    Childerley, Angela M.

    1980-01-01

    Since the late 1960's there has been an increasing tendency to analyse marketing channels as social systems rather than as economic systems. Despite this, the relationship between vertical integration and performance in marketing channels has continued to be analysed from an economic perspective. In this study, not only is a social systems approach adopted to examine the relationship between vertical integration and performance, but certain additional features are also...

  2. Market integration for natural gas in Europe

    OpenAIRE

    Asche, Frank; Osmundsen, Petter; Tveterås, Ragnar

    2000-01-01

    In this paper we examine the degree of market integration in French gas imports. Are there substantial price differences between gas from different export countries, and do prices move together? Furthermore, we analyze to what extent the French, German and Belgian markets are integrated. The long-term takeor- pay contracts are described and analyzed. Time series of Norwegian, Dutch and Russian gas export prices are examined for the period 1990-1997. Cointegration tests show t...

  3. The role of the Financial Supervision Authority and the situation of the client on the financial services market with special emphasis on the banking services market

    Directory of Open Access Journals (Sweden)

    Edyta Rutkowska-Tomaszewska

    2012-12-01

    Full Text Available A well-functioning financial services market should be stable and transparent, as well as ensure security and protect the interests of its participants. These goals and tasks are defined in a number of legal acts, and an important role in their realization has been entrusted to the Polish Financial Supervision Authority as the oversight body for the financial services market. The Polish Financial Supervision Authority (hereinafter referred to as the FSA has been equipped with tools allowing it to counteract impermissible actions of financial services market participants, such as entities subject to oversight due to their provisioning of financial services. Within the scope of its oversight, the Financial Supervision Authority examines whether the interests of market participants and their security have been violated. It is also equipped with the capacity to undertake actions of a direct nature – operating on the basis of competences granted to it by particular regulations concerning its tasks, or also indirectly – in situations when it doesn’t have the standing to instigate the appropriate procedures, if it possesses information about violations and improprieties it can forward such information to authorized bodies in order to set in motion the relevant mechanisms. By performing its duties properly, the FSA can have a positive effect on the relationships between entities providing financial services and their clients, by restoring a semblance of balance and fairness.

  4. An investigation on the effects of perception and marketing expenditure, financial and non-financial promotions on brand equity

    Directory of Open Access Journals (Sweden)

    Abbas Ataheryan

    2013-09-01

    Full Text Available This paper presents a study to investigate the effects of perception and marketing expenditures as well as financial and non-financial promotions on brand equity. The proposed study of this paper prepares a questionnaire in Likert scale and distributes it among regular customers of three types of Shampoo in city of Tehran, Iran. The implementation of structural equation modeling for the proposed study of this paper has been accomplished based on LISREL software. The results of the survey on testing various hypotheses indicate that perception on marketing expenditure, financial as well as non-financial promotion and word of mouth advertisement influence positively on brand awareness and negatively on non-financial promotions (?=0.01. In addition, brand awareness influences positively on perception quality (?=0.01. Brand awareness as well as brand associate also influence on brand loyalty (?=0.01.

  5. Effects of Participation in a Simulation Game on Marketing Students' Numeracy and Financial Skills

    Science.gov (United States)

    Brennan, Ross; Vos, Lynn

    2013-01-01

    The need to endow marketing graduates with skills relevant to employability grows ever more important. Marketing math and elementary financial understanding are essential employability skills, particularly given the contemporary emphasis on marketing metrics, but the evidence is that marketing graduates are often relatively weak in such skills.…

  6. Effects of Participation in a Simulation Game on Marketing Students' Numeracy and Financial Skills

    Science.gov (United States)

    Brennan, Ross; Vos, Lynn

    2013-01-01

    The need to endow marketing graduates with skills relevant to employability grows ever more important. Marketing math and elementary financial understanding are essential employability skills, particularly given the contemporary emphasis on marketing metrics, but the evidence is that marketing graduates are often relatively weak in such skills.…

  7. Do Markets Cointegrate after Financial Crises? Evidence from G-20 Stock Markets

    Directory of Open Access Journals (Sweden)

    Mahfuzul Haque

    2015-12-01

    Full Text Available The results of the single-equation cointegration tests indicate that patterns of cointegration in the two main and four sub-periods are not homogeneous. Two key findings emerge from the study. First, fewer stock markets cointegrated with S&P 500 during the crisis period than they did during the pre-crisis. In other words, as the 2008 financial crisis deepened, S&P 500 and G-20 stock indices moved towards less cointegration. The decreasing number of cointegrating relationships implies that the U.S. stock markets and other G-20 markets have experienced different driving forces since the start of the U.S. crisis. Second, among those markets that are cointegrated with S&P 500, they happened to be deeply affected by S&P and the shocks emerging from it. The 2007–2009 financial crises can be considered a structural break in the long-run relationship and may have resulted from effective joint intervention/responses taken by members of G-20 nations.

  8. Integrating Europe's Securities Markets: The Way Forward

    OpenAIRE

    Daniel Mark Azzopardi

    2011-01-01

    Having been earmarked as one of the primary objectives towards the creation of the Single Market from early on, the consolidation of securities legislation in the EU really took off under the auspices of the Financial Services Action Plan (or FSAP).The implementation of the Plan’s objectives was achieved most successfully through the Lamfalussy approach, a four-level model which was applied successfully to many framework Directives. While the creation of a single legal framework for the Union...

  9. The impact of the new wave of financial regulation for European energy markets

    International Nuclear Information System (INIS)

    As the financial and physical markets for energy have increasingly become intertwined, energy trade is also covered by financial legislation. The European Commission wishes to strengthen this financial regulation of energy trade. It has put forward a set of regulatory proposals aimed at stabilizing financial markets and limiting volatility of energy prices. The most noteworthy are EMIR, MAD, REMIT and the revised MiFID. Key elements are transparency, new trading venues, central clearing obligations and mandatory transaction reporting. This article evaluates the likely outcomes for energy markets, given the new incentives for market parties. It argues that although there is no ground to exempt particular energy market participants such as energy companies from financial legislation, increased regulation will not necessarily bring about the effects the Commission desires. The causal link between derivatives trading and volatility of energy prices is not known precisely and many of the economic effects of the proposed legislation are theoretically and empirically ambiguous. Moreover, potentially conflicting instruments and objectives risk policy inconsistency. - Highlights: ? The European Commission has put forward a set of financial legislation to stabilize both financial markets and energy prices. ? This article assesses the impact of this financial regulation on energy markets. ? It shows that the theoretical and empirical effects of key elements in this legislation are ambiguous. ? It argues that, if enacted, particular market parties such as energy companies should not be exempted. ? It concludes that this set of legislation will not necessarily bring about the effects the Commission desires.

  10. Gender Differences in Student Financial Market Attitudes and Awareness: An Exploratory Study

    Science.gov (United States)

    Ford, Matthew W.; Kent, Daniel W.

    2010-01-01

    Female college students are generally thought to possess lower levels of financial market knowledge than their male counterparts. However, previous studies have lacked conceptual and methodological focus on market-based dimensions of financial literacy. We hypothesize that male and female college students respond differently to perceptions of…

  11. Product market integration, rents and wage inequality

    DEFF Research Database (Denmark)

    Andersen, Torben M.; Sørensen, Allan

    Globalization in the form of product market integration affects labour markets and produces winners and losers. While there are aggregate gains, it is in general ambiguous how inequality is affected. We explore this issue in a Ricardian model and show that it depends on the balance between...... "protection" and "specialization" rents. In particular, wage inequality among similar workers (residual wage inequality) may be U-shaped, at first decreasing and then increasing in the process of product market integration. Consequently, there may be gains in both the efficiency and the equity dimension until...

  12. Design of an Experiment to Test Quantum Probabilistic Behavior of the Financial market

    CERN Document Server

    Khrennikov, Andrei

    2009-01-01

    The recent crash demonstrated (once again) that the description of the financial market by present financial mathematics cannot be considered as totally satisfactory. We remind that nowadays financial mathematics is heavily based on the use of random variables and stochastic processes which are described by Kolmogorov's measure-theoretic model for probability ("classical probabilistic model"). I speculate that the present financial crises is a sign (a kind of experiment to test validity of classical probability theory at the financial market) that the use of this model in finances should be either totally rejected or at least completed. One of the best candidates for a new probabilistic financial model is quantum probability or its generalizations, so to say quantum-like (QL) models. Speculations that the financial market may be nonclassical have been present in scientific literature for many years. The aim of this note is to move from the domain of speculation to rigorous statistical arguments in favor of pr...

  13. IMMIGRANTS’ LABOUR MARKET INTEGRATION IN ROMANIA

    Directory of Open Access Journals (Sweden)

    Aurica-Iris ALEXE

    2015-04-01

    Full Text Available This paper analyses the labour immigration trends in Romania in the context of an evolving institutional, social and economic environment. It investigates the access and participation of the immigrant workforce into the Romanian labour market through the main labour market indicators and it provides an overall view on the immigrants’ labour market integration by using different migrant specific data and descriptive statistics. The paper discusses the advantages and possible socio-economic consequences related to filling labour shortages by means of immigration and the how the labour immigration in Romania is taking shape as a result of employment policies and immigration regime. Furthermore, it reflects on the relevant legislative, institutional and policy developments that impact on the immigrants’ labour market integration in Romania. This research highlights how Romania makes use of the immigrant human capital and whether the characteristics and skills of the immigrant workforce represent a competitive resource on the national labour market.

  14. THE EFFECT OF FINANCIAL INTEGRATION ON FINANCIAL DEVELOPMENT AND GROWTH: Pre-Crisis Assessment of the Euro Region

    OpenAIRE

    Lillian Kamal

    2011-01-01

    While it is evident that the integration that European countries are involved in through the European Union (EU) is beneficial in terms of labour and trade opportunities, the effect of such integration on financial development is unclear. This paper implements an innovative approach that examines the impact of financial integration on financial development, and subsequently on economic growth within a sample of EU countries, pre-financial crisis of 2008. Traditionally monetary depth measure...

  15. Integrating historical clinical and financial data for pharmacological research

    Directory of Open Access Journals (Sweden)

    Deshmukh Vikrant G

    2011-11-01

    Full Text Available Abstract Background Retrospective research requires longitudinal data, and repositories derived from electronic health records (EHR can be sources of such data. With Health Information Technology for Economic and Clinical Health (HITECH Act meaningful use provisions, many institutions are expected to adopt EHRs, but may be left with large amounts of financial and historical clinical data, which can differ significantly from data obtained from newer systems, due to lack or inconsistent use of controlled medical terminologies (CMT in older systems. We examined different approaches for semantic enrichment of financial data with CMT, and integration of clinical data from disparate historical and current sources for research. Methods Snapshots of financial data from 1999, 2004 and 2009 were mapped automatically to the current inpatient pharmacy catalog, and enriched with RxNorm. Administrative metadata from financial and dispensing systems, RxNorm and two commercial pharmacy vocabularies were used to integrate data from current and historical inpatient pharmacy modules, and the outpatient EHR. Data integration approaches were compared using percentages of automated matches, and effects on cohort size of a retrospective study. Results During 1999-2009, 71.52%-90.08% of items in use from the financial catalog were enriched using RxNorm; 64.95%-70.37% of items in use from the historical inpatient system were integrated using RxNorm, 85.96%-91.67% using a commercial vocabulary, 87.19%-94.23% using financial metadata, and 77.20%-94.68% using dispensing metadata. During 1999-2009, 48.01%-30.72% of items in use from the outpatient catalog were integrated using RxNorm, and 79.27%-48.60% using a commercial vocabulary. In a cohort of 16304 inpatients obtained from clinical systems, 4172 (25.58% were found exclusively through integration of historical clinical data, while 15978 (98% could be identified using semantically enriched financial data. Conclusions Data integration using metadata from financial/dispensing systems and pharmacy vocabularies were comparable. Given the current state of EHR adoption, semantic enrichment of financial data and integration of historical clinical data would allow the repurposing of these data for research. With the push for HITECH meaningful use, institutions that are transitioning to newer EHRs will be able to use their older financial and clinical data for research using these methods.

  16. Studying international spillovers in a New Keynesian continuous time framework with financial markets

    OpenAIRE

    Hayo, Bernd; Niehof, Britta

    2013-01-01

    In light of the recent financial and real economic crisis, it seems clear that macroeconomists need to better account for the influence of financial markets. This paper explores the consequences of treating the interaction between different financial markets, monetary policy, and the real economy seriously by developing a fully dynamic theoretical model. Starting from a standard New Keynesian framework, we reformulate and extend the model by means of stochastic differential equations so as to...

  17. Analysis of Financial Products of Capital Market in Bangladesh: Present Status and Future Development

    OpenAIRE

    Mohammad Shahidul Islam; Shama Jahan

    2012-01-01

    The performance of existing financial products is an important issue in the capital market to increase the new products for reducing the risk of dependency on common stocks. The research aims are to evaluate the growth and development of existing financial instruments and to recommend for introducing new financial instruments in the capital market of Bangladesh. The data are taken from the Dhaka stock exchange for the year 1977 to 2010 for interpretation of development and the data from 2003 ...

  18. Using financial markets to estimate the macro effects of monetary policy: An impact-identified FAVAR

    OpenAIRE

    Pitschner, Stefan

    2013-01-01

    In this paper, I use high-frequency financial market estimates to identify the monetary policy shock in a non-recursive 133 variable FAVAR. All restrictions are imposed exclusively on impact, and only on financial market variables. Using the economy's underlying factor structure as the link between its real and financial sides, I find that high-frequency responses contain valuable information about the behavior of lower-frequency macro variables. Even though the proposed identification scheme...

  19. Multifractal financial markets an alternative approach to asset and risk management

    CERN Document Server

    hayek kobeissi, yasmine

    2012-01-01

    Multifractal Financial Markets ?explores appropriate models for estimating risk and profiting from market swings, allowing readers to develop enhanced portfolio management skills and strategies.  Fractals in finance allow us to understand market instability and persistence.  When applied to financial markets, these models produce the requisite amount of data necessary for gauging market risk in order to mitigate loss.  This brief delves deep into the multifractal market approach to portfolio management through real-world examples and case studies, providing readers with the tools they need to

  20. Toward an integrative explanation of corporate financial performance

    CERN Document Server

    Capon, Noel; Hoenig, Scott

    1996-01-01

    This volume is a milestone on our journey toward developing a more comprehensive understanding of the underpinnings of corporate financial performance. Weare concerned with both the factors that cause the financial performance of some firms to be better than others at a point in time and those factors that influence the trajectory of firm financial performance over time. In addressing these issues, we consider theoretical and empirical work on financial performance, drawn from several literatures, as well as present the results from our own empirical study. The review of the theoretical and empirical work is contemporary; the major portion of data comprising the empirical study was collected in the early 1980s as part of the Columbia Business School project on corporate strategic planning, but some data sequences extend into the mid-1980s and early 1990s. Our goals are to improve understanding of firm financial performance by developing a more integrated framework and to develop a research agenda based on wha...

  1. Integrated marketing communications at solar energy equipment market

    Directory of Open Access Journals (Sweden)

    I.L. Litovchenko

    2013-12-01

    Full Text Available The aim of the article. The article is devoted to the development of the concept of «integrated marketing communications», as well as its adaptation to a specific market of solar energy equipment. The theoretical development of foreign and domestic scholars in the field of IMC is considered. The aim of the article is to define the concept of «integrated marketing communications» and use them in the market of solar ?nergy equipment in an information economy. The author's definition of the concept of IMC is given, including the achievement of synergies. The reasons for the transition to the use of modern enterprises IMC in marketing activities are explored, as well as the tendencies of their distribution. The results of the analysis. The article identified the following reasons for the transition to the concept of IMC: reducing the efficiency of the individual instruments of marketing communications policy, the rapid growth of the flow of information and the development of technology marketing communications under the influence of the Internet, and the transition to the individualization of consumption and, consequently, to a two-way interactive marketing communication; glut similar services and products. The study identified the following reasons for the transition to the concept of IMC: reducing the efficiency of the individual instruments of marketing communications policy, the rapid growth of the flow of information and the development of technology marketing communications under the influence of the Internet, and the transition to the individualization of consumption and, consequently, to a two-way interactive marketing communication; glut similar services and products. Trends of the present stage of development of the IMC are demonstrated. The factors that influence formation of the IMC complex of enterprise in the market of solar energy equipment are identified. They are the goals of the firm and its strategies are used , the type of product or market, target audience and its characteristics (readiness to buy, the specific behavior of consumers, national and cultural, stage of the life cycle of the advertised goods; traditions found in communication policy of the company and its major competitors. In accordance with the results of theoretical studies carried out by us, the concept of IMC was adapted to the market of solar power equipment companies, which was formed by a set of marketing tools included in IMC. Conclusions and directions of further researches. The authors proposed a list of marketing activities, which form the IMC for this market such as personal selling and direct marketing; PR; sales promotion; in the Internet space: contextual and banner advertising, social networks, organization of forums, portals, webinars; exhibition activities; customer club organization, training and tours. The directions of further researches are to study the approaches to the formation of IMC for different types of markets, the impact of Internet technology on the strategy of IMC, calculation of proportionality use of marketing funds within the IMC.

  2. Liquid markets and market liquids collective and single-asset dynamics in financial markets

    CERN Document Server

    Cuniberti, G

    2001-01-01

    We characterize the collective phenomena of a liquid market. By interpreting the behavior of a no-arbitrage N asset market in terms of a particle system scenario, (thermo)dynamical-like properties can be extracted from the asset kinetics. In this scheme the mechanisms of the particle interaction can be widely investigated. We test the verisimilitude of our construction on two-decade stock market daily data (DAX30) and show the result obtained for the interaction potential among asset pairs.

  3. Branding and Integrating Marketing Communications to Strengthen Brand : case: Bank X

    OpenAIRE

    Nguyen Thanh, Thuy

    2014-01-01

    In the market where many active competitors provide the same or similar products or services, branding is the strategic key indicator that facilitates a company in achieving its financial target, reputation and customer’s loyalty. This thesis concentrates on analyzing branding strategy and integrating marketing communications to strengthen brand with the case study of Bank X. Although the Bank has a long active history in both international and the Vietnamese markets, the brand is not yet...

  4. Editorial: AABFJ Volume 8, Issue 4 Special Issue in Financial Markets and Financial Instruments

    OpenAIRE

    Ciorstan Smark

    2014-01-01

    Financial planning in Australia is in a time of change and challenge. Educational standards and regulation are in flux. There is a strong need to move financial planning into a more esteemed professional position as financial planners are not always considered the safest source of advice for people in Asia and the pacific rim when it comes to investing their much needed retirement funds. This Special Issue on Financial Planning and Financial Instruments brings together articles from financial...

  5. Effects of New Financial Reporting Standards on Value Relevance–A Study about Turkish Stock Markets

    OpenAIRE

    F. Ayzer Bilgic; Cemal Ibis

    2013-01-01

    Financial statement information that make the users to evaluate their decisions is value relevant. This paper aims to determine the value relevance of financial statement information in Turkish stock markets during the period of 1997-2011 by Ohlson Model (1995) and separate regressions. Starting from 2003, new regulations about financial reporting standards became effective. Consolidation and inflation accounting were put into action in 2003 annual financial statements. Afterwards in 2005, th...

  6. Design of an Experiment to Test Quantum Probabilistic Behavior of the Financial market

    OpenAIRE

    Khrennikov, Andrei

    2009-01-01

    The recent crash demonstrated (once again) that the description of the financial market by present financial mathematics cannot be considered as totally satisfactory. We remind that nowadays financial mathematics is heavily based on the use of random variables and stochastic processes which are described by Kolmogorov's measure-theoretic model for probability ("classical probabilistic model"). I speculate that the present financial crises is a sign (a kind of experiment to test validity of cl...

  7. The impact of financial market frictions on trade flows, capital flows and economic development

    OpenAIRE

    Bougheas, Spiros; Falvey, Rod

    2011-01-01

    We introduce financial frictions in a two sector model of international trade with heterogeneous agents. The level of specialization in the economy (economic development) depends on the quality of financial institutions. Underdeveloped financial markets prohibit an economy to specialize in sectors where finance is important. Capital flows and international trade are complements when countries differ in the degree of development of their financial sectors. Capital flows to countries with more ...

  8. Imperfect Competition in Financial Markets and Capital Controls: A Model and a Test.

    OpenAIRE

    Pasricha, Gurnain Kaur

    2008-01-01

    This paper explores the implications of financial repression, specifically, imperfect competition in the financial sector and capital controls for equilibrium interest rates and current account imbalances; and the implications of liberalization. I find that (1) interest differentials between home and foreign markets exist and are higher the fewer the number of domestic financial institutions (2) liberalization of the domestic financial sector - i.e. increasing the number of players - exace...

  9. Do Financial Constraints Matter for Foreign Market Entry? – A Firm-Level Examination

    OpenAIRE

    Stiebale, Joel

    2008-01-01

    Recent theoretical and empirical contributions stress the importance of financial development for international trade. This paper investigates whether financial constraints matter for foreign market entry at the firm level using dynamic panel data techniques. The empirical framework is applied to a panel of French manufacturing firms over the years 1998-2005. Although financial indicators are significantly correlated with export status and export share, there is no evidence that financial con...

  10. The impact of financial market imperfections on trade and capital flows

    Scientific Electronic Library Online (English)

    Spiros, Bougheas; Rod, Falvey.

    Full Text Available We introduce financial frictions in a two sector model of international trade with heterogeneous agents. The level of specialization in the economy (economic development) depends on the quality of financial institutions. Underdeveloped financial markets prohibit an economy to specialize in sectors w [...] here finance is important. Capital flows and international trade are complements when countries differ in the degree of development of their financial sectors. Capital flows to countries with more robust financial institutions which in turn allow their economies to develop sectors that are financially dependent.

  11. Institutions for economic and financial integration in Asia: Trends and prospects

    OpenAIRE

    Capannelli, Giovanni

    2011-01-01

    Asian economic regionalism has emerged from a bottom-up process, driven by market forces in the absence of a grand plan for regional integration. While the financial crisis of 1997-98 triggered new regional cooperation initiatives, more recently several Asian political leaders have formulated proposals for the creation of a regional economic community, suggesting the possible start of a top-down approach. Based on the results of a survey of Asia's opinion leaders conducted by the Asian Develo...

  12. Capital Market Integration and Consumption Risk Sharing over the Long Run

    DEFF Research Database (Denmark)

    Rangvid, Jesper; Santa-Clara, Pedro

    We empirically investigate time variation in capital market integration and consumption risk sharing using data for 16 countries from 1875 to 2012. We show that there has been considerable variation over time in the degrees of capital market integration and consumption risk sharing and that higher capital market integration forecasts more consumption risk sharing in the future. This finding is robust is to controlling for trade openness and exchange rate volatilities. Hence, financial integration seems to drive consumption risk sharing whereas we find no evidence that risk sharing forecasts market integration. We also calculate the welfare costs of imperfect capital market integration and risk sharing and find that these costs vary a lot over time. Finally, we show that consumption risk sharing is higher during times of crises, i.e. at times when marginal utility is high and risk sharing is most valuable.

  13. Price Integration between Europe and Regional Markets in Africa: A Test of the Law of One Price

    OpenAIRE

    Piesse, Jenifer; Hearn, Bruce Allen

    2011-01-01

    This study examines the degree of price-integration of equity index assets between the major markets of Africa, namely Morocco, Tunisia, Egypt, Kenya, Nigeria, Namibia and South Africa with the prominent European markets of London and Paris. The application of Vector Autoregressive and Autoregressive Distributed Lag methods reveals that African markets are largely price-segmented. The only markets that are price-integrated have shared economic and financial institutions such as Namibia and So...

  14. Impact of the Financial Crisis on the Romanian Capital Market in the European Context

    OpenAIRE

    Badea, Leonardo

    2012-01-01

    This paper aims at analyzing the impact of financial crisis on the capital market in Romania in order to establish the main financial developments. There is clearly a phenomenon of contagion leading to different manifestations of the global capital markets. Our objective is to highlight by statistical linear regression the factors that influence the evolution of capital market. Surprisingly, the results will show that investors are not always rational and do not react accord...

  15. Analysis of monetary policy responses after financial market crises in a continuous time New Keynesian Model

    OpenAIRE

    Hayo, Bernd; Niehof, Britta

    2014-01-01

    We develop a dynamic stochastic full equilibrium New Keynesian model of two open economies based on stochastic differential equations to analyse the interdependence between monetary policy and financial markets in the context of the recent financial crisis. The effect of bubbles on stock and housing markets and their transmission to the domestic real economy and the contagious effects on foreign markets are studied. We simulate adjustment paths for the economies under two monetary policy rule...

  16. The global financial crisis: An analysis of the spillover effects on African stock markets

    OpenAIRE

    Sugimoto, Kimiko; Matsuki, Takashi; Yoshida, Yushi

    2013-01-01

    This paper examines the relative importance of the global and regional markets for financial markets in developing countries, particularly during the US financial crisis and the European sovereign debt crisis. We examine the way in which the degree of regional (seven African markets combined), global (China, France, Germany, Japan, the UK and the US), commodity (gold and petroleum), and nominal effective exchange rate (Euro and US dollar) spillovers to individual African countries evolve duri...

  17. The herd behavior index: A new measure for systemic risk in financial markets

    OpenAIRE

    Dhaene, Jan; Linders, Daniël; Schoutens, Wim; Vyncke, David

    2011-01-01

    We introduce a new and easy to calculate measure for systemic risk in financial markets. This measure is baptized the Herd Behavior Index (HIX). It is model-independent and forward looking, based on observed option data. In order to determine the degree of systemic risk or herd behavior in a financial market one should compare the observed market situation with the extreme (theoretical) situation under which the whole system is driven by a single factor. The Herd Behavior Index (HIX) is...

  18. Financial Market Regulation-Security Scams In India with historical evidence and the role of corporate governance

    OpenAIRE

    Narayanan, Supreena

    2004-01-01

    The financial system consists of specialized and non specialized financial institutions, of organized and unorganized financial markets, of financial instruments and services, which facilitate transfer of funds. Procedures and practices adopted in the markets, and financial interrelationships are also parts of this system. In product or other service markets, purchasers part with their money in exchange for something now. In finance, money “now” is exchanged for a “promise to pay in the futur...

  19. THE EFFECT OF FINANCIAL INTEGRATION ON FINANCIAL DEVELOPMENT AND GROWTH: Pre-Crisis Assessment of the Euro Region

    Directory of Open Access Journals (Sweden)

    Lillian Kamal

    2011-10-01

    Full Text Available While it is evident that the integration that European countries are involved in through the European Union (EU is beneficial in terms of labour and trade opportunities, the effect of such integration on financial development is unclear. This paper implements an innovative approach that examines the impact of financial integration on financial development, and subsequently on economic growth within a sample of EU countries, pre-financial crisis of 2008. Traditionally monetary depth measures are used to assess the size and development of the financial sector. However due to the centralized control of monetary policy, these monetary depth measures lose their effectiveness in assessing financial development within the EU. This paper therefore looks at bank-based measures of financial development in an effort to establish whether a relationship exists between financial development and growth in the European Union countries, and if so, whether this relationship has been affected by financial integration. The paper focuses on the time period before the 2008 financial crisis to avoid the impact of capital flight, failed banking sectors and budgetary issues. The results support the hypothesis that the benefits of economic and financial integration are not uniform. Financial integration does not seem to have a very significant effect on growth where financial development has been controlled for.

  20. Cash-in-the-market pricing in a model with money and over-the-counter financial markets

    OpenAIRE

    Mattesini, Fabrizio; Nosal, Ed

    2013-01-01

    Entrepreneurs need cash to finance their real investments. Since cash is costly to hold, entrepreneurs will underinvest. If entrepreneurs can access financial markets prior to learning about an investment opportunity, they can sell some of their less liquid assets for cash and, as a result, invest at a higher level. When financial markets are over-the-counter, the price that the entrepreneur receives for the assets that he sells depends on the amount of liquidity (cash) that is in the OTC mar...

  1. An investigation on the effects of perception and marketing expenditure, financial and non-financial promotions on brand equity

    OpenAIRE

    Abbas Ataheryan; Masoumeh Sadat Abtahi; Ahmad Rahchamani

    2013-01-01

    This paper presents a study to investigate the effects of perception and marketing expenditures as well as financial and non-financial promotions on brand equity. The proposed study of this paper prepares a questionnaire in Likert scale and distributes it among regular customers of three types of Shampoo in city of Tehran, Iran. The implementation of structural equation modeling for the proposed study of this paper has been accomplished based on LISREL software. The results of the survey on t...

  2. Product market integration, rents and wage inequality

    OpenAIRE

    Andersen, Torben M.; Sørensen, Allan

    2010-01-01

    Globalization in the form of product market integration affects labourmarkets and produces winners and losers. While there are aggregate gains,it is in general ambiguous how inequality is affected. We explore this issuein a Ricardian model and show that it depends on the balance between"protection" and "specialization" rents. In particular, wage inequalityamong similar workers (residual wage inequality) may be U-shaped, atfirst decreasing and then increasing in the process of product market i...

  3. Global integration of European tuna markets

    Science.gov (United States)

    Jiménez-Toribio, Ramòn; Guillotreau, Patrice; Mongruel, Rémi

    2010-07-01

    This paper evaluates the degree of integration between the world market and the major European marketplaces of frozen and canned tuna through both vertical and horizontal price relationships. Spatial linkages are investigated horizontally in order to estimate the connection between the European market and the world-wide market on the primary stage of the value chain. One of the key results is the high level of market integration at the ex-vessel stage, and the price leadership of yellowfin tuna over skipjack tuna. The same approach is applied at the ex-factory level. Basically, the European market for final goods appears to be segmented between the Northern countries consuming low-priced canned skipjack tuna imported from Asia (mainly Thailand) and the Southern countries (Italy, Spain) processing and importing yellowfin-based products sold at higher prices. France appears to be an intermediate market where both products are consumed. The former market is found to be well integrated to the world market and can be considered to be competitive, but there is a suspicion of market power being exercised on the latter. Price relationships are therefore tested vertically between the price of frozen tuna paid by the canneries and the price of canned fish in both Italy and France. The two species show an opposite pattern in prices transmission along the value chain: price changes along the chain are far better transmitted for the “global” skipjack tuna than for the more “European” yellowfin tuna. The results are discussed, along with their implications for the fishing industry.

  4. Stylized facts of financial markets and market crashes in Minority Games

    CERN Document Server

    Challet, D; Zhang, Y C; Challet, Damien; Marsili, Matteo; Zhang, Yi-Cheng

    2001-01-01

    We present and study a Minority Game based model of a financial market where adaptive agents -- the speculators -- interact with deterministic agents -- called producers. Speculators trade only if they detect predictable patterns which grant them a positive gain. Indeed the average number of active speculators grows with the amount of information that producers inject into the market. Transitions between equilibrium and out of equilibrium behavior are observed when the relative number of speculators to the complexity of information or to the number of producers are changed. When the system is out of equilibrium, stylized facts arise, such as fat tailed distribution of returns and volatility clustering. Without speculators, the price follows a random walk; this implies that stylized facts arise because of the presence of speculators. Furthermore, if speculators abandon price taking behavior, stylized facts disappear.

  5. Diagnosis and prediction of rebounds in financial markets

    Science.gov (United States)

    Yan, Wanfeng; Woodard, Ryan; Sornette, Didier

    2012-02-01

    We introduce the concept of “negative bubbles” as the mirror (but not necessarily exactly symmetric) image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the Johansen-Ledoit-Sornette (JLS) model of rational expectation bubbles with a hazard rate describing the collective buying pressure of noise traders. The price fall occurring during a transient negative bubble can be interpreted as an effective random down payment that rational agents accept to pay in the hope of profiting from the expected occurrence of a possible rally. We validate the model by showing that it has significant predictive power in identifying the times of major market rebounds. This result is obtained by using a general pattern recognition method that combines the information obtained at multiple times from a dynamical calibration of the JLS model. Error diagrams, Bayesian inference and trading strategies suggest that one can extract genuine information and obtain real skill from the calibration of negative bubbles with the JLS model. We conclude that negative bubbles are in general predictably associated with large rebounds or rallies, which are the mirror images of the crashes terminating standard bubbles.

  6. Scaling of the distribution of fluctuations of financial market indices

    CERN Document Server

    Gopikrishnan, P; Núñez-Amaral, L A; Meyer, M R; Stanley, H E; Gopikrishnan, Parameswaran; Plerou, Vasiliki; Amaral, Luis A. Nunes; Meyer, Martin

    1999-01-01

    We study the distribution of fluctuations over a time scale $\\Delta t$ (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately 1 million records sampled at 1 min intervals for the 13-year period 1984-1996, database (ii) contains 8686 daily records for the 35-year period 1962-1996, and database (iii) contains 852 monthly records for the 71-year period 1926-1996. We compute the probability distributions of returns over a time scale $\\Delta t$, where $\\Delta t$ varies approximately over a factor of 10^4 - from 1 min up to more than 1 month. We find that the distributions for $\\Delta t \\leq$ 4 days (1560 mins) are consistent with a power-law asymptotic behavior, characterized by an exponent test the robustness of the S&P result, we perform a parallel analysis on two other financial market indices. Database (iv) contains 3560 daily records of the NIKKEI index for the 14-year period 1984-97, and database (v) contains 4649 daily records of the Hang-...

  7. Financial Distress Prediction in Emerging Market: Empirical Evidences from Iran

    OpenAIRE

    Mahdi Salehi; Bizhan Abedini

    2009-01-01

    In this article the ability of financial ratios for prediction of financial distress of the listed companies in Tehran Stock Exchange (TES) was investigated. For this reason, the multiple regression models were used and a model was presented for prediction of financial distress in listed companies in TES. The assessment of the model was done by utilizing the data of two groups. The first group contained 30 companies which don't have any financial distress, and the second group, similarly, con...

  8. Export Market Exit, Financial Pressure and the Crisis

    OpenAIRE

    Görg, Holger; Spaliara, Marina-Eliza

    2013-01-01

    Using firm-level data for the UK, we investigate the link between firms' financial health, borrowing ratio and export exit, paying special attention to the recent financial crisis. Our results show that deterioration in the financial position of firms has increased the hazard of export exit during the crisis. We also find that the sensitivity of export exit to changes in firms' financial condition is higher during the crisis for those firms which face increases in loan spreads associated with...

  9. Preconditions for creation and use of innovative financial instruments in Ukraine’s derivatives market

    Directory of Open Access Journals (Sweden)

    I.M. Burdenko

    2012-09-01

    Full Text Available This article explores evolution of domestic market of derivatives, its main stages and brief description. Preconditions for creation and use of innovative financial instruments in derivatives market of Ukraine are analysed. For each stage of derivatives markets evolution were defined main trends of its development.

  10. Consequences of the financial crisis for the insurance markets of the world and Ukraine

    OpenAIRE

    Kozmenko, Olha; Kravchuk, Hanna

    2010-01-01

    The article presents analytical data regarding the influence of the global financial crisis on the activity of the insurance market of some countries. Special attention is given to the dynamics in the development of the insurance market of Ukraine, problems and perspectives of Ukrainian insurance market.

  11. AN AGENT-BASED SIMULATION MODEL FOR THE ANALYSIS OF MARKET INTEGRATION OF RENEWABLE ENERGY FOR THE GERMAN ELECTRICITY MARKET

    OpenAIRE

    Reeg, Matthias; Nienhaus, Kristina; Deissenroth, Marc; Wassermann, Sandra; Hauser, Wolfgang; Klann, Uwe; Kast, Thomas

    2014-01-01

    To further ensure a successful integration of renewable energies, technical, financial and organizational aspects of the electricity system have to be redesigned. A main challenge lies in the alignment of generation and demand of energy due to the fluctuating character of renewables. Several possibilities are being discussed to align this imbalance. One possibility is the market integration of renewables by linking the generation of renewable electricity to the price signals of the energy exc...

  12. STUDY REGARDING THE DETERMINATION OF THE FINANCIAL PERFORMANCE OF A COMPANY THROUGH MARKET RATES

    Directory of Open Access Journals (Sweden)

    Nicolae Baltes

    2015-11-01

    Full Text Available Determining the financial performance of an enterprise is necessary when making the decision to invest, which represents the proper selection of securities and the appropriate moment to enter on the market, meaning the time to purchase the securities. The study’s objective is to define, determinate and interpret the market rates, that are used in financial analysis in order to measure the company’s performance. The study, conducted on a Romanian company listed on the Bucharest Stock Exchange, leads to the conclusion that because of the financial crisis, the company’s financial performance was significantly affected.

  13. Key Financials Performance Independent versus Integrated: Empirical Evidence from Indonesia Financial Service Industry (2001-2011)

    OpenAIRE

    Suwinto Johan; Hermanto Siregar; Tubagus Nur Ahmad Maulana; Perdana Wahyu Santosa

    2012-01-01

    The aims of the paper are to study the financial performance between the independent finance companies and the integrated finance companies over the period 2001-2011. From total 194 finance companies in the industry, the finance companies who affiliate with bank or automotive manufacturer are 65 companies that contribute to 71% of total asset of the industry. The banking industry that provides majority of funding, has made finance companies as part of their integration business model. The aut...

  14. Market integration and technological leadership in Europe

    OpenAIRE

    Belderbos, Rene; Sleuwaegen,Leo; Reinhilde VEUGELERS

    2010-01-01

    This study traces and analyses the changes in firm and industry structure due to EU market integration and the integration of the EU in the global economy. It focuses on changes in competitiveness based on innovation and technology development. The study provides information on the production, technology structure and geographical distribution of leading European firms. A database with firm-level data has been established and complemented by estimates of indicators of industry structure, i...

  15. An initial marketing/financial screen for a multiprogram urgent care center.

    Science.gov (United States)

    Craig, T T

    1986-12-01

    The initial marketing/financial screen described here is a framework for discussing and evaluating the feasibility of an urgent care center. It is a forum for filtering the objective criteria to reach a continuation decision and ensures involvement of key constituencies that are important to implementation. Each phase (from program requirements, market share forecast, operations, physician relationship options, to marketing survey) provides additional evidence as a basis for either proceeding, expecting higher risk, or abandoning the project. This reality base serves as the floor for the marketing plan should management decide to proceed. The marketing plan provides a realistic foundation for making a decision. Ultimately, both the initial marketing/financial screen and the marketing plan do what every proposal or feasibility study should do. They describe the new venture in objective terms and thereby enable management to make a clear decision, knowing the risks and commitment required. The initial marketing/financial screen also provides a bridge from strategic planning to implementation. It does not commit the organization to go ahead, but rather provides a means of investing crucial constituencies so that if the organization does decide to act, effective implementation is one step closer. Therefore, the real contribution of the marketing/financial screen is that it takes a concept (a strategic planning proposal) and moves it closer to reality (the initial marketing/financial screen). If the decision is made to go ahead, the likelihood for success has been vastly improved as the project proceeds from one reality level (the initial marketing/financial screen) to the next (the marketing plan) with a short step to total reality (opening the operation). PMID:10280372

  16. Financial Institution’s Media Strategy : With respect to the Swedish financial market

    OpenAIRE

    Johansson, Markus; Arvidsson, Ola; Zerihoun, John

    2008-01-01

    Financial experts from various financial institutions are often seen in media. Media’s objec-tive towards the society is to report occurring events of interest to its audience. Media ap-pearances through giving expert opinions, is for financial institutions costless and a reason-ably effective way of promoting their top analysts and strategically position their firms. For the financial institutions, there exists competition for being allowed to participate and give expert reports when media i...

  17. The role of the Polish Financial Supervision Authority in the new European architecture of supervision over the financial market

    Directory of Open Access Journals (Sweden)

    Magdalena Fedorowicz

    2012-12-01

    Full Text Available The purpose of this paper is to analyze the main provisions of the regulation of European financial supervision from the perspective of the competencies and functions of the Polish Financial Supervision Authority (KNF. It was also considered necessary by the Authors to present the current tasks, aims and competencies of the KNF. The implementation of a new supervisory structure in the EU brought about changes to the functioning of the KNF. These changes are particularly visible in the regulatory functions as domestic supervisory authorities are obliged to introduce uniform supervisory standards defined on a European level. The current reform of the European financial markets has shown that the role of national supervisors in the financial safety net requires a new approach. It is obvious that in these times of financial crisis, national supervisors must incur significant costs, namely the functional reduction of regulatory independence in some matters. This paper is a contribution to the discussion on the course of the development of Polish and EU financial markets supervision.

  18. Calibration of optimal execution of financial transactions in the presence of transient market impact

    OpenAIRE

    Busseti, Enzo; Lillo, Fabrizio

    2012-01-01

    Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution strategy strongly depends on a careful modeling of market impact, i.e. how the price reacts to trades. In this paper we consider a recently introduced market impact model (Bouchaud et al., 2004), which has the property of describing both th...

  19. Bank rescues and bailout expectations: The erosion of market discipline during the financial crisis

    OpenAIRE

    Hett, Florian; Schmidt, Alexander

    2013-01-01

    We show that market discipline, defined as the extent to which firm specific risk characteristics are re ected in market prices, eroded during the recent financial crisis in 2008. We design a novel test of changes in market discipline based on the relation between firm specific risk characteristics and debt-to-equity hedge ratios. We find that market discipline already weakened after the rescue of Bear Stearns before disappearing almost entirely after the failure of Lehman Brothers. The effec...

  20. Performance, competition and the dynamics of rules: the case of a financial market

    OpenAIRE

    Revest, Valérie

    2006-01-01

    This article explores the issue of the failure of the French New Market, a French Financial market, in the light of the dynamics of organisational rules between 1996 and 2005. The French New Market (FNM) was created in 1996 in order to finance European growing firms. After its creation, this market successively expanded, declined and finally disappeared in 2005. The dynamics testifies a lack of consistency and relevance in the rules during this period, given the identity and of the FNM. More ...