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

Directory of Open Access Journals (Sweden)

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.

A.A. Kotova

2013-01-01

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Integration of European Banking and Financial Markets  

UK PubMed Central (United Kingdom)

towards the creation of a single financial services market. A critical element in the integrationprocess is the success of the EU's Financial Services Action Plan (FSAP). This seeks tointroduce a wide range of legislation aimed at reducing barriers and promoting cross-bordertrade in financial services - especially for capital markets and retail / SME financial serviceareas. As was the case in 1992, it is likely that the expectation of further financial marketintegration will encourage market participants to adjust their strategies in the light of thesedevelopments. Or to put it another way, many banks are likely to accelerate their plans to sellfinancial products cross-border given the changing environment. Stock and derivative marketswill be encouraged to consolidate and investment and pension funds in the Euro zone willincreasingly embrace the equity market culture and so on. Regulatory standards in the financialsector will move in line with international best practise and further harmonisation will takeplace. The challenge for the financial services industry is to reorganise and adapt to this newenvironment. Targeting a successful pan-European strategy post-2005 (the deadline for theFSAP) will be of critical importance for financial services firms in general.

David Marques Ibanez; Phil Molyneux

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Economic and financial integration in emerging markets: A European policy  

Directory of Open Access Journals (Sweden)

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.

Theodoropoulos Theodore E.; Vojinovi? Borut

2005-01-01

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Financial Liberalization and Stock Markets Integration for Asean-5 Countries  

Directory of Open Access Journals (Sweden)

Full Text Available This paper examines the relationship of financial liberalization and stock markets integration among ASEAN-5 (Note 1) stock markets: Indonesia, Malaysia, the Philippines, Singapore and Thailand. Three sample periods are covered based on the progress of financial liberalization. By using Johansen and Juselius multivariate cointegration procedures, Granger-causality tests and variances decomposition analysis, the results indicate no long-run relationship during Singapore stock market liberalization in the first period. However, long-run relationship established between ASEAN-5 stock markets in the second period when Thailand, Malaysia and Indonesia have liberalized their stock markets and the third period following the Philippines liberalization. The long run integration relationships and the short-run causality relationships among ASEAN-5 markets have both increased after the financial liberalization. Thailand, Malaysia, Indonesia and the Philippines markets have received increased influences from other stock markets in the progress of financial liberalization whereas Singapore remains unaffected by the others. Stock markets that liberalize earlier will have greater influence on other stock markets.

Sew-Ming Phuan; Kian-Ping Lim; Ai-Yee Ooi

2009-01-01

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Financial Market Integration of South Asian Countries: Panel Data Analysis  

Directory of Open Access Journals (Sweden)

Full Text Available 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 1990’s. The estimates from (RIDs) methodology showed that real interest rates differentials of South Asian countries are found to be stationary when compared with the United States, Canada, United Kingdom, Germany, Sweden, Netherlands, Australia, Malaysia, Indonesia, South Korea, Singapore, China and Japan. The empirical evidence of integration using both techniques is a unique finding in the literature. Even though the RIDs technique provides strong evidence of integration, correlation between savings and investment is still significant.

Hasan Muhammad Mohsin; Patrick A. Rivers

2011-01-01

6

International Financial Integration of the Indian Money Market  

Directory of Open Access Journals (Sweden)

Full Text Available 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 premium and/or binding regulations on capital movements and/or binding restrictions on interbank borrowing and lending. Next, we use a Vector Error Correction Model (VECM) to study the dynamics between the Indian interest rate, the covered interest rate and the US interest rate. The results show some degree of cointegration among Indian and US interest rates, suggesting that linkages less direct than covered interest arbitrage may exist between US and Indian money markets.

Steven Buigut; Vadhindran K. Rao

2011-01-01

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Financial Market Integration in Europe: On the Effect of EMU on Stock Markets  

UK PubMed Central (United Kingdom)

This paper analyzes the integration process of European equity markets since the 1980s. Its centralfocus is on the role that EMU, and specifically, changes in exchange rate volatility, has played in thisprocess of financial integration. Building on an uncovered interest rate parity condition to measurefinancial integration, a trivariate GARCH model with time-varying coefficients yields three keyresults: first, European equity markets have become highly integrated only since 1996. Second, theEuro area market has gained considerably in importance in world financial markets and has takenover from the US as the dominant market in Europe.And third, the integration of European equitymarkets is in large part explained by the drive towards EMU, and in particular the elimination ofexchange rate volatility and uncertainty in the process of monetary unification.JEL classification: C32, F3, G15Keywords: financial integration, stock markets, EMU, exchange rate volatility, GARCH model, timevariation.5ECB Working Paper No 48 March 20016ECB Working Paper No 48 March 20011

Robert Brooks; Robert Faff; Sren Johansen; Gabriel Perez-quiros; John Williamson; The Referee

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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)

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.

Vojinovi? Borut; Theodoropoulos Theodore E.

2005-01-01

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Labour market rigidities, financial integration and international risk sharing in the OECD  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Economic theory predicts that consumption growth rates should be highly correlated across countries. Empirical evidence overwhelmingly rejects this prediction. We examine whether increased financial integration and labour market rigidities can help explain this apparent contradiction between theory ...

Fidrmuc, Jarko; Foster, Neil; Scharler, Johann

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INTEGRATION OF EUROPEAN FINANCIAL MARKETS AT THE BEGINNING OF THE 21ST CENTURY  

Directory of Open Access Journals (Sweden)

Full Text Available The latest four decades have marked by their width, speed and radicality a true “revolution” on the financial market, a transformation and restructuring of financial services, of financial instruments which were used, of transaction systems, but also of competitive processes. The importance that should be given to such transformations of financial systems is given, as well, by their impact, both at the micro- and at the macro- levels, on the economy as a whole.The evolution of the European financial market at the beginning of the 21st century has followed the general trend of global markets. As a main tendency of financial market restructuring at the European level we should keep in mind the fact that there was an opening towards private financing according to the American model, due to the necessity to attract international capital resources, a process which is still ongoing.The integration of the European financial markets at the beginning of the 21st century follows the general process of financial globalization which develops rapidly on several structures of financial systems.

Madalina Antoaneta RADOI

2011-01-01

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STOCK EXCHANGE MARKETS INTEGRATION – A CAUSE OF QUASI-SIMULTANEOUS TRANSMISSION OF FINANCIAL CRISIS  

Directory of Open Access Journals (Sweden)

Full Text Available Financial mondialization designate the enlargement movement and the opening of capital markets at a global level which began at the beginning of the ´70s. Because of the capital markets integration, the economies are more and more exposed to the common im

SABAU-POPA CLAUDIA DIANA

2009-01-01

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Financial and real integration  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 ...

Baier, Scott L.; Dwyer, Gerald P.

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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)

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.

Boghean Carmen; Boghean Florin; Nastase Carmen; Morosan Danila Lucia

2010-01-01

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Financial Markets Development.  

Science.gov (United States)

Effective financial markets are indispensable to sustained, broad-based economic growth. The paper presents A.I.D.'s policy on financial markets development and related guidance on project design. Discussed is the preparation by missions of strategy paper...

1988-01-01

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The Impact of the European Financial Integration Process and Other International Tendencies on the Romanian Stock Market  

Directory of Open Access Journals (Sweden)

Full Text Available The study presents in a comprehensive way the effects that deregulation, internationalisation, integration, financial innovation and the development of the institutional investors have had on the Romanian stock market. Using dates provided by several relevant sources on the field, like the Bucharest Stock Exchange or Intercapital, we have established in which extent these tendencies emerged on the Romanian stock market and if our stock market has already reached the point where it will be able to fully integrate itself in the European financial system.

Alina Sargu

2010-01-01

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EU SINGLE FINANCIAL MARKET – PROSPECTS FOR CHANGES  

Directory of Open Access Journals (Sweden)

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.

Ma?gorzata Mikita

2012-01-01

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Financial Market Integration in Asia: Empirical Analysis on Selected Asian Stock Index Futures Markets  

Directory of Open Access Journals (Sweden)

Full Text Available This study investigates the long run and short run relationships among selected Asian stock index futures markets namely (Malaysia, Singapore, Taiwan and Hong Kong). Johansen`s cointegration test is used to study the long run relationships. The study found the existence of a long run equilibrium relationship among the four stock index futures markets. Hence, the potential for risk reduction from diversifying across these markets is minimal for investors with long holding periods. However, the error correction term and impulse response analysis revealed that when there is disequilibrium in the short run, the stock index futures series exhibit slow convergence towards the long run equilibrium. This posits that there is avenue for the short-term investors to diversify portfolio risks effectively across these markets. The Taiwan stock index futures market plays the leading role in driving the movements of the other markets towards the long run equilibrium. This posits that the Taiwan stock index futures market can be used to predict the movements of the other three markets (namely, Malaysia, Singapore and Hong Kong).

Geeta Krishnasamy; A. Solucis Santhapparaj; C.A. Malarvizhi

2006-01-01

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Financial Markets and Persistence  

CERN Multimedia

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 $\\theta_f\\sim 0.5$.

Jain, S

2005-01-01

19

Teaching about Financial Markets.  

Science.gov (United States)

Discusses teaching about the financial market as it relates to family finances, savings, and business. Explains ways of making these relationships clear to students through diagrams, activities, games, and role playing. Suggests questions to focus on that highlight the relationship between the rate of return and the risks involved. (DK)

Banaszak, Ronald A.

1992-01-01

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Financial Market Stabilization Package  

Science.gov (United States)

The Korean Ministry of Finance and Economy site contains details of The Financial Market Stabilization Package aimed at solving the financial crisis announced on November 19, 1997. The beginning of the financial crisis in South Korea can be traced to the collapse of Hanbo Steel Corp., the first in a string of large corporate failures in South Korea. This was followed by the decline in the value of the Korean won against the dollar in October 1997, which persisted until November when the Central Bank of Korea stopped intervening to support the won. The continued decline in won forced the Korean government to seek financial assistance from the International Monetary Fund (IMF). On December 3, the IMF announced a $55 billion aid package for South Korea.

1997-01-01

 
 
 
 
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Reconfiguring the Financial Markets  

Directory of Open Access Journals (Sweden)

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.

Ion Bucur

2009-01-01

22

Markets for financial transmission rights  

Energy Technology Data Exchange (ETDEWEB)

Results of a survey of markets for financial transmission rights that facilitate competitive, open and non-discriminatory electricity market design are discussed. Specifically, the survey covered Pennsylvania, New Jersey, Maryland (PJM), New York, California, New England, Texas and New Zealand. The main emphasis was on the PJM and the New York markets, since they are the most mature. Interwowen with the results is a thorough discussion of the properties, features and the design of financial transaction rights in the various jurisdictions, the advantages, disadvantages and market performance of financial transmission rights, market performance criteria, and the mechanism for acquiring financial transmission rights. 49 refs., 14 tabs., 6 figs.

Kristiansen, T. [Norwegian University of Science and Technology, Dept. of Electrical Power Engineering, (Norway)

2004-09-30

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Markets for financial transmission rights  

International Nuclear Information System (INIS)

Results of a survey of markets for financial transmission rights that facilitate competitive, open and non-discriminatory electricity market design are discussed. Specifically, the survey covered Pennsylvania, New Jersey, Maryland (PJM), New York, California, New England, Texas and New Zealand. The main emphasis was on the PJM and the New York markets, since they are the most mature. Interwowen with the results is a thorough discussion of the properties, features and the design of financial transaction rights in the various jurisdictions, the advantages, disadvantages and market performance of financial transmission rights, market performance criteria, and the mechanism for acquiring financial transmission rights. 49 refs., 14 tabs., 6 figs.

2004-01-01

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78 FR 14024 - Financial Market Utilities  

Science.gov (United States)

...R-1455] RIN No. 7100-AD 94 Financial Market Utilities AGENCY: Board of...certain financial services to, financial market utilities (``FMUs'') that...Electronic funds transfers, Financial market utilities, Securities....

2013-03-04

25

The Nordic financial electricity market  

Energy Technology Data Exchange (ETDEWEB)

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

2010-11-15

26

Essays on Financial Market Volatility  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This thesis examines the volatility in the equity and short-term interest-rate markets, and the spillover from the short term interest rate market to the equity market. It consists of three papers and focuses on adapting and proposing models for the estimation and forecasting of financial market vol...

Hou, Ai Jun

27

Financial intermediaries, markets and growth  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Fecht, Falko; Huang, Kevin; Martin, Antoine

28

Financial Markets in Development, and the Development of Financial Markets  

UK PubMed Central (United Kingdom)

What is the relationship between markets and development'? It is argued that markets promote growth, and that growth in turn encourages the formation of markets. Two models with endogenous market formation are presented to analyze this issue. The first examines the role that financial markets banks and stock markets play in allocating funds to the highest valued use in the economic system. It is shown that intermediation will arise under weak conditions. The second focuses on the role that markets play in supporting specialization in economic activity. The consequences of perfect competition in market formation are highlighted.

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77 FR 45907 - Financial Market Utilities  

Science.gov (United States)

...R-1412] RIN 7100-AD 71 Financial Market Utilities AGENCY: Board of...Regulation HH, Designated Financial Market Utilities. This rule implements...risk-management standards for financial market utilities (``FMUs'')...

2012-08-02

30

Financial Markets as Adaptive Systems  

UK PubMed Central (United Kingdom)

We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset fluctuations: `fat tails' and correlations in the scale of fluctuations. These aspects, although not included in the pricing models, are very precisely reflected in the price fixed by the market as a whole. Financial markets thus behave as rather efficient adaptive systems.

Rama Cont

31

Financial Markets as Adaptive Systems  

UK PubMed Central (United Kingdom)

We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset fluctuations: "fat tails" and correlations in the scale of fluctuations. These aspects, although not included in the pricing models, are very precisely reflected in the price fixed by the market as a whole. Financial markets thus behave as rather efficient adaptive systems.

Centre D'etudes De Saclay; J. -p. Bouchaud; Etat Condense

32

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

Directory of Open Access Journals (Sweden)

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.????????????? ???????????????? ???????? ????????? ??????????? ????? ? ??????????? ???????? ? ????????????? ?????, ????????? ????? ???? ??????????? ?????????????? ? ????????????? ?????????? ???????????? ?????????????? ?????????? ??????????? ????? ???????????? ?????????? ???????, ??? ?????????? ??????????????? ??????????????-?????????????? ?????????????? ?? ?????????? ?????. ? ?????? ????????? ??????-???????????? ?????? ? ?????? ?????? ??????????? ?? ?????????? ????? ??? ? ?????, ??? ? ? ??????? ????????? ??? ?????????: ???????????, ??????????, ????????? ?????? ? ????? ?????? ?????. ???????????? ??????-???????????? ?????? ????????? ?????????? ?????????? ??????? ??????????? ??????????? ????? ???????, ???????? ?? ?????? ??????????? ???????????? ???????????? ?? ????????, ?????????? ? ????????? ?????? ? ????? ?????? ?????, ?? ? ??????? ??????? (??????????????) ?????? ?? ?????? ????????????????? ???????????? ?? ?????????? ????? ??????? ? ?????, ??? ??????????? ???????? ??????? ???????????? ?????????? ? ????????????? ?????????? ???????????.

Abakumenko Olga V.

2013-01-01

33

Does Basel II destabilize financial markets? An agent-based financial market perspective  

Science.gov (United States)

We use a financial market model that is able to replicate stylized facts of financial markets quite successfully. We adjust this model by integrating regulations of Basel II concerning market risk. The result is a considerable destabilization of the regulated financial market with a significant increase of extreme events (extraordinary profits and losses). Since the intention of Basel II regulations is to ensure banks have enough regulatory capital to withstand periods involving extraordinary losses, it is alarming that - on the contrary - these regulations may provoke an increase in precisely such extraordinary events.

Hermsen, O.

2010-01-01

34

Inflation and Financial Market Performance  

UK PubMed Central (United Kingdom)

this paper we investigate the empirical association between inflation and thefunctioning of an economy's financial system. We find substantial evidence that inflation is negativelycorrelated with financial market performance, and, in addition, we find that the relationship betweeninflation and financial development exhibits significant nonlinearities. In particular, economies withaverage rates of inflation exceeding certain thresholds have significantly less well-developed financialsystems than do economies with inflation rates below these thresholds. Therefore, given the strongcorrelation between financial market development and economic growth, our results are quite consistentwith the kinds of correlations found between inflation and long-run real performance.

John H. Boyd; Ross Levine; Bruce D. Smith

35

Social Knowledge for Financial Markets  

Directory of Open Access Journals (Sweden)

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.

Gertraude Mikl-Horke

2010-01-01

36

Statistical Mechanics of Nonlinear Nonequilibrium Financial Markets:  

UK PubMed Central (United Kingdom)

A paradigm of statistical mechanics of financial markets (SMFM) using nonlinearnonequilibrium algorithms, first published in L. Ingber, Mathematical Modelling, 5, 343-361 (1984), is fitto multivariate financial markets using Adaptive Simulated Annealing (ASA), a global optimizationalgorithm, to perform maximum likelihood fits of Lagrangians defined by path integrals of multivariateconditional probabilities. Canonical momenta are thereby derived and used as technical indicators in arecursive ASA optimization process to tune trading rules. These trading rules are then used on out-ofsampledata, to demonstrate that they can profit from the SMFM model, to illustrate that these markets arelikely not efficient.

Lester Ingber

37

Financial markets and public information  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 ...

Storkenmaier, Andreas

38

Financial Markets and Public Information  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Newswire messages make up a major part of the public information set available to investors. The last decades have seen drastic 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 participa...

Storkenmaier, Andreas

39

Financial Markets as Adaptive Ecosystems  

UK PubMed Central (United Kingdom)

We show, by studying in detail the market prices of options onliquid markets, that the market has empirically corrected the simple,but inadequate Black-Scholes formula to account for two importantstatistical features of asset fluctuations: `fat tails' and correlations inthe scale of fluctuations. These aspects, although not included in thepricing models, are very precisely reflected in the price fixed by themarket as a whole. Financial markets thus behave as rather efficientadaptive systems.Options markets offer an interesting example of the adaptation of a population(the traders) to a complex environment, through trial and errors andnatural selection (inefficient traders disappear quickly). The problem is thefollowing: an `option' is an insurance contract protecting its owner againstthe rise (or fall) of financial assets, such as stocks, currencies, etc. Theproblem of knowing the value of such contracts has become extremely acuteever since organized option markets ope...

Rama Cont

40

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

Directory of Open Access Journals (Sweden)

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.

Adwin Surja Atmadja

2009-01-01

 
 
 
 
41

FINANCIAL IMPACT OF GLOBALIZATION ON STAGE OF FINANCIAL MARKET UKRAINE ??????????? ??????????? ???????????? ?? ????? ???????????? ??????????? ????? ??????? ???????? ?????????? ???????????? ?? ????? ?????????? ??????????? ????? ???????  

Directory of Open Access Journals (Sweden)

Full Text Available  Article contains information concerning the problem of influence of globalization on the financial markets of the developing countries and domestic financial market particularly. The most typical consequences of financial globalization on this segment of market economy are researched.  ? ?????? ??????????????? ???????? ??????? ???????????? ?? ?????????? ????? ? ????????????? ?????????? ????? ? ?????????. ??????????? ? ?????????? ???????? ??????????? ???????????  ??????????  ???????????? ?? ?????? ??????? ???????? ?????????. ? ?????? ????????????? ???????? ?????? ???????????? ?? ????????? ?????, ?? ???????????? ?? ??????????? ?????????? ????? ???????. ????????????? ?? ??????????? ???????? ?????????? ???????? ?????????? ???????????? ?? ????? ??????? ???????? ?????????.

?.?. ??????

2011-01-01

42

Collective behavior in financial markets  

Science.gov (United States)

The financial market is an example of a complex system characterized by a highly intricate organization and the emergence of collective behavior. In this paper, this emergent dynamics in the financial market is quantified by using concepts of network synchronization. We consider networks constructed by the correlation matrix of asset returns and study the time evolution of the phase coherence among stock prices. It is verified that during a financial crisis a synchronous state emerges in the system, defining the market's direction. Furthermore, the paper proposes a statistical regression model able to identify the topological features that mostly influence such an emergence. The coefficients of the proposed model indicate that the average shortest path length is the measurement most related to network synchronization. Therefore, during an economic crisis, the stock prices present a similar evolution, which tends to shorten the distances between stocks indicating a collective dynamics.

Dal'Maso Peron, T. K.; Rodrigues, F. A.

2011-11-01

43

Financial Markets and Stochastic Growth  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 betwee...

Mirman, Leonard J; Schenk-Hoppé, Klaus Reiner

44

Marketing Cooperatives and Financial Structure  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The relationship between the financial structure of a marketing cooperative (MC) and the requirement of the domination of control by the members is analysed from a transaction costs perspective. A MC receives less favorable terms on outside equity than a conventional firm because the decision power ...

Hendrikse, G.W.J.; Veerman, C.P.

45

Mesoscopic Modelling of Financial Markets  

Science.gov (United States)

We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is derived starting from the Levy-Levy-Solomon microscopic model (Levy et al. in Econ. Lett. 45:103-111, 1994; Levy et al. in Microscopic Simulation of Financial Markets: From Investor Behavior to Market Phenomena, Academic Press, San Diego, 2000) using the methods of kinetic theory and consists of a linear Boltzmann equation for the wealth distribution of the agents coupled with an equation for the price of the stock. From this model, under a suitable scaling, we derive a Fokker-Planck equation and show that the equation admits a self-similar lognormal behavior. Several numerical examples are also reported to validate our analysis.

Cordier, Stephane; Pareschi, Lorenzo; Piatecki, Cyrille

2009-01-01

46

Simulating the microstructure of financial markets  

Science.gov (United States)

In the beginning of exchange based trading, floor trading was the most widespread form of trading. In the course of the introduction and the progress in information technology, trading processes were adapted to the computational infrastructure at the international financial markets and electronic exchanges were created. These fully electronic exchanges are the starting point for recent agent-based models in econophysics, in which the explicit structure of electronic order books is integrated. The electronic order book structure builds the underlying framework of financial markets which is also contained in the recently introduced realistic Order Book Model [T. Preis et al., Europhys. Lett. 75, 510 (2006), T. Preis et al., Phys. Rev. E 76, 016108 (2007)]. This model provides the possibility to generate the stylized facts of financial markets with a very limited set of rules. This model is described and analyzed in detail. Using this model, it is possible to obtain short-term anti-correlated price time series. Furthermore, simple profitability aspects of the market participants can be reproduced. A nontrivial Hurst exponent can be obtained based on the introduction of a market trend, which leads to an anti-persistent scaling behavior of price changes on short time scales, a persistent scaling behavior on medium time scales, and a diffusive regime on long time scales. A coupling of the order placement depth to the prevailing market trend, which is identified to be a key variable in the Order Book Model, is able to reproduce fat-tailed price change distributions.

Preis, Tobias

2010-04-01

47

Financial transaction tax contributes to more sustainability in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 speculativ...

Schäfer, Dorothea

48

European financial integration and corporate governance  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The paper studies the link between the integration of European financial markets and corporate governance in Europe. The focus of the paper is on how integration affects the interplay of ownership structures, capital structures, and monitoring, all of which can be used to govern agency problems at t...

Buch, Claudia M.; Heinrich, Ralph P.

49

Detecting anchoring in financial markets  

CERN Multimedia

Anchoring is a term used in psychology to describe the common human tendency to rely too heavily (anchor) on one piece of information when making decisions. A trading algorithm inspired by biological motors, introduced by L. Gil\\cite{Gil}, is suggested as a testing ground for anchoring in financial markets. An exact solution of the algorithm is presented for arbitrary price distributions. Furthermore the algorithm is extended to cover the case of a market neutral portfolio, revealing additional evidence that anchoring is involved in the decision making of market participants. The exposure of arbitrage possibilities created by anchoring gives yet another illustration on the difficulty proving market efficiency by only considering lower order correlations in past price time series

Andersen, Jorgen Vitting

2007-01-01

50

Commodity Futures & Financial Market Charts  

Science.gov (United States)

This site, a product of TFC Commodity Charts, provides daily, monthly and weekly price charts for various commodity and financial futures. These include grains, meats, energy, metals, exchange rate and interest rate futures. There is also a short course introducing beginners to commodity market trading. The course covers topics from the origins of commodity trading to the operations of a commodity market. Beginners will be interested in the glossary of commodity futures terms provided at the site as well. Note that these are not realtime charts.

51

International financial markets and development  

Directory of Open Access Journals (Sweden)

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.How to cite this article: Wahl, P., 2009, ‘International financial markets and development’, HTS Teologiese Studies/Theological Studies 65(1), Art. #284, 4 pages. DOI: 10.4102/hts.v65i1.284

Peter Wahl

2009-01-01

52

Extreme times in financial markets.  

UK PubMed Central (United Kingdom)

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.

Masoliver J; Montero M; Perelló J

2005-05-01

53

Extreme times in financial markets.  

Science.gov (United States)

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. PMID:16089625

Masoliver, Jaume; Montero, Miquel; Perelló, Josep

2005-05-31

54

Switching processes in financial markets.  

Science.gov (United States)

For an intriguing variety of switching processes in nature, the underlying complex system abruptly changes from one state to another in a highly discontinuous fashion. Financial market fluctuations are characterized by many abrupt switchings creating upward trends and downward trends, on time scales ranging from macroscopic trends persisting for hundreds of days to microscopic trends persisting for a few minutes. The question arises whether these ubiquitous switching processes have quantifiable features independent of the time horizon studied. We find striking scale-free behavior of the transaction volume after each switching. Our findings can be interpreted as being consistent with time-dependent collective behavior of financial market participants. We test the possible universality of our result by performing a parallel analysis of fluctuations in time intervals between transactions. We suggest that the well known catastrophic bubbles that occur on large time scales--such as the most recent financial crisis--may not be outliers but single dramatic representatives caused by the formation of increasing and decreasing trends on time scales varying over nine orders of magnitude from very large down to very small. PMID:21521789

Preis, Tobias; Schneider, Johannes J; Stanley, H Eugene

2011-04-26

55

Switching processes in financial markets.  

UK PubMed Central (United Kingdom)

For an intriguing variety of switching processes in nature, the underlying complex system abruptly changes from one state to another in a highly discontinuous fashion. Financial market fluctuations are characterized by many abrupt switchings creating upward trends and downward trends, on time scales ranging from macroscopic trends persisting for hundreds of days to microscopic trends persisting for a few minutes. The question arises whether these ubiquitous switching processes have quantifiable features independent of the time horizon studied. We find striking scale-free behavior of the transaction volume after each switching. Our findings can be interpreted as being consistent with time-dependent collective behavior of financial market participants. We test the possible universality of our result by performing a parallel analysis of fluctuations in time intervals between transactions. We suggest that the well known catastrophic bubbles that occur on large time scales--such as the most recent financial crisis--may not be outliers but single dramatic representatives caused by the formation of increasing and decreasing trends on time scales varying over nine orders of magnitude from very large down to very small.

Preis T; Schneider JJ; Stanley HE

2011-05-01

56

Statistical Mechanics of Financial Markets:  

UK PubMed Central (United Kingdom)

The Black-Scholes theory of option pricing has been considered for many years as animportant but very approximate zeroth-order description of actual market behavior. Wegeneralize the functional form of the diffusion of these systems and also consider multi-factormodels including stochastic volatility. We use a previous development of a statisticalmechanics of financial markets to model these issues. Daily Eurodollar futures prices andimplied volatilities are fit to determine exponents of functional behavior of diffusions usingmethods of global optimization, Adaptive Simulated Annealing (ASA), to generate tight fitsacross moving time windows of Eurodollar contracts. These short-time fitted distributionsare then developed into long-time distributions using a robust non-Monte Carlo path-integralalgorithm, PATHINT, to generate prices and derivatives commonly used by option traders.

Lester Ingber; Jennifer K. Wilson

57

A Financial Market Model and Its Application  

Directory of Open Access Journals (Sweden)

Full Text Available A financial market model is developed according to the pricing mechanism in this paper. By simulating the influence among bargainer and price of financial asset, the model can be trained to fitting pricing process in real financial market such as stock market. A proof-test suggested that the model will be available when used in price forecast in short term. Result of forecast shows that the model is effective.

Zheng Xing Chen

2014-01-01

58

International financial markets and development  

Scientific Electronic Library Online (English)

Full Text Available Abstract in english 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 waysid (more) e. 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.

Wahl, Peter

2009-01-01

59

Relationship Service Marketing and Investment in Financial Market of Iran  

Directory of Open Access Journals (Sweden)

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.

Mehrdad Alipour; Reza Ahmadi; Hamed Abasi Nami

2012-01-01

60

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

Directory of Open Access Journals (Sweden)

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.

Raghavendra Rao Rentala

2012-01-01

 
 
 
 
61

Herd Behaviors in Financial Markets  

CERN Multimedia

We investigate the herd behavior of returns for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution $P(R)$ of returns $R$ satisfies the power-law behavior $P(R) \\simeq R^{-\\beta}$ with the exponents $ \\beta=3.11$(the time interval $\\tau=$ one minute) and 3.36($\\tau=$ one day). The informational cascade regime appears in the herding parameter $H\\ge 2.33$ at $\\tau=$ one minute, while it occurs no herding at $\\tau=$ one day. Especially, we find that the distribution of normalized returns shows a crossover to a Gaussian distribution at one time step $\\Delta t=1$ day.

Kim, K; Choi, J S; Takayasu, H; Kim, Kyungsik; Yoon, Seong-Min; Takayasu, Hideki

2004-01-01

62

Telegraph models of financial markets  

Scientific Electronic Library Online (English)

Full Text Available Abstract in spanish 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 respect to the interest rate, the model is free of arbitrage and complete. Memory effects of this model are discussed.

RATANOV, NIKITA

2007-10-01

63

Telegraph models of financial markets  

Directory of Open Access Journals (Sweden)

Full Text Available 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 respect to the interest rate, the model is free of arbitrage and complete. Memory effects of this model are discussed.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.

NIKITA RATANOV

2007-01-01

64

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

Directory of Open Access Journals (Sweden)

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.

Nicolae Dardac; Elena Georgescu

2008-01-01

65

Financial Stability and Market Structure: International Evidence  

Directory of Open Access Journals (Sweden)

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.

Marcos Soares da Silva; José Angelo Divino

2012-01-01

66

Fraudulent agents in an artificial financial market  

CERN Multimedia

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...

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

2003-01-01

67

Pension Fund Reform And European Financial Markets  

UK PubMed Central (United Kingdom)

Pension reform is widely seen as essential in order to defuse the difficulties EU governments wouldotherwise face in respect of their social security pension systems in a context of population ageing.Particularly when such reform involves funding of future pensions, it may have radical implications forEuropean financial markets, entailing important changes in the demand for financial assets by theprivate sector and qualitative developments in capital markets and banking which may impinge onbanks' comparative advantages. It may thereby impact on some long-established features of EUfinancial markets, notably in respect of corporate finance and corporate governance. Meanwhile, theonset of EMU will strongly affect both the evolution of EU financial markets and funding; On balance,it will tend to lead the evolution of financial structures in the same direction as the effects of pensionfund reform, in that both favour an increased role for securities markets and a lesser role for tr...

E Philip Davis

68

Financial Market Supervision: European Perspectives.  

Science.gov (United States)

Governments in Europe are considering what, if any, changes they should make to their national financial systems. Along with the United States and other countries, European countries also are considering changes to the international systems of financial s...

J. K. Jackson

2010-01-01

69

A stochastic model for the financial market with discontinuous prices  

Directory of Open Access Journals (Sweden)

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.

Leda D. Minkova

1996-01-01

70

Algorithmic complexity of real financial markets  

Science.gov (United States)

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 quantity rooted in the 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 quantity are shown when applied to the intervals of series placed before crashes and to intervals when no financial turbulence is observed. The connection between our results and the efficient market hypothesis is discussed.

Mansilla, R.

2001-12-01

71

Algorithmic Complexity in Real Financial Markets  

CERN Document Server

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 no financial turbulence is observed. The connection between our results and The Efficient Market Hypothesis is discussed.

Mansilla, R

2001-01-01

72

Algorithmic Complexity of Real Financial Markets  

CERN Document Server

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 intervals when no financial turbulence is observed. The connection between our results and The Efficient Market Hypothesis is discussed.

Mansilla, R

2000-01-01

73

Legitimacy and status groups in financial markets.  

UK PubMed Central (United Kingdom)

Economic sociologists have argued that financial markets should be analysed as uncertainty-processing social networks and intermediary groups. Networks and intermediaries alone cannot confer legitimacy upon financial actors and transactions. Status groups are a solution to this problem. They emphasize reputation, honour and good social behaviour as stabilizers of collective action, as means of social control and as indicators of legitimacy. I examine here the emergence and evolution of status groups of brokers in London, New York and Paris, and show how emphasis on honour was used to legitimize financial transactions. I argue that financial markets should be conceived as networks, intermediary and status groups. In global, automated financial markets status groups like securities analysts are gaining in prominence.

Preda A

2005-09-01

74

Financial Markets: Very Noisy Information Processing  

UK PubMed Central (United Kingdom)

INTRODUCTIONInformation processing of financial data entails the extractionof relevant information from overwhelming noise.The levels of noise in financial markets are such that themost one can hope for is "getting it right" slightly betterthan 50% of the time [1]. To complicate matters further,one also needs to be reasonably sure that one is not beingfooled by a finite set of examples from historical data intobelieving that the performance is acceptable when it isactually (and disastrously) slightly worse than acceptable.In addition to being a nuisance that complicates theprocessing of financial data, noise plays a role as a tradablecommodity in its own right. Indeed, market volatility is thebasis for a number of financial instruments, such as options[2], whose price explicitly depends on the level of volatilityin the underlying market. For this reason, it is of economicvalue to be able to predict the changes in the noise levelin financial time series as these

Malik Magdon-ismail; Alexander Nicholson; Yaser S. Abu-mostafa

75

Legitimacy and status groups in financial markets.  

Science.gov (United States)

Economic sociologists have argued that financial markets should be analysed as uncertainty-processing social networks and intermediary groups. Networks and intermediaries alone cannot confer legitimacy upon financial actors and transactions. Status groups are a solution to this problem. They emphasize reputation, honour and good social behaviour as stabilizers of collective action, as means of social control and as indicators of legitimacy. I examine here the emergence and evolution of status groups of brokers in London, New York and Paris, and show how emphasis on honour was used to legitimize financial transactions. I argue that financial markets should be conceived as networks, intermediary and status groups. In global, automated financial markets status groups like securities analysts are gaining in prominence. PMID:16156758

Preda, Alex

2005-09-01

76

Financial Market Intervention, January 13, 2009.  

Science.gov (United States)

Financial markets continue to experience significant disturbance and the banking sector remains fragile. Efforts to restore confidence have been met with mixed success thus far. This report provides answers to some frequently asked questions concerning on...

B. Webel E. V. Murphy

2009-01-01

77

Identifying states of a financial market.  

Science.gov (United States)

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. PMID:22966419

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

2012-09-10

78

Identifying states of a financial market.  

UK PubMed Central (United Kingdom)

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.

Münnix MC; Shimada T; Schäfer R; Leyvraz F; Seligman TH; Guhr T; Stanley HE

2012-01-01

79

Financial Market Intervention. CRS Report for Congress.  

Science.gov (United States)

Financial markets continue to experience significant disturbance and the banking sector remains fragile. Efforts to restore confidence have been met with mixed success thus far. After attempting to deal with troubled institutions on a case-by-case basis, ...

E. V. Murphy

2008-01-01

80

Financial Market Intervention, January 29, 2009.  

Science.gov (United States)

Financial markets continue to experience significant disturbance and the banking sector remains fragile. Efforts to restore confidence have been met with mixed success thus far. This report provides answers to some frequently asked questions concerning on...

B. Webel E. V. Murphy

2009-01-01

 
 
 
 
81

Identifying States of a Financial Market  

Science.gov (United States)

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.

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

2012-09-01

82

Estimating Model Limitation in Financial Markets  

UK PubMed Central (United Kingdom)

We introduce bounds on the generalization ability when learning with noisy data. These results quantify the trade-off between the amount of data and the noise level in the data. Our results can be used to derive a method for estimating the model limitation for a given learning problem. Changes in model imitation can then be used to detect a change in market volatility. Our results apply to linear as well as nonlinear models and algorithms, and to different noise models. We successfully apply our methods to the four major foreign exchange markets. 1 Introduction Learning from financial data entails the extraction of relevant information from overwhelming noise. Financial markets are dynamic systems so the noise parameters may fluctuate with time. In addition to being a nuisance that complicates the processing of financial data, noise plays a role as a tradable commodity in its own right. Indeed, market volatility is the basis for a number of financial instruments, such as options [1]...

Malik Magdon-ismail; Alexander Nicholson

83

Financial Markets, Intermediaries and Intertemporal Smoothing  

UK PubMed Central (United Kingdom)

: The returns of assets that are traded on financial markets are more volatile thanthe returns offered by intermediaries such as banks and insurance companies. Thissuggests that individual investors are exposed to more risk in countries which rely heavilyon financial markets. In the absence of a complete set of Arrow-Debreu securities, theremay be a role for institutions that can smooth asset returns over time. In this paper, weconsider one such mechanism. We present an example of an economy in which theincompleteness of financial markets leads to underinvestment in reserves whereas theoptimum, for a broad class of welfare functions, requires the holding of large reserves inorder to smooth asset returns over time. We then argue that a long-lived intermediary maybe able to implement the optimum. However, the position of the intermediary is fragile;competition from financial markets can cause the intertemporal smoothing mechanisms tounravel, in which case the interm...

Douglas Gale; Anthony M. Santomero

84

Financial Liberalization, Market Discipline and Bank Risk.  

Science.gov (United States)

In the literature on systemic banking crises, two common themes are: (1) Risky lending often follows bank liberalization. (2) Lack of market discipline encourages risky lending. That not all liberalizations are followed by financial crisis and that financ...

W. Gruben J. Koo R. R. Moore

2003-01-01

85

Practitioners' Tools in Analysing Financial Markets Evolution  

Directory of Open Access Journals (Sweden)

Full Text Available In a chaotic and confusing place as world of investing is, the practitioners, who operate onmarkets every day, have continuously searched to forecast properly the market movements. Moreminded to financial speculations, practitioners analyse financial markets looking for potentialweaknesses of the Efficient Market Hypothesis, and most of the times their methods are criticized byacademics. This article intends to present the traditional tools used by traders and brokers in analysingfinancial markets, emphasizing on critical opinions and scientific works published on this argumentby now.

Mihaela Nicolau

2010-01-01

86

Financial management systems at the power marketing administrations  

Energy Technology Data Exchange (ETDEWEB)

The Department of Energy's (DOE) five Power Marketing Administrations (PMA) market all federally produced power, except that under the jurisdiction of the Tennessee Valley Authority. Each PMA maintains its own accounting system. The purpose of this audit was to determine whether the PMAs were complying fully with Office of Management and Budget (OMB) Circular A-127, which requires agencies to establish a single, integrated financial management system and to eliminate systems that are excessively costly. We interviewed the finance directors at four of the five PMAs and reviewed documentation of the financial management systems at those sites. At Headquarters, we interviewed personnel in the Office of the Deputy Assistant Secretary for Financial Management and Controller (Controller). We also reviewed documentation of the PMA Financial Management Systems Coordinating Committee, a group formed to further PMA financial management objectives.

1989-11-28

87

Why Financial Markets Will Remain Marginally Inefficient?  

CERN Document Server

I summarize the recent work on market (in)efficiency, highlighting key elements why financial markets will never be made efficient. My approach is not by adding more empirical evidence, but giving plausible reasons as to where inefficiency arises and why it's not rational to arbitrage it away.

Zhang, Y C

2001-01-01

88

Financial Market Simulations: Motivating Learning and Performance.  

Science.gov (United States)

Presents results of a study to determine the effectiveness of the Stock Market Game in contributing to students' learning about financial markets. Suggests that the biggest advantage of the game it its ability to motivate students. Includes the test that was used by the study to determine how much the students had learned. (DK)

Weiser, Lawrence A.; Schug, Mark C.

1992-01-01

89

Financial Markets: Very Noisy Information Processing  

UK PubMed Central (United Kingdom)

We report new results about the impact of noise on information processing, with application to financial markets. These results quantify the tradeoff between the amount of data and the noise level in the data. They also provide estimates for the performance of a learning system in terms of the noise level. We use these results to derive a method for detecting the change in market volatility from period to period. We successfully apply these results to the four major foreign exchange markets. The results hold for linear as well as non-linear learning models and algorithms, and for different noise models. Keywords: Learning, Noise, Convergence, Bounds, Test Error, Generalization Error, Model Limitation, Volatility. 1 Introduction Information processing of financial data entails the extraction of relevant information from overwhelming noise. The levels of noise in financial markets are such that the most one can hope for is `getting it right' slightly better than 50% of the time [17]. To...

Malik Magdon-ismail; Alexander Nicholson; Yaser S. Abu-mostafa

90

Some Global Consequences of Financial Market . . .  

UK PubMed Central (United Kingdom)

This paper explores the global impact of financial market liberalization by countries in the AsiaPacific region. Almost all studies of liberalization by these economies have focused on the impactsof trade liberalization with little attention to the role of the restrictions on financial flows betweeneconomies. One major reason for this focus has been because restrictions on financial flows arevery difficult to measure and therefore there is a scarcity of data. In addition, the computablegeneral equilibrium models that typically attempt to measure the consequences of tradeliberalization do not explicitly or adequately model financial flows between economies. In anattempt to illustrate the importance of financial flows and the potential impacts of financialliberalization, this paper uses a dynamic intertemporal general equilibrium multi country modelcalled the Asia Pacific G-Cubed model. This model is unique in that it does explicitly model theflows of financial assets as well a...

91

Herd Behavior in Financial Markets  

Directory of Open Access Journals (Sweden)

Full Text Available This paper provides a rational microstructure model in which informed traders have private information on multi-dimensional uncertainties and it is possible for the herd behavior to occur. In the herd phase, informed traders choose to trade in the same direction regardless of their private signals. In addition, we find that there always exists a transitional phase between the normal phase and the herd phase. The market enters a transition phase when some informed traders’ expectation on the risky asset value is within the bid-ask spread. In the transition phase, the market liquidity deteriorates, marked by larger spread and stronger price impact power of incoming orders. The research in the multiple markets situation shows that what happens in the transition phase in one market could affect not only that market but also related markets. It provides the stage for the market crash and the herd behavior to be contagious among multiple assets whose values are correlated.

Wenjin Kang

2013-01-01

92

Solvable stochastic dealer models for financial markets.  

Science.gov (United States)

We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost equivalent to a Poisson random noise generator, the model becomes fairly realistic by adding only two effects: the self-modulation of transaction intervals and a forecasting tendency, which uses a moving average of the latest market price changes. Based on the present microscopic model of markets, we find a quantitative relation with market potential forces, which have recently been discovered in the study of market price modeling based on random walks. PMID:19518429

Yamada, Kenta; Takayasu, Hideki; Ito, Takatoshi; Takayasu, Misako

2009-05-19

93

Solvable Stochastic Dealer Models for Financial Markets  

CERN Document Server

We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost equivalent to a Poisson random noise generator, the model becomes fairly realistic by adding only two effects, the self-modulation of transaction intervals and a forecasting tendency, which uses a moving average of the latest market price changes. Based on the present microscopic model of markets, we find a quantitative relation with market potential forces, which has recently been discovered in the study of market price modeling based on random walks.

Yamada, Kenta; Ito, Takatoshi; Takayasu, Misako

2008-01-01

94

Solvable stochastic dealer models for financial markets.  

UK PubMed Central (United Kingdom)

We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost equivalent to a Poisson random noise generator, the model becomes fairly realistic by adding only two effects: the self-modulation of transaction intervals and a forecasting tendency, which uses a moving average of the latest market price changes. Based on the present microscopic model of markets, we find a quantitative relation with market potential forces, which have recently been discovered in the study of market price modeling based on random walks.

Yamada K; Takayasu H; Ito T; Takayasu M

2009-05-01

95

Solvable stochastic dealer models for financial markets  

Science.gov (United States)

We introduce solvable stochastic dealer models, which can reproduce basic empirical laws of financial markets such as the power law of price change. Starting from the simplest model that is almost equivalent to a Poisson random noise generator, the model becomes fairly realistic by adding only two effects: the self-modulation of transaction intervals and a forecasting tendency, which uses a moving average of the latest market price changes. Based on the present microscopic model of markets, we find a quantitative relation with market potential forces, which have recently been discovered in the study of market price modeling based on random walks.

Yamada, Kenta; Takayasu, Hideki; Ito, Takatoshi; Takayasu, Misako

2009-05-01

96

MEASURING INTEGRATED MARKETING COMMUNICATION  

Directory of Open Access Journals (Sweden)

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.

Bruno ZAVRŠNIK; Damjana JERMAN

2011-01-01

97

Financial Globalization and Emerging Markets:  

UK PubMed Central (United Kingdom)

We analyze the impact of ...nancial globalization on asset prices, investment and the possibilityof crashes driven by self-ful...lling expectations in emerging markets. In a two-countrymodel with one emerging market (intermediate income level) and one industrialized country(high income level), we show that symmetric liberalization of capital out#ows andin#ows increases asset prices, investment and income in the emerging market. However,for intermediate levels of international ...nancial transaction costs, we ...nd that pessimisticexpectations can be self-ful...lling, leading to a ...nancial crash. The crash is accompaniedby capital #ight, a drop in income and investment below the ...nancial autarky level andmore market incompleteness. We show that emerging markets are more prone to ...nancialcrashes simply because they have a lower income level and not because of the existenceof market failures (moral hazard or credit constraints), bad monetary policies or exchangerate regimes.

Hlne Rey

98

Agent Based Simulation Of Multiple Financial Markets  

UK PubMed Central (United Kingdom)

: This work describes the first steps into the attempt of simulating severalinteracting financial markets in a realistic manner. We use populations of diverseartificial traders and investors, whose typologies are simplified versions of thoseexisting in real markets. The agents can trade on several markets simultaneouslyand can establish an investment portfolio with several assets. Preliminary resultsof the simulations are encouraging. However, to increase the similarity with respectto actual financial markets some planned extensions have to be carried out. Thenumber of agents should be increased and a portion of the traders should be givenmore adaptive capabilities.Key words: Markets, Agents, SimulationReceived:Revised and accepted:1. IntroductionDistributed, decentralized, interacting assemblies of agents are commonplace in biologyand ecology. One may think for instance of ant or bees colonies, fish schoolsor flocks of birds as well-known natural examples of the emerge...

T. Ankenbrand; M. Tomassini

99

Predicting Financial Markets with Neural Networks  

UK PubMed Central (United Kingdom)

this paper we reviewed several successful applications of neural networks tofinancial forecasting. We showed how the neural networks are used to predictthe futures prices and trading volume. Also the analysis of the commercialsoftware was presented, including the test on forecasting the financial timeseries. Currency exchange markets were used for applying hints. Thus thisreview covered many important areas of financial forecasting where neuralnetworks may be successfully used.

Leonid Kuvayev

100

General equilibrium of financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The purpose of this paper is to explain the role of financial assets in allowing individual agents of an economy to make at time 0 some limited commitments into the future which, at some extent, redistribute their revenue among several time periods and different states of the world. It is done study...

Florenzano, Monique

 
 
 
 
101

A Causal Relationship between Financial Market Development and Economic Growth  

Directory of Open Access Journals (Sweden)

Full Text Available Problem statement: This study investigated the causal relationship between financial market development and economic growth for United Kingdom for the period 1965-2007 using a Vector Error Correction Model (VECM). Questions were raised whether financial market development causes economic growth or reversely taking into account the negative effect of interest rate. The objective of this study was to examine the causal relationships between these variables using Granger causality tests based on a Vector Error Correction Model (VECM). Approach: To achieve this objective classical and panel unit root tests were carried out for all time series data in their levels and their first differences. Johansen co-integration analysis was applied to examine whether the variables are co-integrated of the same order taking into account the maximum eigenvalues and trace statistics tests. A vector error correction model was selected to investigate the long-run relationship between financial market development and economic growth. Finally, Granger causality test was applied in order to find the direction of causality between the examined variables of the estimated model. Results: A short-run increase economic growth of per 1% leaded to an increase of stock market index per 0.6% in United Kingdom, while an increase of interest rate per 1% leaded to a decrease of stock market index per 1.59% in United Kingdom. The estimated coefficient of error correction term found statistically significant with a negative sign, which confirmed that there was not any problem in the long-run equilibrium between the examined variables. The results of Granger causality tests indicated that there is a bilateral causal relationship between economic growth and financial market development. Conclusion: Therefore, it can be inferred that economic growth has a positive effect on financial market development, while interest rate has a negative effect on it in United Kingdom.

Athanasios Vazakidis; Antonios Adamopoulos

2010-01-01

102

Temporal Evolution of Financial Market Correlations  

CERN Document Server

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.

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

2010-01-01

103

Temporal evolution of financial-market correlations.  

UK PubMed Central (United Kingdom)

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.

Fenn DJ; Porter MA; Williams S; McDonald M; Johnson NF; Jones NS

2011-08-01

104

Temporal evolution of financial-market correlations.  

Science.gov (United States)

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. PMID:21929066

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

2011-08-08

105

Market Makers' Supply And Pricing Of Financial Market Liquidity  

UK PubMed Central (United Kingdom)

This study models the bid-ask spread in financial markets as a function of asset pricevariability and order flow. The market-maker is characterized as passively accepting ordersto buy and to sell a security at the market's prevailing price (plus or minus half the bid-askspread). The bid-ask spread adjusts to cover market-makers' average costs. The bid-askspread then varies positively with: the security's price volatility, the volatility of order flow,and the absolute value of the market-maker's net inventory position. Each of these variablesincreases average cost and hence is priced in the bid-ask spread. Thus market liquidity(varying inversely with the bid-ask spread) declines with increasing price and volumevolatility and with increasing size of market-maker net inventory positions. The modelhence provides a particularly simple explanation for declining market liquidity duringperiods of large price movements and trading imbalances that increase the size of marketmakers' ne...

Pu Shen; Ross M. Starr

106

Rethinking Risk in International Financial Markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 a...

Campbell-Pownall, R.A.J.

107

76 FR 18445 - Financial Market Utilities  

Science.gov (United States)

Under section 805(a)(1)(A) of the Dodd-Frank Wall Street Reform and Consumer Protection Act (the ``Dodd-Frank Act''), the Board of Governors of the Federal Reserve System (the ``Board'') is required to promulgate risk-management standards governing the operations related to the payment, clearing, and settlement activities of certain financial market utilities (``FMUs'') that are designated as......

2011-04-04

108

Mean-Variance Hedging in Large Financial Markets  

UK PubMed Central (United Kingdom)

We consider a mean-variance hedging (MVH) problem for an arbitrage-free largefinancial market, i.e. a financial market with countably many risky assets modelled bya sequence of continuous semimartingales. By using the stochastic integration theory fora sequence of semimartingales developed in De Donno and Pratelli (2003), we extendthe results about change of numeraire and MVH of Gourieroux, Laurent and Pham(1998) to this setting. We also consider, for all n1, the market formed by the first nrisky assets and study the solutions to the corresponding n-dimensional MVH problemand their behaviour when n tends to infinity.

109

The role of accounting in financial markets  

Directory of Open Access Journals (Sweden)

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.

André Taue Saito; José Roberto Ferreira Savoia

2009-01-01

110

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

Directory of Open Access Journals (Sweden)

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.

Arjana Brezigar-Masten; Fabrizio Coricelli; Igor Masten

2011-01-01

111

Large Impact Events and Financial Markets  

Directory of Open Access Journals (Sweden)

Full Text Available This paper will discuss large impact events in financial markets. Two different datasets are investigated; daily data for the SP500 Index from the period 1950 to 2010 and monthly data from 1997-2010 for 23 global stock market indices. We find that the daily returns for the SP-500 are more volatile than expected. Two normality test are also run on the global stock market indices dataset. The results are mixed whether the data is normaly distributed or not. However a significant negative skew and a high degree of peakness (leptokurtic) is found to be present

Marcus Davidsson

2012-01-01

112

Financial Crises in Emerging Markets  

Science.gov (United States)

This project, from the National Bureau of Economic Research (NBER), studies "the causes of currency crises in emerging market countries as well as the policies that can reduce the risk of future crises and the adverse effects when such crises occur." Along with a extensive collection of downloadable NBER research papers on this subject, the site also lists upcoming conferences on emerging markets and reports on past conferences. Chapters from forthcoming books authored by NBER associates as well as other authors affiliated with the World Bank, the Federal Reserve System, and numerous universities are also available for download. Those just beginning to learn about this topic will want to read the list of questions that the project is attempting to answer.

113

Evolution on Financial Markets - Chapter 1  

UK PubMed Central (United Kingdom)

Contents1 The Evolutionary Emergence and Vanishing of Assets in IncompleteFinancial Markets 11.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11.2 The restricted participation equilibrium . . . . . . . . . . . . . 61.3 Properties of the Equilibrium Portfolios . . . . . . . . . . . . . 111.4 Evolution under Imitation Rules . . . . . . . . . . . . . . . . . 151.5 Mutation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 181.5.1 Mutation-Stable States . . . . . . . . . . . . . . . . . . 181.5.2 On-Going Mutation . . . . . . . . . . . . . . . . . . . . 211.6 Innovations . . . . . . . . . . . . . . . . . . . . . . . . . . . . 251.6.1 On-Going Innovation . . . . . . . . . . . . . . . . . . . 271.7 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29References 31iiiiv CONTENTSChapter 1The Evolutionary Emergenceand Vanishing of Assets inIncomplete Financial Mar

Und Sven Ludwig

114

Phase Synchronization Detection of Financial Market Crises  

Science.gov (United States)

Financial market is a complex system whose characteristic behaviors can be caught in corresponding time series. Analyzing such time series by appropriate methods will aid in making inferences and predictions. Here phase synchronization approach is used for visual pattern recognition of crises. Based on Empirical Mode Decomposition and the Hilbert transform, phase evolution of various rhythmic components exiting in the market is extracted. Then the concept of synchronization can be successfully applied to crises detection. Unlike other approaches, this detection distinguishes crises from normal state according to variations of interaction among rhythmic components. The empirical results mentioned here convince us of the fact that financial crises take place at the time when the adjustment processes of other quasi-periodic oscillations and the trend are out of synchronization. On the contrary, when other rhythmic oscillations can be synchronized with the trend, the market will develop healthily. The presence and duration of synchronization reflect dynamics of financial market. All these results will enlighten people to disclose its reasons and probe methods for controlling its pathological rhythms.

Yang, Chun-Xia; Wu, Hong-Fa; Zhang, Ying-Chao; Xia, Bing-Ying; Itoh, Masaru

115

Study of Stylized Facts in Indian Financial Markets  

Directory of Open Access Journals (Sweden)

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.

Indranil Mukherjee; Chitrakalpa Sen; Amitava Sarkar

2011-01-01

116

Development and integration of Arab capital markets  

Energy Technology Data Exchange (ETDEWEB)

The recent focus on Arab capital markets by businessmen and politicians has been encouraged by the structural differences in the Arab region that were magnified by the oil price increases of the 1970's and the appearance of the so-called oil financial surpluses. The objective of this study is to indicate the prospects for moving towards the integration of Arab capital markets in the context of the efforts made to improve the performance of certain domestic capital markets and to promote regional financial cooperation.

Nashashibi, H.S.

1982-11-01

117

Intelligent Market-Making in Artificial Financial Markets  

UK PubMed Central (United Kingdom)

This thesis describes and evaluates a market-making algorithm for settingprices in financial markets with asymmetric information, and analyzesthe properties of artificial markets in which the algorithm is used.The core of our algorithm is a technique for maintaining an online probabilitydensity estimate of the underlying value of a stock. Previous theoreticalwork on market-making has led to price-setting equations forwhich solutions cannot be achieved in practice, whereas empirical workon algorithms for market-making has focused on sets of heuristics andrules that lack theoretical justification. The algorithm presented in thisthesis is theoretically justified by results in finance, and at the sametime flexible enough to be easily extended by incorporating modulesfor dealing with considerations like portfolio risk and competition fromother market-makers. We analyze the performance of our algorithm experimentallyin artificial markets with different parameter settings andfind that many reasonable real-world properties emerge. For example,the spread increases in response to uncertainty about the true value ofa stock, average spreads tend to be higher in more volatile markets,and market-makers with lower average spreads perform better in environmentswith multiple competitive market-makers. In addition, thetime series data generated by simple markets populated with marketmakersusing our algorithm replicate properties of real-world financialtime series, such as volatility clustering and the fat-tailed nature ofreturn distributions, without the need to specify explicit models foropinion propagation and herd behavior in the trading crowd.

Snmy Ds

118

Modeling of Brokers' Behavior in Financial Markets  

UK PubMed Central (United Kingdom)

A derivative security is a financial contract contingent on the price of an underlying asset. For example, options to buy or sell a commodity are derivatives. The pricing of such contracts is the purview of Derivative Pricing Theory. The practice of derivative pricing theory has historically relied on the assumption that the market is free of opportunities for arbitrage. This assumption is known as information efficiency and this branch of derivative pricing is called Arbitrage Pricing Theory (APT). The essential goal of APT is to establish a fair price for a contract, i.e. such a price that does not disturb the existing equilibrium in the market. Under ATP, all market participants are modeled the same way, with each having equal powers, and being subject to the same constraints. This is an idealized setting. For example, airline companies and oil refineries both come to the market to trade in fuel, but they do so with fundamentally different perspectives, one of them being...

Olga Streltchenko

119

Agent-based models of financial markets  

Energy Technology Data Exchange (ETDEWEB)

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.

Samanidou, E [Department of Economics, University of Kiel, Olshausenstrasse 40, D-24118 Kiel (Germany); Zschischang, E [HSH Nord Bank, Portfolio Mngmt. and Inv., Martensdamm 6, D-24103 Kiel (Germany); Stauffer, D [Institute for Theoretical Physics, Cologne University, D-50923 Koeln (Germany); Lux, T [Department of Economics, University of Kiel, Olshausenstrasse 40, D-24118 Kiel (Germany)

2007-03-15

120

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

2007-01-01

 
 
 
 
121

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

CERN Multimedia

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.

Zitkovic, Gordan

2006-01-01

122

Equilibrium Dominance in Experimental Financial Markets  

UK PubMed Central (United Kingdom)

this article we provide experimental evidence concerning thepredictive power of one particularly popular refinement, namely equilibriumdominance, also known as the intuitive criterion, developedby Cho and Kreps (1987). We examine equilibrium dominance in thecontext of simple financial markets in which the proposed refinementmakes clear, testable predictions. These predictions are then comparedto the actual behavior of agents in a controlled setting. Theobjective is to determine the extent to which equilibrium dominancesuccessfully predicts equilibrium selection.

Charles Bram Cadsby; Murray Frank; Vojislav Maksimovic; Ron Giammarino; Larry Harris; David Hirshleifer; Qi Li; David Prescott

123

A Benchmark Model for Financial Markets  

UK PubMed Central (United Kingdom)

This paper introduces a benchmark model for financial markets, which is based on the unique characterization of a benchmark portfolio that is chosen to be the growth optimal portfolio. The general structure of risk premia for asset prices and portfolios is derived. Furthermore, the short rate is obtained as an average of appreciation rates. The benchmark model is shown to be locally arbitrage free, however, it still permits some form of arbitrage. Finally, a subclass of arbitrage free contingent claim prices is derived.

124

Agent-based Models of Financial Markets  

CERN Document Server

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 ...

Samanidou, E; Stauffer, D; Lux, T

2008-01-01

125

European Financial Firms in Asia: Market Versus Non- Market Strategies  

UK PubMed Central (United Kingdom)

This papersheds light on the use of non-market strategies in international market penetration by1H. Patrick and Y. Park, The Financial Development of Japan, Korea, and Taiwan, Oxford UniversityPress, New York 1994, p. 3452focusing on two cases. The main reason for the case study approach lies in theheterogeneity of Asian countries and of industries in the financial sector. Asian countriesdiffer greatly in terms of their culture and the social and business environment. Acomparison of China and Hong Kong illustrates the magnitude of such differences. Chinahas 1.3 billion citizens living in almost 10 million square kilometers compared with HongKong's city state of 6 million people in 1000 square kilometers; China's populationdensity is 125 people per square kilometer compared with Hong Kong's 5,767. Per capitaGDP in 1995 was US$ 620 in China, while it was $ 23,000 in Hong Kong. China, despitethe ongoing gradual reform, is still a rather inaccessible market, while Hong Kong (alongwith Singapore) takes pride in having the most liberal market economy in the world.Market outcomes reflect different social values everywhere in the world, but the starkdifferences of two neighboring Asian countries must be considered extreme: In China,0.4 % of the adult population have life insurance policies, while in Korea 100% do. In theface of such daunting differences it is too uninformative to examine market penetrationstrategies of foreign firms and measure the outcome in terms of market presence at theAsian level.Furthermore, the financial sector includes industries that differ in fundamentalcharacteristics. Success in the securities business requires a very high level of skill,familiarity with and access to the global capital markets, and sufficient critical mas...

Klaus Wallner

126

Balance, growth and diversity of financial markets  

CERN Multimedia

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...

Kardaras, Constantinos

2008-01-01

127

Quarterly Review: International Banking and Financial Market Developments, June 2000  

Science.gov (United States)

According to this issue of International Banking and Financial Market Development, equity markets, especially those trading technology stocks, marked the first several months of this year as "a period of heightened market volatility."

128

Trend Switching Processes in Financial Markets  

Science.gov (United States)

For an intriguing variety of switching processes in nature, the underlying complex system abruptly changes at a specific point from one state to another in a highly discontinuous fashion. Financial market fluctuations are characterized by many abrupt switchings creating increasing trends ("bubble formation") and decreasing trends ("bubble collapse"), on time scales ranging from macroscopic bubbles persisting for hundreds of days to microscopic bubbles persisting only for very short time scales. Our analysis is based on a German DAX Future data base containing 13,991,275 transactions recorded with a time resolution of 10- 2 s. For a parallel analysis, we use a data base of all S&P500 stocks providing 2,592,531 daily closing prices. We ask whether these ubiquitous switching processes have quantifiable features independent of the time horizon studied. We find striking scale-free behavior of the volatility after each switching occurs. We interpret our findings as being consistent with time-dependent collective behavior of financial market participants. We test the possible universality of our result by performing a parallel analysis of fluctuations in transaction volume and time intervals between trades. We show that these financial market switching processes have features similar to those present in phase transitions. We find that the well-known catastrophic bubbles that occur on large time scales - such as the most recent financial crisis - are no outliers but in fact single dramatic representatives caused by the formation of upward and downward trends on time scales varying over nine orders of magnitude from the very large down to the very small.

Preis, Tobias; Stanley, H. Eugene

129

The consequence of financial crises in Albanian insurance market  

Directory of Open Access Journals (Sweden)

Full Text Available The Albanian insurance market is not influenced considerably from current financial crisis. Early yet phase of development with the very low penetration level explains steadiness of insurance market to exposure influence of global financial crisis. Another factor contributed to stability of insurance market is focusing insurance businesses more on the compulsory insurance segment which is not fully liberalized. Conservative investment policies of Albanian insurers also contributed to avoiding influence of market risks induced by world financial crisis.

Filloreta Madani; Edmira Cakrani

2010-01-01

130

Product Market Integration And European Labour Markets  

UK PubMed Central (United Kingdom)

European labour markets are in a state of flux due to the changing market situation inducedby international integration. This process affects wage formation through morefierce product market competition and increased mobility of jobs. This development isby some observers taken to enforce labour market flexibility, while it for others signalsan erosion of social standards and in turn possibly the welfare society. Sincelabour is not very mobile in Europe, the effects of international integration on labourmarkets is mostly indirect via product market integration. We review the channelsthrough which product market integration affects labour markets and perform anempirical analysis of the convergence and interdependencies in wage formationamong EU-countries. We find that integration is changing labour market structuresand inducing wage convergences as well as stronger wage interdependencies, but it isa gradual process. Moreover, the present study does neither support that interna...

Torben M. Andersen; Niels Haldrup; Jan Rose Srensen

131

Financial Markets: Very Noisy Information Processing  

UK PubMed Central (United Kingdom)

We report new results about the impact of noise on information processing, with application to financial markets. These results quantify the tradeoff between the amount of data and the noise level in the data. They also provide estimates for the performance of a learning system in terms of the noise level. We use these results to derive a method for detecting the change in market volatility from period to period. We successfully apply these results to the four major foreign exchange markets. The results hold for linear as well as non-linear learning models and algorithms, and for different noise models. Keywords--- Learning, Noise, Convergence, Bounds, Test Error, Generalization Error, Model Limitation, Volatility. I.

Malik Magdon-ismail; Er Nicholson; Yaser S. Abu-mostafa

132

Importance of financial and marketing controlling  

Directory of Open Access Journals (Sweden)

Full Text Available Controlling is a concept of a firm’s control orientated to results, in which are linked different responsibilities from the field of accounting, information science, coordination and control. The controlling introduces a special work with an information, it is a process of still strong overgrowing information support to own managing of the firm’s value-forming process and it is moving towards an improvement of its limitations, serves to achieve a profit and to stabilize the liquidity. In the presented article I will deal with a possibility to improve the financial and economical management in a chosen firm, mainly through controlling, during which I will lay emphasis to the financial and marketing controlling of the firm.

Denisa Al-Zabidi

2006-01-01

133

Modelling share volume traded in financial markets  

CERN Multimedia

A simple analytically solvable model exhibiting a 1/f spectrum in an arbitrarily wide frequency range was recently proposed by Kaulakys and Meskauskas (KM). Signals consisting of a sequence of pulses show that inherent origin of the 1/f noise is Brownian fluctuations of the average intervent time between subsequent pulses of the pulse sequence. We generalize the KM model to reproduce the variety of self-affine time series exhibiting power spectral density S(f) scaled as power of their frequency f. Numerical calculations with the generalized discrete model (GDM) reproduce power spectral density S(f) scaled as power of frequency 1/f^b for various values of b, including b =1/2 for applications in financial markets. The particular applications of the model proposed are related with financial time series of share volume traded.

Gontis, V

2001-01-01

134

Large-volatility dynamics in financial markets  

CERN Multimedia

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.

Zheng, B

2010-01-01

135

Multifractal properties of the Indian financial market  

Science.gov (United States)

We investigate the multifractal properties of the logarithmic returns of the Indian financial indices (BSE & NSE) by applying the multifractal detrended fluctuation analysis. The results are compared with that of the US S&P 500 index. Numerically we find that qth-order generalized Hurst exponents h(q) and ?(q) change with the moments q. The nonlinear dependence of these scaling exponents and the singularity spectrum f(?) show that the returns possess multifractality. By comparing the MF-DFA results of the original series to those for the shuffled series, we find that the multifractality is due to the contributions of long-range correlations as well as the broad probability density function. The financial markets studied here are compared with the Binomial Multifractal Model (BMFM) and have a smaller multifractal strength than the BMFM.

Kumar, Sunil; Deo, Nivedita

2009-04-01

136

Market dynamics after large financial crash  

CERN Document Server

The model describing market dynamics after a large financial crash is considered in terms of the stochastic differential equation of Ito. Physically, the model presents an overdamped Brownian particle moving in the nonstationary one-dimensional potential $U$ under the influence of the variable noise intensity, depending on the particle position $x$. Based on the empirical data the approximate estimation of the Kramers-Moyal coefficients $D_{1,2}$ allow to predicate quite definitely the behavior of the potential introduced by $D_1 = - \\partial U /\\partial x$ and the volatility $\\sim \\sqrt{D_2}$. It has been shown that the presented model describes well enough the best known empirical facts relative to the large financial crash of October 1987. \\

Buchbinder, G L

2008-01-01

137

Quantifying meta-correlations in financial markets  

Science.gov (United States)

Financial markets are modular multi-level systems, in which the relationships between the individual components are not constant in time. Sudden changes in these relationships significantly affect the stability of the entire system, and vice versa. Our analysis is based on historical daily closing prices of the 30 components of the Dow Jones Industrial Average (DJIA) from March 15th, 1939 until December 31st, 2010. We quantify the correlation among these components by determining Pearson correlation coefficients, to investigate whether mean correlation of the entire portfolio can be used as a precursor for changes in the index return. To this end, we quantify the meta-correlation - the correlation of mean correlation and index return. We find that changes in index returns are significantly correlated with changes in mean correlation. Furthermore, we study the relationship between the index return and correlation volatility - the standard deviation of correlations for a given time interval. This parameter provides further evidence of the effect of the index on market correlations and their fluctuations. Our empirical findings provide new information and quantification of the index leverage effect, and have implications to risk management, portfolio optimization, and to the increased stability of financial markets.

Kenett, Dror Y.; Preis, Tobias; Gur-Gershgoren, Gitit; Ben-Jacob, Eshel

2012-08-01

138

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

Science.gov (United States)

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…

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

2007-01-01

139

Stochastic Multiplicative Processes for Financial Markets  

CERN Multimedia

We study a stochastic multiplicative system composed of finite asynchronous elements to describe the wealth evolution in financial markets. We find that the wealth fluctuations or returns of this system can be described by a walk with correlated step sizes obeying truncated Levy-like distribution, and the cross-correlation between relative updated wealths is the origin of the nontrivial properties of returns, including the power law distribution with exponent outside the stable Levy regime and the long-range persistence of volatility correlations.

Huang, Z F; Huang, Zhi-Feng; Solomon, Sorin

2002-01-01

140

Collaborative Filtering Recommender System for Financial Market  

Directory of Open Access Journals (Sweden)

Full Text Available Recommender systems suggest items to users by utilizing the techniques of Collaborative filtering based on historical records of items that users have purchased. Recommender systems make use of data mining techniques to determine the similarity among a huge collection of data items, by analyzing historical user data and then extracting hidden useful information or patterns. Collaborative filtering aims at finding the relationships among the new individuals and the existing data items in order to further determine the similarity and provide recommendations. In this paper, a Collaborative Filtering Recommender System is proposed which can be used for financial markets such as stock exchanges for future predictions.

F.R.Sayyed,; R.V.Argiddi; S.S.Apte

2013-01-01

 
 
 
 
141

Liquidity and Contagion in Financial Markets  

UK PubMed Central (United Kingdom)

This paper presents a model on contagion in financial markets. We use a bank runframework as a mechanism to initiate a crisis and argues that liquidity crunch andimperfect information are the key culprits for a crisis to be contagious. The modelproposes that a crisis is more likely to be contagious when (1) banks have similarcost-eiticiency structures (clustering) and (2) a large fraction of the investment isin the illiquid sector (illiquidity). The latter is an endogenous decision made by thebanks. It increases with (1) the prospect of the risky asset (risk-return trade-off)and (2) the fraction of patient consumers (liquidity demand).

David Backus; Silverio Foresi; Liuren Wu

142

The Financial Innovation and the Development of Capital Markets  

Directory of Open Access Journals (Sweden)

Full Text Available In the last decades, the financial instruments developed very quickly, the world economy becoming “a paper economy”. The financial innovation transformed the financial system, offers for the financial intermediaries and investors’ new opportunities, but also brings new risks. The financial supervisory authorities passed from the regulation and deregulation process again to the re-regulation process in the intent to insure the stability in the financial markets and a development without the (hidden) dangers that sometimes transformed in financial crisis of financial intermediaries’ bankruptcy.

OVIDIU STOICA

2006-01-01

143

THE VOLATILITY OF THE FINANCIAL MARKET – A QUANTITATIVE APPROACH  

Directory of Open Access Journals (Sweden)

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.

Mester Ioana Teodora

2008-01-01

144

On Information Creation and Its Effect in Incomplete Financial Markets  

Directory of Open Access Journals (Sweden)

Full Text Available “Thirst for information” existing in financial markets shows that information supply is insufficient and private information is value. Agents will select to acquire economic information under the market incentive mechanism. This is the basis of information creation in incomplete financial markets. Because the information supplies insufficiency in the financial markets is exogenous, information creation is natural exogenous. From this perspective, this paper thinks that information creation has a practical base and a very important significance in financial economic field. The effect of information creation has dual character: the one is positive effect, which should improve market efficiency in long term; the other is negative effects, which should aggravate the market speculation and manipulation, cause financial bubble, and amplify financial risk in short term.

Mingren Chen

2012-01-01

145

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

Directory of Open Access Journals (Sweden)

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.

Mitica Pepi; Traian Cristin Nicolae

2013-01-01

146

INCOMPLETE MARKETS AND FINANCIAL INSTABILITY. THE ROLE OF INFORMATION  

Directory of Open Access Journals (Sweden)

Full Text Available Considering the way that the world economy has evolved over the last 30-40 years, there was a transition from a predominant real economy to a predominant financial economy. Once, there were prevalent economic crises (when the real economy was important); today, the economies all around the world face prevalent financial crises; therefore, it is extremely important to study the role of financial markets, especially the incomplete markets feature (given by the imperfect information). The paper aims to analyze the relationship between imperfect information and incomplete financial markets and the way they are affecting the financial stability.

CRISTIAN IONESCU

2012-01-01

147

Incomplete Financial Markets and Jumps in Asset Prices  

DEFF Research Database (Denmark)

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.

Crès, Hervé; Markeprand, Tobias Ejnar

2009-01-01

148

Market Discipline and Financial Safety Net Design  

UK PubMed Central (United Kingdom)

this paper is to fill this gap in our knowledge.First, we investigate empirically to what extent market discipline exists around theworld. There is a considerable body of literature on market discipline mostly for the U.S.that generally finds support for the existence of some market discipline by bank creditors.We contribute to this literature by extending the analysis to a large number of developedand developing countries. To do this, we investigate the sensitivity of (i) bank depositinterest rates, and (ii) deposit growth rates to indicators of bank risk. Specifically, werelate a bank's implicit cost of funds (measured as interest expenses divided by interestpayingdebt) to bank risk measures such as the capitalization ratio, profitability andliquidity. This is done separately for 38 countries over the years 1990-1997. In addition,for a larger set of 52 countries we examine whether market discipline entails that riskierbanks are less able to attract deposits. To this aim, we relate the measured growth rate of(real) deposits to bank risk measures.Secondly and more importantly, we examine whether differences in marketdiscipline across countries can be explained by different design features of financialsafety nets. Evidence of this kind should be useful to policy makers around the world, asthey grapple with the question of how to design a financial safety net withoutundermining market discipline. To enable this work, we have collected detailedinformation on the nature of deposit insurance for over 50 countries. This data shows thatthere is considerable cross-country variation in key design features such as insurancecoverage, co-insurance, source of funding and fund management. On a cross-countrybasis, we relate the extent of market discipline (in term...

Asli Demirg-kunt; Harry Huizinga; Jerry Caprio; Stijn Claessens; Tae Soo Kang; Maria Soledad; Martinez Peria; Anqing Shi; Tolga Sobaci

149

Internal and external market orientation as organizational resources - consequences for market and financial performance  

Directory of Open Access Journals (Sweden)

Full Text Available The concept of internal marketing has been discussed in marketing literature for over 30 years. Despite this fact there is little theoretical and empirical evidence of the way in which the internal market orientation impacts market and financial performance. On the other hand, there is considerable empirical evidence concerning the impact of the external market orientation on market and financial performance. Consequently, very few research projects have dealt with the impact of both market orientations on the performance of companies. In this paper a structural model was constructed, consisting of the internal market orientation, external market orientation, market performance and financial performance. With the help of the structural equation model the hypothesis that the internal market orientation is a significant predecessor of the external market orientation was confirmed. The external market orientation was found to significantly influence market as well as financial performance.

Boris Snoj; Vladimir Gabrijan; Borut Milfelner

2010-01-01

150

Correlation of financial markets in times of crisis  

Science.gov (United States)

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.

Sandoval, Leonidas; Franca, Italo De Paula

2012-01-01

151

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

Scientific Electronic Library Online (English)

Full Text Available Abstract in english 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 provide 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 m (more) easure 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.

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

2013-01-01

152

Asymmetric Information and Survival in Financial Markets  

UK PubMed Central (United Kingdom)

In the evolutionary setting for a financial market developed by Blume and Easley (1992), we consider an innitely repeated version of a model la Grossman and Stiglitz (1980) with asymmetrically informed traders. Informed traders observe the realisation of a payoff relevant signal before making their portfolio decisions. Uninformed traders do not have direct access to this kind of information, but can partially infer it from market prices. As a counterpart for their privileged information, informed traders pay a per period cost. As a result, information acquisition triggers a trade-off in our setting. We prove that, as long as information is costly, a strictly positive measure of uninformed traders will survive. This result contributes to the literature on noise trading. It suggests that Friedman (1953)s argument against the importance of noise traders in the process of price determination is too simplistic. Traders whose beliefs are wrong according to the best available information, in fact, are not wiped out by market forces and do affect asset prices in the long run.

Emanuela Sciubba

153

Integration of financial and non-financial reports under management conditions  

Directory of Open Access Journals (Sweden)

Full Text Available The paper presents the assessment of the development of integrated reports overseas and describes the stages of establishment of such a system. The form and structure of corporate reporting is developed, and is differentiated, reflecting the integrated information regarding aspects of financial and non-financial activity: statistical indicators, economical, financial and social, company strategy, future cash flows, the value of human capital, and the stability of the business model. Goals and objectives of corporate reports are determined, which consist in providing reliable information on all company activities in accordance with strategic objectives and management models.The structure of the integrated report takes into consideration the requirements of the management system, of the legislative bodies and other institutions, and is considered the basis for the development of branch reports models. Its structure will depend on the size of the legal-organizational form and the social value of the company in society. The author of the article suggests three approaches to achieving corporate reports in the section of social responsibility indicators; where each company chooses the form of reporting in accordance with the available categories that depend on the size and strategic policy. The suggested integrated reports are instrumental to the observance of the stable development doctrines and will become a tool that, in the near future, will ensure the company an effective interaction with financial markets and the stakeholders of market relations.

Prodanciuk Mihail

2013-01-01

154

The financial crisis of 2008 in fixed income markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We explore how a relatively small amount of heterogeneous securities created turmoil in financial markets in much of the world in 2007 and 2008. The drivers of the financial turmoil and the financial crisis of 2008 were heterogeneous securities that were hard to value. These securities created conce...

Dwyer, Gerald P.; Tkac, Paula

155

Visualizing rural financial market research in Northern Vietnam through pictures  

Digital Repository Infrastructure Vision for European Research (DRIVER)

One of the many tasks of financial market research is to develop client-oriented financial products. In order to ensure that the financial products reflect the necessities and preferences of the clients, profound participation of the target group throughout the whole research process is important. T...

Geppert, Meike; Dufhues, Thomas Bernhard

156

Financial markets and energy markets; Finanzmaerkte und Energiemaerkte  

Energy Technology Data Exchange (ETDEWEB)

Ten years ago, the Energiewirtschaftliches Institut was one of the first to organise a meeting on the emerging, new topic of ``innovation``. Today, ten years on, we conclude that developments since then have been concentrating on quite another sector than that in the focus ten years ago. It was not the sector of industry and technology where innovative activities gained momentum, but the institutional sector, and developments through innovative approaches in this sector have been particularly vivid in connection with energy policy, financial markets and financing institutions. New funding strategies had to be developed by public as well as private marketers in the energy sector in the wake of the deregulation of energy markets in a large number of countries, which proceeded at a rate that nobody could have anticipated ten years ago. This applies in particular to the line-transmitted energy sources. At the same time, however, we realize that the price for primary energy sources is on a downward trend. The contribution here is intended to reveal interactive effects and connections in this development between institutional innovations, financial markets, and declining primary energy prices. (orig./CB) [Deutsch] Auf der Tagung des Energiewirtschaftlichen Instituts vor 10 Jahren war der Begriff `Innovationen` das Generalthema. Im Verlauf der 10 Jahre zwischen damals und heute hat sich nun herausgestellt, dass der Schwerpunkt der Innovationen auf einem ganz anderen Gebiet lag. Es geht um institutionelle Innovationen, um Innovationen der Energiepolitik und um Finanzinnovationen. Damals war noch nicht abzusehen, wie stuermisch sich die institutionellen Reformen entwickelen wuerden. Heute stehen wir vor dem Befund, dass in vielen Laendern die Energiemaerkte liberalisiert worden sind, und dass in den meisten Laendern entscheidende gesetzgeberische Schritte unternommen wurden, um die Liberalisierung durchzufuehren. Das betrifft im Schwerpunkt die leitungsgebundenen Energietraeger. Gleichzeitig stellen wir aber fest, dass die Preise der Energierohstoffe im Trend gesunken sind. Welcher Zusammenhang zwischen den institutionellen Innovationen, den Finanzmaerkten und den niedrigen Energierohstoffpreisen besteht, wird im Rahmen dieses Beitrags behandelt. (orig./RHM)

Weizsaecker, C.C. von [Energiewirtschaftliches Inst. an der Univ. zu Koeln (Germany)

1998-09-01

157

The Romanian Municipal Bond Market and the International Financial Crisis  

Directory of Open Access Journals (Sweden)

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.

VALENTINA VASILE; MIRELA MATEI

2010-01-01

158

Correlation, hierarchies, and networks in financial markets  

CERN Multimedia

We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several other quantitative descriptions of asset price dynamics in financial markets. Specifically, we discuss how to define and obtain hierarchical trees, correlation based trees and networks from a correlation matrix. The hierarchical clustering and other procedures performed on the correlation matrix to detect statistically reliable aspects of the correlation matrix are seen as filtering procedures of the correlation matrix. We also discuss a method to associate a hierarchically nested factor model to a hierarchical tree obtained from a correlation matrix. The information retained in filtering procedures and its stability with respect to statistical fluctuations is quantified by using the Kullback-Leibler distance.

Tumminello, M; Mantegna, R N

2008-01-01

159

Classical and Quantum-Like Randomness and the Financial Market  

Science.gov (United States)

The financial market is a complex dynamical system and, since the publication of the thesis of [1], there were performed numerous studies devoted to various aspects of random description of financial processes [2]. At the first stage of investigations Brownian motion was used to describe randomness of the financial market. This model provided a rather good approximation of some financial processes. However, later it became evident that the diversity of financial stochastic processes could not be reduced to Brownian motion. The next step was consideration of functionals of Brownian motion, especially, geometric Brownian motion [2]. Later there were considered other types of stochastic processes [2], in particular, general Levy processes.

Khrennikov, Andrei

160

Identifying States of a Financial Market  

CERN Multimedia

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...

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

2012-01-01

 
 
 
 
161

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

CERN Multimedia

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 ...

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

2006-01-01

162

Financial Integration and Financial Crisis: Croatia Approaching the EMU  

Directory of Open Access Journals (Sweden)

Full Text Available The breakdown of command economies has significantly increased growth potentials all over Europe and opened up prospects for economic development. Encouraged by that, the EU embarked on the process of deeper economic integration. Its main aspects – economic liberalization and monetary integration – coincided with the worldwide globalization of trade and capital flows. As a laggard country in the process of economic integration, Croatia is in a particularly difficult position – besides soaring trade deficit, it is highly indebted and strongly dependant upon foreign capital. Appreciating theoretical inferences and empirical evidence on monetary integration, while taking reference to the realized level of international financial integration and external vulnerability, the aim of the paper is to find out if Croatia fulfils the criteria for successful monetary integration.

Dražen Derado

2009-01-01

163

Hierarchical structure of stock price fluctuations in financial markets  

Science.gov (United States)

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.

Gao, Ya-Chun; Cai, Shi-Min; Wang, Bing-Hong

2012-12-01

164

Financial Derivatives Market for Grid Computing  

CERN Document Server

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...

Aubert, David; Lindset, Snorre; Huuse, Henning

2007-01-01

165

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

Directory of Open Access Journals (Sweden)

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."

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

2004-01-01

166

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

Science.gov (United States)

...Participants in Certain Consumer Financial Product and Service Markets AGENCY...markets for other consumer financial products or services. The Bureau must...additional markets for consumer financial products and services. The Bureau...

2012-02-17

167

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

Science.gov (United States)

...4030-AA01 Authority To Designate Financial Market Utilities as Systemically Important...the authority to designate a financial market utility (``FMU'') that...Council, shall designate those financial market utilities or payment,...

2011-07-27

168

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

Science.gov (United States)

...4030-AA01 Authority To Designate Financial Market Utilities as Systemically Important...the authority to designate a financial market utility (an ``FMU'') the...should use to determine whether financial market utilities are systemically...

2011-03-28

169

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

Science.gov (United States)

...XIII Authority To Designate Financial Market Utilities as Systemically Important...as systemically important a financial market utility if the Council determines...disruption to the functioning, of a financial market utility could create or...

2010-12-21

170

The Internet and the Future of Financial Markets  

UK PubMed Central (United Kingdom)

This article focuses on two processes of theexchange markets that will further enhance competitionand efficiency in the marketplace: order routingand order execution. First, we describe a direct tradingmodel, which allows individual investors to tradedirectly at different markets. The new technologyushers in disintermediation of the brokerage firms'order routing task as investors will be able to maketheir own decisions on which market to trade. Further,we describe a novel Financial Bundle TradingSystem (FBTS) that can match and clear bundleorders. In financial markets, a bundle can contain acombination of stocks or other financial instrumentssuch as commodity or interest futures, options,bonds, and foreign currencies. In our opinion, marketprocess reform in current financial marketsinvolves interrelated processes that span the boundariesof individual firms. Realigning the relationshipbetween investors, brokers, and market centers willpromote competition in exchange markets andencourage technology-driven innovations in tradingservices such as the FBTS.

Stock Market

171

Canonical Momenta Indicators of Financial Markets and Neocortical EEG  

UK PubMed Central (United Kingdom)

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

Lester Ingber

172

Financial markets regulation in the energy sector. A few financial aspects of energy transactions  

International Nuclear Information System (INIS)

In addition to energy legislation, financial markets legislation and regulation (FMR) are becoming increasingly important for the energy sector. Consequently, parties on the energy market not only have to deal with the energy and competition authorities (the Dte and NMa respectively), but may also face supervision by The Netherlands Authority for the Financial Markets (AFM). Energy transactions may trigger certain prohibitions and obligations under financial and securities law, the most relevant of which are discussed in this article. Both the recent changes as a result of the Financial Markets Supervision Act ('Wet op het financieel toezicht', Wft) entering into force as per 1 January 2007 and the anticipated future amendments following the implementation of the Markets in Financial Instruments Directive (MiFID) are examined.

2007-01-01

173

BANKS AND FINANCIAL INTERMEDIATIONS’ GLOBAL ROLE OF IN MARKETS’ GENERAL EQUILIBRIUM  

Directory of Open Access Journals (Sweden)

Full Text Available Due to globalization factors, financial intermediations still create many problems to national economies as far as the markets’ general equilibrium is concerned. Although the world is divided into more than 200 nations with unequal power, there is less than half a dozen key currencies to go round to facilitate the international financial transactions. Considering that the combinations between the flexible exchange rates and the free circulation of capital and information have made the financial system be strongly interconnected internationally, however, some national economies preserve financial circuits that are not indirectly integrated in the world system.These aspects have led to the analysis of the relations between the financial intermediaries on domestic and foreign markets, the banks and financial intermediations’ global role in national economies and internationally.

Madalina-Antoaneta RADOI

2010-01-01

174

Banks, Financial Liberalisation And Financial Crises In Emerging Markets  

UK PubMed Central (United Kingdom)

BANKS, FINANCIAL LIBERALISATION ANDFINANCIAL CRISES IN EMERGING MARKETSGraham Bird and Ramkishen S. RajanThe East Asian financial crisis has raised a series of important issues.Amongst them is the question of the role of the banking sector and financialliberalisation in contributing to financial crises. How do weaknesses in thedomestic banking sector, when combined with both domestic andinternational financial liberalisation, engender currency crises? What islacking in the literature is a simple theoretical framework within which theseconnections can be conceptualised and drawn out and in which the role ofbanks is explicitly discussed. This paper seeks to provide just such aframework. Within it, international financial liberalisation can be seen asfuelling a boom in domestic credit, which leads to acute balance sheetproblems for domestic banks, and exposes the country concerned to acurrency crisis in the event of a sudden reversal of capital inflows, which...

Graham Bird; Ramkishen S. Rajan

175

The Adoption of Digital Marketing in Financial Services under Crisis  

Directory of Open Access Journals (Sweden)

Full Text Available 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.

Daj A.; Chirca A.

2009-01-01

176

Sovereign wealth funds in the globalization of financial markets  

Directory of Open Access Journals (Sweden)

Full Text Available This paper analyses the investment funds with special emphasis on Sovereign Wealth Funds (SWFs), as new participants in the financial market. Considering that financial markets are one of the main carriers of globalization, our goal is to investigate development and the role of these investment funds with reference to contemporary theory and progressive practice of the market of developed countries. Although SWFs emerged in practice more than fifty years ago, they are not sufficiently explored in the theory.

Djordje Cuzovic

2012-01-01

177

Integration of European Bond Markets  

DEFF Research Database (Denmark)

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. The integration is weaker for the sovereign debt crisis countries than for other countries. The integration of the EU bond markets is decreasing over time and this appears not to be caused by the recent …nancial and sovereign debt crisis.

Christiansen, Charlotte

2012-01-01

178

Taxing the Financially Integrated Multinational Firm  

DEFF Research Database (Denmark)

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.

Johannesen, Niels

2010-01-01

179

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

Directory of Open Access Journals (Sweden)

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) ????? ? ?????? ???????? ???????????, ? ?? ?????????.

Vlasenko Marina A.

2013-01-01

180

Eroding market stability by proliferation of financial instruments  

Science.gov (United States)

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

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

2009-10-01

 
 
 
 
181

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

Directory of Open Access Journals (Sweden)

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.

JAHMANE Abderrahman; Van Hoorebeke Delphine; Fustier Bernard

2011-01-01

182

Electricity trade under financial market supervision; Der Stromhandel unter Finanzmarktaufsicht  

Energy Technology Data Exchange (ETDEWEB)

With the competitive opening of the electricity market at European and national level, the goods electricity became a freely traded commodity. The author of the contribution under consideration describes the legal consequences related to financial market for trading electricity in the context of the current Directive 2004/39/EC now under consideration of the commodity futures trading in its representational scope. The statements clearly indicate that the power market is a goods market with its own laws and not a classical financial market. It considers what characteristics exist in electricity trading and whether and how they are considered for regulatory purposes.

Hagena, Martin

2011-07-01

183

Emergence of financial markets for electricity: a European perspective  

Energy Technology Data Exchange (ETDEWEB)

Energy market deregulation, particularly in the United Kingdom and Norway, and the emergence of financial markets for electricity is discussed. Coupled with a sensible environmental policy, it is believed that deregulated markets can minimise the costs of environmental protection. 15 refs., 5 figs.

Mork, E. [ABB Financial Services, Oslo (Norway)

2001-01-01

184

Volatility, persistence, and survival in financial markets.  

UK PubMed Central (United Kingdom)

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 qth-order correlation functions fq(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 deltat of the order of days). We find that the fluctuating stock price is multifractal and the choice of deltat has no effect on the qualitative multifractal behavior displayed by the 1/q dependence of the generalized Hurst exponent Hq associated with the power-law evolution of the correlation function fq(t) approximately tHq. The probability S(t) of the stock price remaining above the average up to time t is very sensitive to the total measurement time tm and the sampling time. The probability P(t) of the stock not returning to the initial value within an interval t has a universal power-law behavior P(t) approximately t(-theta), with a persistence exponent theta close to 0.5 that agrees with the prediction theta=1-H2. The empirical financial stocks also present an interesting feature found in turbulent fluids, the extended self-similarity.

Constantin M; Sarma SD

2005-11-01

185

Volatility, persistence, and survival in financial markets.  

Science.gov (United States)

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 qth-order correlation functions fq(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 deltat of the order of days). We find that the fluctuating stock price is multifractal and the choice of deltat has no effect on the qualitative multifractal behavior displayed by the 1/q dependence of the generalized Hurst exponent Hq associated with the power-law evolution of the correlation function fq(t) approximately tHq. The probability S(t) of the stock price remaining above the average up to time t is very sensitive to the total measurement time tm and the sampling time. The probability P(t) of the stock not returning to the initial value within an interval t has a universal power-law behavior P(t) approximately t(-theta), with a persistence exponent theta close to 0.5 that agrees with the prediction theta=1-H2. The empirical financial stocks also present an interesting feature found in turbulent fluids, the extended self-similarity. PMID:16383592

Constantin, M; Sarma, S Das

2005-11-14

186

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

Directory of Open Access Journals (Sweden)

Full Text Available 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 exchange being the one mostly affected. It was, also, found increased variability of performances following the start of the financial crisis, a fact that is indicative of the presence of conditional heteroscedasticity. As far as the Greek market is concerned, the recent financial crisis has not affected in general the credit expansion towards enterprises and households; however, it has affected the credit expansion to enterprises and households on a case-to-case basis.

Apostolos G. Christopoulos; John Mylonakis; Christos Koromilas

2011-01-01

187

PUBLIC TREASURY IN THE CONTEXT OF GLOBALIZED FINANCIAL MARKETS  

Directory of Open Access Journals (Sweden)

Full Text Available In the development and functioning process of the economy, the financing of current andinvestment activities is a key factor, the mobilization of necessary funds being possible bythe existence of financial markets. In the financial markets, public treasury plays a key role.The economic crisis has left economies without cash and the banking system was unable tosecure, through the mechanism of credit, the necessary resources for the normal functioningof economy. In these circumstances the Public Treasury must take seriously intoconsideration, as an option for the future, the development of banking operations and toattract available state funds on the financial markets.

Drago? Ilie

2011-01-01

188

Financial literacy and stock market participation  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 ...

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

189

Variety and volatility in financial markets  

UK PubMed Central (United Kingdom)

We study the price dynamics of stocks traded in a financial market by considering the statistical properties of both a single time series and an ensemble of stocks traded simultaneously. We use the n stocks traded on 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 following these extreme events. We analyze each ensemble return distribution by extracting its first two central moments. We observe that these moments fluctuate 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 properties. We infer from these differences information about the relative strength of correlation between stocks and between different trading days. Last, we compare our empirical results with those predicted by the single-index model and we conclude that this simple model cannot explain the statistical properties of the second moment of the ensemble return distribution.

Lillo F; Mantegna RN

2000-11-01

190

Variety and volatility in financial markets  

Science.gov (United States)

We study the price dynamics of stocks traded in a financial market by considering the statistical properties of both a single time series and an ensemble of stocks traded simultaneously. We use the n stocks traded on 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 following these extreme events. We analyze each ensemble return distribution by extracting its first two central moments. We observe that these moments fluctuate 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 properties. We infer from these differences information about the relative strength of correlation between stocks and between different trading days. Last, we compare our empirical results with those predicted by the single-index model and we conclude that this simple model cannot explain the statistical properties of the second moment of the ensemble return distribution. PMID:11101943

Lillo; Mantegna

2000-11-01

191

Understanding the source of multifractality in financial markets  

Science.gov (United States)

In this paper, we use the generalized Hurst exponent approach to study the multi-scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multi-scaling. We observe a puzzling phenomenon where an apparent increase in multifractality is measured in time series generated from shuffled returns, where all time-correlations are destroyed, while the return distributions are conserved. This effect is robust and it is reproduced in several real financial data including stock market indices, exchange rates and interest rates. In order to understand the origin of this effect we investigate different simulated time series by means of the Markov switching multifractal model, autoregressive fractionally integrated moving average processes with stable innovations, fractional Brownian motion and Levy flights. Overall we conclude that the multifractality observed in financial time series is mainly a consequence of the characteristic fat-tailed distribution of the returns and time-correlations have the effect to decrease the measured multifractality.

Barunik, Jozef; Aste, Tomaso; Di Matteo, T.; Liu, Ruipeng

2012-09-01

192

The first sized player market on the Romanian financial advisory market  

Directory of Open Access Journals (Sweden)

Full Text Available Organizations confronted with complex financial difficulties, those about to engage in merges or acquisitions and those expanding to other markets often require special expertise to better uncover evidentiary matters, find assets, develop claims, value and restructure their business. Nevertheless, financial advisors identify and analyze relevant business records, reconstruct books and records and interview parties to determine if fraud has occurred and to quantify its financial impact. On the Romanian financial advisory market a few big financial actors operate, who share the market.

Nicolae, C. M.; Funaru, M.

2011-01-01

193

Regulations and Risk Management in the Greek Financial Markets  

UK PubMed Central (United Kingdom)

Regulations and risk management had become vital to the success and survival of the Greek Financial Markets who undergo a rather fast growth recently. In this paper we describe the supervisory authorities and the laws regulating operations of the Greek Financial Markets. The Basle Committee recommendations and the European Commission's Capital Adequacy Directive are applied to any model developed internally by institutions for statistical measurement of potential market losses. The Value-at-Risk (VaR) models are commonly applied to estimate exposure to market risks. The traditional VaR methodologies - the variance-covariance method, historical simulation, Monte Carlo simulation, and stress-testing - do not provide satisfactory assessment of potential losses. We show superiority of the VaR modeling with stable distributions in evaluation of sensitivity to market risks in Greek financial markets.

Svetlozar T. Rachev; Irina N. Khindanova

194

Securities Transaction Taxes And Financial Markets  

UK PubMed Central (United Kingdom)

This paper argues that that transaction taxes can have negative effects on price discovery,volatility, and market liquidity in securities markets. These effects can lead to a reductionin market efficiency and may contribute to increased asset price volatility

Karl Habermeier; Andrei A. Kirilenko

195

Keynes' theory of conventional decision-making in financial markets  

Directory of Open Access Journals (Sweden)

Full Text Available The question addressed in this paper is whether financial markets actually function in the manner described by the today still dominant modern theory of efficient financial markets. We argue that the theory's conclusions are based on unreal assumptions that the future is predictable and ergodic. Since assumptions of a model determine its conclusions, unreal assumptions imply incorrect and inapplicable theoretical models. In contrast to neoclassical theory, Keynes insisted that future was fundamentally uncertain and nonergodic. Under such circumstances, when it is not possible to calculate the future, the only rational thing for agents in financial markets to do is to base their decisions on socially acceptable conventions. Consequently, since convention-based expectations are unstable and since expectations create future it is possible to prove that financial markets are inherently unstable.

Radonji? Ognjen

2009-01-01

196

Financial Markets Interactions between Economic Theory and Practice  

Directory of Open Access Journals (Sweden)

Full Text Available During the last decades many financial analysts, either theorists or practitioners, have dedicated their studies to the interactions between different financial sectors. The results of these researches confirm that commodities, bonds and stock markets are closely related, therefore a thorough analysis of one should includes considerations of the other two. The aim of this article is to demonstrate that, even if from the theoretical point of view financial markets present typical and strong correlations between them, under economic turmoil the correlations change their signs. Both elementary rules of economic theory and examples with real time series are used in the demonstration. The results of our research emphasize that a simple theoretical analysis of financial markets’ behaviour through inflation and interest rates cannot define the real interactions of the markets and more robust research approaches are required.

Mihaela NICOLAU

2010-01-01

197

Chaos and Nonlinear Dynamics: Application to Financial Markets  

UK PubMed Central (United Kingdom)

After the stock market crash of October 19, 1987, interest in nonlinear dynamics, especially deterministic chaotic dynamics, has increased in both the financial press and the academic literature. This has come about because the frequency of large moves in stock markets is greater than would be expected under a normal distribution. There are a number of possible explanations. A popular one is that the stock market is governed by chaotic dynamics. What exactly is chaos and how is it related to nonlinear dynamics? How does one detect chaos? Is there chaos in financial markets? Are there other explanations of the movements of financial prices other than chaos? The purpose of this paper is to explore these issues. -1Chaos has captured the fancy of many macroeconomists and financial economists. The attractiveness of chaotic dynamics is its ability to generate large movements which appear to be random, with greater frequency than linear models. As a result, there has been an explosion of pa...

David A. Hsieh

198

Derivatives, Hedge Accounting Disclosure And Impact On Indian Financial Market  

Directory of Open Access Journals (Sweden)

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

Prabhakara T

2013-01-01

199

Assymetric information in the financial market: Sequential move games  

Directory of Open Access Journals (Sweden)

Full Text Available This paper analyses equilibrium in financial market when investors are aymmetrically informed, by using the methodology of game theory. We will show that bid-ask spread is increasing in probability of insider trading. Dynamic trading models suggest that insider’s informational advantage over market-maker is diminishing in time. By using sequential trading models we can explain various types of market manipulations and stock market crashes.

Trifunovi? Dejan

2006-01-01

200

How to recover from the financial market flu.  

UK PubMed Central (United Kingdom)

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.

Doody D

2008-05-01

 
 
 
 
201

How to recover from the financial market flu.  

Science.gov (United States)

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

Doody, Dennis

2008-05-01

202

The realism of assumptions does matter: Why Keynes-Minsky theory must replace efficient market theory as the guide to financial regulation policy  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The radical deregulation of financial markets after the 1970s was a precondition for the explosion in size, complexity, volatility and degree of global integration of financial markets in the past three decades. It therefore contributed to the severity and breadth of the recent global financial cris...

Crotty, James

203

Diffusion entropy analysis on the scaling behavior of financial markets  

CERN Multimedia

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.

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

2006-01-01

204

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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...

Schäfer, Dorothea

205

Financial Literacy: Getting beyond the Markets  

Science.gov (United States)

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…

Stanford, Jim

2010-01-01

206

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

Science.gov (United States)

...Participants in Certain Consumer Financial Products and Services Markets AGENCY...other markets for consumer financial products or services, the supervision...entities that provide consumer financial products or services...

2011-06-29

207

Financial Markets Barriers’ in Agricultural Sector: Empirical Evidence of Iran  

Directory of Open Access Journals (Sweden)

Full Text Available This paper aims to examine the relationship between financial market development and agricultural sector in Iran. The study attempts to answer these questions empirically and try to shed some light on the roles of financial development as well as other conditional variables in agricultural sector. The results of this study shows that the financial market in agricultural sector, however there is some weakness still. The authors come to conclusion that for improving this vital sector in Iran the weakness should be removed or at least reduced as early as possible.

Seyed Jalal Sadeghi Sharif; Mahdi Salehi; Mehrdad Alipour

2009-01-01

208

Analysis of Financial Markets' Fluctuation by Textual Information  

Science.gov (United States)

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.

Izumi, Kiyoshi; Goto, Takashi; Matsui, Tohgoroh

209

Higher-order phase transitions on financial markets  

Science.gov (United States)

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 ?(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 ? defining the stretched exponential integral kernel. On this basis a simple practical hint for investors was formulated.

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

2010-08-01

210

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

Directory of Open Access Journals (Sweden)

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.

Zdenko Prohaska; Bojana Olgi? Draženovi?

2005-01-01

211

Algorithmic complexity theory and the relative efficiency of financial markets  

Science.gov (United States)

Financial economists usually assess market efficiency in absolute terms. This is to be viewed as a shortcoming. One way of dealing with the relative efficiency of markets is to resort to the efficiency interpretation provided by algorithmic complexity theory. We employ such an approach in order to rank 36 stock exchanges and 20 US dollar exchange rates in terms of their relative efficiency.

Giglio, R.; Matsushita, R.; Figueiredo, A.; Gleria, I.; Da Silva, S.

2008-11-01

212

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

Directory of Open Access Journals (Sweden)

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.

Radu CIOBANU; Sebastian M?d?lin MUNTEANU; Irina-Eugenia IAMANDI

2011-01-01

213

A statistical physics perspective on criticality in financial markets  

CERN Document Server

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.

Bury, Thomas

2013-01-01

214

Risk and Market Segmentation in Financial Intermediaries' Returns  

UK PubMed Central (United Kingdom)

: This study examines both the quantity and price of risk exposure for differentsegments of financial intermediaries in order to determine whether market segmentationexists in the financial services industry in the United States. We distinguish betweendepository institutions, securities firms, insurance companies, mutual funds, and otherfinancial firms using each company s SIC code. We find evidence of market segmentationin both market risk levels and market risk premiums.The results provide little evidence of interest rate risk exposure across all types offinancial intermediaries, suggesting the prevalence of hedging programs using interest ratederivatives. However, the market prices interest rate risk exposure differentially by type offinancial intermediary. We find that as a market segment, insurance companies wereexposed to more interest rate risk particularly in the period late 1980 s to early 1990 s. Theinterest rate risk premium for banks was among the high...

Julapa Jagtiani; Anthony M. Santomero

215

Illiquidity of frontier financial market: Case of Serbia  

Directory of Open Access Journals (Sweden)

Full Text Available The paper explores illiquidity of the Serbian financial market for the period of 2005-2009. The financial market in Serbia is, by its type, a frontier market. We used daily data from the BELEXline index, as well as all stocks within this index in examined timeframe, provided by the Belgrade Stock Exchange. Results of this paper suggest that level of market liquidity is low and persistent in Serbia. Additionally, results confirm that time-varying illiquidity and its volatility is highly unstable in this market. This is the first paper that analyses liquidity issues in case of Serbia. It identifies different periods and shows that, in most cases, ups and downs in foreign investors' participation leads to dramatic falls and rises in market illiquidity and its volatility.

Živkovi? Boško; Minovi? Jelena

2010-01-01

216

Strategic Opportunities Afforded by Integrated Marketing  

Directory of Open Access Journals (Sweden)

Full Text Available 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.

CONSTANTIN SASU

2006-01-01

217

Integrating financial theory and methods in electricity resource planning  

Energy Technology Data Exchange (ETDEWEB)

Decision makers throughout the world are introducing risk and market forces in the electric power industry to lower costs and improve services. Incentive based regulation (IBR), which replaces cost of service ratemaking with an approach that divorces costs from revenues, exposes the utility to the risk of profits or losses depending on their performance. Regulators also are allowing for competition within the industry, most notably in the wholesale market and possibly in the retail market. Two financial approaches that incorporate risk in resource planning are evaluated: risk adjusted discount rates (RADR) and options theory (OT). These two complementary approaches are an improvement over the standard present value revenue requirement (PVRR). However, each method has some important limitations. By correctly using RADR and OT and understanding their limitations, decision makers can improve their ability to value risk properly in power plant projects and integrated resource plans. (Author)

Felder, F.A. [Economics Resource Group, Cambridge, MA (United States)

1996-02-01

218

Quantifying Trading Behavior in Financial Markets Using Google Trends  

Science.gov (United States)

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.

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

2013-04-01

219

Quantifying trading behavior in financial markets using Google Trends.  

UK PubMed Central (United Kingdom)

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.

Preis T; Moat HS; Stanley HE

2013-01-01

220

Quantifying trading behavior in financial markets using Google Trends.  

Science.gov (United States)

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. PMID:23619126

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

2013-01-01

 
 
 
 
221

Testing the Informational Efficiency on the Romanian Financial Market  

Directory of Open Access Journals (Sweden)

Full Text Available The classical models of portfolio selection could not be applied on a market were the efficient market hypothesis is not valid (at least in a “weak” sense). The aim of this paper is to enlighten the difficulties of portfolio construction in a financial market with institutional and structural deficiencies, like the Romanian one, and to propose an alternative approach to the problem. The main features of our analysis are: 1) an empirical test for the efficient market hypothesis in the Romanian financial market case; 2) a critical distinction between the concept of “risk” and the concept of “incertitude”; 3) the use of the individual yield/risk ratio versus the market one as a selection variable; 4) the renouncement at the use in the selection procedure of an “non-risky” asset; 5) an example of the proposed selection procedure. The output of this approach could be resumed by the thesis that, even in a situation when the financial market is affected by severe disfunctions, there is a possibility to build an “optimal” portfolio based on a yield-risk arbitrage inside an efficiency frontier and to obtain a “good” schema of an financial placement, in spite of the limited possibilities for a efficient portfolio management.

Bogdan Dima; Marilen Pirtea; Aurora Murgea

2006-01-01

222

Phantastic objects and the financial market's sense of reality: a psychoanalytic contribution to the understanding of stock market instability.  

UK PubMed Central (United Kingdom)

This paper sets out to explore if standard psychoanalytic thinking based on clinical experience can illuminate instability in financial markets and its widespread human consequences. Buying, holding or selling financial assets in conditions of inherent uncertainty and ambiguity, it is argued, necessarily implies an ambivalent emotional and phantasy relationship to them. Based on the evidence of historical accounts, supplemented by some interviewing, the authors suggest a psychoanalytic approach focusing on unconscious phantasy relationships, states of mind, and unconscious group functioning can explain some outstanding questions about financial bubbles which cannot be explained with mainstream economic theories. The authors also suggest some institutional features of financial markets which may ordinarily increase or decrease the likelihood that financial decisions result from splitting off those thoughts which give rise to painful emotions. Splitting would increase the future risk of financial instability and in this respect the theory with which economic agents in such markets approach their work is important. An interdisciplinary theory recognizing and making possible the integration of emotional experience may be more useful to economic agents than the present mainstream theories which contrast rational and irrational decision-making and model them as making consistent decisions on the basis of reasoning alone.

Tuckett D; Taffler R

2008-04-01

223

Phantastic objects and the financial market's sense of reality: a psychoanalytic contribution to the understanding of stock market instability.  

Science.gov (United States)

This paper sets out to explore if standard psychoanalytic thinking based on clinical experience can illuminate instability in financial markets and its widespread human consequences. Buying, holding or selling financial assets in conditions of inherent uncertainty and ambiguity, it is argued, necessarily implies an ambivalent emotional and phantasy relationship to them. Based on the evidence of historical accounts, supplemented by some interviewing, the authors suggest a psychoanalytic approach focusing on unconscious phantasy relationships, states of mind, and unconscious group functioning can explain some outstanding questions about financial bubbles which cannot be explained with mainstream economic theories. The authors also suggest some institutional features of financial markets which may ordinarily increase or decrease the likelihood that financial decisions result from splitting off those thoughts which give rise to painful emotions. Splitting would increase the future risk of financial instability and in this respect the theory with which economic agents in such markets approach their work is important. An interdisciplinary theory recognizing and making possible the integration of emotional experience may be more useful to economic agents than the present mainstream theories which contrast rational and irrational decision-making and model them as making consistent decisions on the basis of reasoning alone. PMID:18405290

Tuckett, David; Taffler, Richard

2008-04-01

224

Models of financial markets with extensive participation incentives  

Science.gov (United States)

We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealth. 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’ wealth 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. New players survive in the market if the evolutionary rate is sufficiently slow. 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.

Yeung, C. H.; Wong, K. Y. Michael; Zhang, Y.-C.

2008-02-01

225

Models of financial markets with extensive participation incentives.  

UK PubMed Central (United Kingdom)

We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealth. 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' wealth 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. New players survive in the market if the evolutionary rate is sufficiently slow. 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.

Yeung CH; Wong KY; Zhang YC

2008-02-01

226

Models of financial markets with extensive participation incentives.  

Science.gov (United States)

We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealth. 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' wealth 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. New players survive in the market if the evolutionary rate is sufficiently slow. 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. PMID:18352090

Yeung, C H; Wong, K Y Michael; Zhang, Y-C

2008-02-14

227

Integrating Europe's Securities Markets: The Way Forward  

Directory of Open Access Journals (Sweden)

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.

Daniel Mark Azzopardi

2011-01-01

228

Classical and quantum randomness and the financial market  

CERN Multimedia

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...

Khrennikov, Andrei

2007-01-01

229

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.

2010-11-01

230

Aftershock Prediction for High-Frequency Financial Markets' Dynamics  

Science.gov (United States)

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 predictive power in this phenomenological approach and present a stochastic model, based on the scaling symmetry of financial assets, which is potentially capable to predict aftershocks occurrence, given the main shock magnitude. Comparisons with S&P high-frequency data confirm this predictive potential.

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

231

The internalist perspective on inevitable arbitrage in financial markets  

Science.gov (United States)

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.

Matsuno, Koichiro

2003-06-01

232

International Banking And Financial Market Developments  

UK PubMed Central (United Kingdom)

this article takes up the questionof the critical size for a liquid market. It then discusses one way of creating size: through lumpingtogether different types of debt. Next it characterises the trade-off between size and crowding-out.Finally, it raises some issues concerning the transition in growing and shrinking markets.

233

Effect of the Internet on Financial Markets  

UK PubMed Central (United Kingdom)

this paper is to speculate a bit about what will happen to financialmarkets as they evolve into cybermarkets. I will draw on the economicsliterature in making these prognostications, since there is a surprisinglyold literature on Internet-based markets. The Internet, after all,was once available only to universities, and some economists were quickto realize its potential for studying market behavior.

Hal R. Varian

234

Efficiency of financial markets and algorithmic complexity  

Science.gov (United States)

In this work we are interested in the concept of market efficiency and its relationship with the algorithmic complexity theory. We employ a methodology based on the Lempel-Ziv index to analyze the relative efficiency of high-frequency data coming from the Brazilian stock market.

Giglio, R.; da Silva, S.; Gleria, Iram; Ranciaro, A.; Matsushita, R.; Figueiredo, A.

2010-09-01

235

A Threshold Model of Financial Markets  

Science.gov (United States)

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.

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

2008-09-01

236

The CAPM In Thin Experimental Financial Markets  

UK PubMed Central (United Kingdom)

We report on small-scale experiments of simple, repeated asset markets in two risky securities and one riskfree security. As in large-scale experiments, steady convergence towards the CAPM is discovered, but the process is slower and convergence halts before reaching the actual equilibrium. There is evidence that subjects gradually move up in mean-variance space, in accordance with the CAPM. Yet, adjustment stops, presumably because of subjects' hesitance in the face of market thinness. This hesitance can be optimal because of the multidimensional nature of the desired trades. Because of market thinness, subjects have difficulty implementing bundles of trades in a set of parallel markets based on the MUDA trading mechanism, essentially an electronic version of the Chicago futures markets.

Peter Bossaerts; Charles Plott

237

Introduction to convex optimization in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 realist...

Pennanen, Teemu

238

Building Stability in Latin American Financial Markets  

UK PubMed Central (United Kingdom)

this document are those of the authors and should not be attributed to the InterAmericanDevelopment Bank, or to any individual acting on its behalf.Building Stability in Latin American Financial Marketsby Liliana Rojas-Suarez and Steven R. WeisbrodI. Introduction

Liliana Rojas-surez; Steven Wiesbrod

239

Analysis of Spin Financial Market by GARCH Model  

Science.gov (United States)

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.

Takaishi, Tetsuya

2013-08-01

240

Uncertainty, Duopoly, and Finance I. The Financial Market Model  

UK PubMed Central (United Kingdom)

13.03> s=hs+2hq 1 sq 1 > 0These, of course, are simply the conditions that revenue and marginal revenue are increasing instate.Each corporation also operates in the financial market. It is supposed here that allinvestors are risk averse and transfer money from now to then or then to now by selectingportfolios in the financial market. It is assumed here that the financial market is complete. Insuch a setting it is possible to define stock that pay off one dollar then in one state s and zero1Uncertainty, Duopoly, and Financeotherwise (Arrow 1963). Call these contracts the basis stock. Then it is apparent that all contractscan be expressed as a portfolio of basis stock. Letting p(s) denote the price of a basis stock now, itfollows that the value of the common stock of a levered firm with a promised payment of b f

Richard D. Macminn

 
 
 
 
241

Linking Financial Market Dynamics and the Impact of News  

Science.gov (United States)

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.

Nacher, J. C.; Ochiai, T.

2011-09-01

242

FBIH financial market segmentation on the basis of image factors  

Directory of Open Access Journals (Sweden)

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.

Arnela Bevanda

2008-01-01

243

The role of financial instruments in a competitive electricity market  

Energy Technology Data Exchange (ETDEWEB)

It is generally accepted that competitive electricity markets require an active spot market that will reflect changing supply and demand conditions. However, while spot markets are useful in achieving short term efficiency they must be accompanied by forward and derivative markets that will facilitate efficiency-motivated transactions, risk management, speculation, and capital formation for investment. The formation of liquid financial markets for electric power will have a profound impact on the planning and operations of the electricity system. On the operation side, employing financial instruments to emulate efficiency-motivated contracts will have important operational implications with respect to scheduled transactions. The boundary between physical deliveries and financial settlements will be blurred in such an environment. Thus, an operator who traditionally controlled generation facilities, spinning reserves, demand side resources and dispatchable IPP`s will have to coordinate such physical resources in concert with the trading and financial settlements of `paper resources` such as forward contracts, put and call options and other types of exotic derivatives that could replace physical deliveries or mitigate the risk associated with fluctuating demand and supply. This paper focuses on the implementation of efficiency-motivated transactions taking place today between utilities and customers and between utilities and IPP`s through special supply contracts by means of standard financial instruments. The author will illustrate three examples of such transactions and the corresponding financial instruments: interruptible/curtailable service, dispatchable IPP contracts and priority service with early notification. The author demonstrates the functionality of financial instruments in achieving production efficiency through customer and producer choice and discusses the pricing of such instruments.

Oren, S.S. [Univ. of California, Berkeley, CA (United States)

1996-03-01

244

Subprime crisis and instability of global financial markets  

Directory of Open Access Journals (Sweden)

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.

Radonji? Ognjen; Zec Miodrag

2010-01-01

245

Using the Scaling Analysis to Characterize Financial Markets  

CERN Multimedia

We empirically analyze the scaling properties of daily Foreign Exchange rates, Stock Market indices and Bond futures across different financial markets. We study the scaling behaviour of the time series by using a generalized Hurst exponent approach. We verify the robustness of this approach and we compare the results with the scaling properties in the frequency-domain. We find evidence of deviations from the pure Brownian motion behavior. We show that these deviations are associated with characteristics of the specific markets and they can be, therefore, used to distinguish the different degrees of development of the markets.

Matteo, T D; Dacorogna, M M

2003-01-01

246

Federal coal leases: marketing, management and financial profiles  

Energy Technology Data Exchange (ETDEWEB)

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)

1981-01-01

247

DETERMINANTS OF BANKS’ COMPETITIVENESS IN LOCAL FINANCIAL MARKETS  

Directory of Open Access Journals (Sweden)

Full Text Available The article presents the analysis of determinants of banks’ competitiveness in local financial markets, with respect to local (cooperative) banks and branches of large commercial banks. The paper also evaluates the competitive position of the banks using the synthetic measure of competitive advantage MPK. The article proves that tere are considerable differences between the analyzed groups of banks, in terms of their competitiveness and its determining factors (which are banks’ assets). The paper also indicates the areas in which particular banks shouldmake changes in their resources and operational strategies in order to improve their competitiveness in local financial markets.

Ryszard Kata

2012-01-01

248

Three-state herding model of the financial markets  

Science.gov (United States)

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.

Kononovicius, A.; Gontis, V.

2013-01-01

249

Three state herding model of the financial markets  

CERN Document Server

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.

Kononovicius, Aleksejus

2012-01-01

250

Agent-specific impact of single trades in financial markets.  

Science.gov (United States)

We present an analysis of the price impact associated with single trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the time-dependent market response to trades by individual members. This heterogeneity is statistically incompatible with the existence of market-wide universal impact dynamics that apply uniformly to all trades and suggest that, rather, market dynamics emerge from the complex interaction of different behaviors of market participants. Several possible reasons for this are discussed, along with potential extensions one may consider to increase the range of applicability of existing models of market impact. PMID:22587145

Bladon, Alex J; Moro, Esteban; Galla, Tobias

2012-03-12

251

Herd behavior and aggregate fluctuations in financial markets  

CERN Multimedia

We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to distributions observed in recent empirical studies of high frequency market data. Our model provides a link between two well-known market phenomena: the heavy tails observed in the distribution of stock market returns on one hand and 'herding' behavior in financial markets on the other hand. In particular, our study suggests a relation between the excess kurtosis observed in asset returns, the market order flow and the tendency of market participants to imitate each other.

Cont, R; Cont, Rama; Bouchaud, Jean-Philippe

1997-01-01

252

Individual impact of agent actions in financial markets  

CERN Document Server

We present an analysis of the price impact associated with trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the time-dependent market response to trades by individual members. This heterogeneity is statistically incompatible with the existence of market-wide universal impact dynamics which apply uniformly to all trades and suggests that rather, market dynamics emerge from the complex interaction of different behaviors of market participants. Several possible reasons for this are discussed, along with potential extensions one may consider to increase the range of applicability of existing models of market impact.

Bladon, Alex J; Galla, Tobias

2011-01-01

253

Agent-specific impact of single trades in financial markets.  

UK PubMed Central (United Kingdom)

We present an analysis of the price impact associated with single trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the time-dependent market response to trades by individual members. This heterogeneity is statistically incompatible with the existence of market-wide universal impact dynamics that apply uniformly to all trades and suggest that, rather, market dynamics emerge from the complex interaction of different behaviors of market participants. Several possible reasons for this are discussed, along with potential extensions one may consider to increase the range of applicability of existing models of market impact.

Bladon AJ; Moro E; Galla T

2012-03-01

254

Agent-specific impact of single trades in financial markets  

Science.gov (United States)

We present an analysis of the price impact associated with single trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the time-dependent market response to trades by individual members. This heterogeneity is statistically incompatible with the existence of market-wide universal impact dynamics that apply uniformly to all trades and suggest that, rather, market dynamics emerge from the complex interaction of different behaviors of market participants. Several possible reasons for this are discussed, along with potential extensions one may consider to increase the range of applicability of existing models of market impact.

Bladon, Alex J.; Moro, Esteban; Galla, Tobias

2012-03-01

255

Hitting Time Distributions in Financial Markets  

CERN Document Server

We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the 12-year period 1987-1998, the second one is composed by high frequency data for 100 stocks for the 4-year period 1995-1998. We compare the probability distribution obtained by our empirical analysis with those obtained from different models for stock market evolution. Specifically by focusing on the statistical properties of the hitting times to reach a barrier or a given threshold, we compare the probability density function (PDF) of three models, namely the geometric Brownian motion, the GARCH model and the Heston model with that obtained from real market data. We will present also some results of a generalized Heston model.

Valenti, D; Spagnolo, B; Bonanno, Giovanni; Spagnolo, Bernardo; Valenti, Davide

2006-01-01

256

Optimal Investment in Incomplete Financial Markets  

UK PubMed Central (United Kingdom)

We give a review of classical and recent results on maximization ofexpected utility for an investor who has the possibility of trading in afinancial market. Emphasis will be given to the duality theory relatedto this convex optimization problem.

Walter Schachermayer

257

Hitting time distributions in financial markets  

Science.gov (United States)

We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the 12-year period 1987 1998, the second one is composed by high frequency data for 100 stocks for the 4-year period 1995 1998. We compare the probability distribution obtained by our empirical analysis with those obtained from different models for stock market evolution. Specifically by focusing on the statistical properties of the hitting times to reach a barrier or a given threshold, we compare the probability density function (PDF) of three models, namely the geometric Brownian motion, the GARCH model and the Heston model with that obtained from real market data. We will present also some results of a generalized Heston model.

Valenti, Davide; Spagnolo, Bernardo; Bonanno, Giovanni

2007-08-01

258

Uncovered Interest Parity and Financial Market Volatility  

Directory of Open Access Journals (Sweden)

Full Text Available Our paper addresses the relationship between exchange rates changes and interest rate differentials in the UIP framework, by taking into account capital market and foreign exchange market volatility. We use eight currencies, of which five are Central and Eastern European and three are developed markets currencies, and their relationship to the US dollar. We use OLS regressions to capture the influenceof volatility on UIP testing. We find that UIP is not validated, overall and in times of high volatility, but the direction in the exchange rate change indicated by the interest rate differential follows the UIP framework. The relationship between interest rate differentials and exchange rates changes is weak and takinginto account market volatility does not significantly alter our results.

Alexandra Horobet; Sorin Dumitrescu; Dan Gabriel Dumitrescu

2009-01-01

259

Modelling Information Flows in Financial Markets  

CERN Multimedia

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...

Brody, Dorje C; Macrina, Andrea

2010-01-01

260

Treatment of kurtosis in financial markets  

Science.gov (United States)

Since Mandelbrot (1963) [2] highlighted the fact that data on the yield of financial assets exhibit leptokurtosis, different distributions have been presented as alternatives to the normal distribution. So far little consideration has been given to the capacity that these distributions have to recover the kurtosis of the sample data. Our work aims to present distributions which, given the broad range of their kurtosis, have the capacity to perform adjustment on many occasions where other distributions fail, while also being capable of recovering the peakedness of the empirical data. Another key characteristic of these distributions is that they are defined within a bounded domain in the same way as the sample data. An empirical application of these distributions is presented within the financial field by using daily returns.

López Martín, María del Mar; García, Catalina García; García Pérez, José

2012-03-01

 
 
 
 
261

Probability of large movements in financial markets  

Science.gov (United States)

Based on empirical financial time series, we show that the “silence-breaking” probability follows a super-universal power law: the probability of observing a large movement is inversely proportional to the length of the on-going low-variability period. Such a scaling law has been previously predicted theoretically [R. Kitt, J. Kalda, Physica A 353 (2005) 480], assuming that the length-distribution of the low-variability periods follows a multi-scaling power law.

Kitt, Robert; Säkki, Maksim; Kalda, Jaan

2009-12-01

262

Number crunching. Morphing financial and healthcare markets places new demands on financial applications.  

UK PubMed Central (United Kingdom)

Competition between best-of-breed and HIS vendors heats up in response to changing financial needs and new business models; both face the challenges of integration. Patient receivables benefits from borrowed business models.

Marietti C

1998-06-01

263

INTEGRATED MARKETING COMMUNICATION IN POLITICS?  

Directory of Open Access Journals (Sweden)

Full Text Available The current study has practical applicability in politic al domain and theoretical involvement at politicalmarketing communication level. The type of the research is a qualitative one, using as survey methods scientificobservation and documentary search. The aim of the research is to prove the applicability of marketing communicationconcept integrated in political marketing and global marketing communication. There are also exceptions, justanalyzing the industry – politics, in which integrated communication can’t be considered global communication.The subject of integrated marketing communication is relatively a new one in marketing (two decades), but itsapplicability in political domain and the specifications that assumes this application represents o new vision atEuropean and worldwide level. This study clearly presents the differences between the integrated marketingcommunication and global marketing communication.In documentary research, the author used studies belonging to Anglo – Saxons theoreticians and practitioners(Americans, Canadians, British) but also Europeans (French, Belgians, Romanians). The main reason is the fact that inmarketing domain on extremely narrow scientific sections the visions belonging to these two main orientations aren’talways equable. Also, in scientific observation, t he research analyses political events from United States of America,France and Romania. Due to this reason, we can affirm that the current study has not only a regional applicability butalso a global one.

Ovidiu-Aurel GHIU??

2009-01-01

264

The stochastic bifurcation behaviour of speculative financial markets  

Science.gov (United States)

This paper establishes a continuous-time stochastic asset pricing model in a speculative financial market with fundamentalists and chartists by introducing a noisy fundamental price. By application of stochastic bifurcation theory, the limiting market equilibrium distribution is examined numerically. It is shown that speculative behaviour of chartists can cause the market price to display different forms of equilibrium distributions. In particular, when chartists are less active, there is a unique equilibrium distribution which is stable. However, when the chartists become more active, a new equilibrium distribution will be generated and become stable. The corresponding stationary density will change from a single peak to a crater-like density. The change of stationary distribution is characterized by a bimodal logarithm price distribution and fat tails. The paper demonstrates that stochastic bifurcation theory is a useful tool in providing insight into various types of financial market behaviour in a stochastic environment.

Chiarella, Carl; He, Xue-Zhong; Wang, Duo; Zheng, Min

2008-06-01

265

Double Power Law Decay of the Persistence in Financial Markets  

CERN Multimedia

The persistence phenomenon is studied in the Japanese financial market by using a novel mapping of the time evolution of the values of shares quoted on the Nikkei Index onto Ising spins. The method is applied to historical end of day data from the Japanese stock market during 2002. By studying the time dependence of the spins, we find clear evidence for a double-power law decay of the proportion of shares that remain either above or below ` starting\\rq\\ values chosen at random. The results are consistent with a recent analysis of the data from the London FTSE100 market. The slopes of the power-laws are also in agreement. We estimate a long time persistence exponent for the underlying Japanese financial market to be 0.5.

Jain, S

2008-01-01

266

Testing for nonlinear dependence in financial markets.  

UK PubMed Central (United Kingdom)

This article addresses the question of improving the detection of nonlinear dependence by means of recently developed nonparametric tests. To this end a generalized version of BDS test and a new test based on symbolic dynamics are used on realizations from a well-known artificial market for which the dynamic equation governing the market is known. Comparisons with other tests for detecting nonlinearity are also provided. We show that the test based on symbolic dynamics outperforms other tests with the advantage that it depends only on one free parameter, namely the embedding dimension. This does not hold for other tests for nonlinearity.

Dore M; Matilla-Garcia M; Marin MR

2011-07-01

267

Testing for nonlinear dependence in financial markets.  

Science.gov (United States)

This article addresses the question of improving the detection of nonlinear dependence by means of recently developed nonparametric tests. To this end a generalized version of BDS test and a new test based on symbolic dynamics are used on realizations from a well-known artificial market for which the dynamic equation governing the market is known. Comparisons with other tests for detecting nonlinearity are also provided. We show that the test based on symbolic dynamics outperforms other tests with the advantage that it depends only on one free parameter, namely the embedding dimension. This does not hold for other tests for nonlinearity. PMID:21645438

Dore, Mohammed; Matilla-Garcia, Mariano; Marin, Manuel Ruiz

2011-07-01

268

Estimating Model Limitation in Financial Markets  

UK PubMed Central (United Kingdom)

We introduce bounds on the generalization ability when learningwith noisy data. These results quantify the trade-off between theamount of data and the noise level in the data. Our results can be usedto derive a method for estimating the model limitation for a given learningproblem. Changes in model imitation can then be used to detect achange in market volatility. Our results apply to linear as well as nonlinearmodels and algorithms, and to different noise models. We successfullyapply our methods to the four major foreign exchange markets.1

Malik Magdon-ismail; Alexander Nicholson

269

The structure and resilience of financial market networks.  

Science.gov (United States)

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. PMID:22462993

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

2012-03-01

270

The structure and resilience of financial market networks.  

UK PubMed Central (United Kingdom)

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.

Peron TK; Costa Lda F; Rodrigues FA

2012-03-01

271

The structure and resilience of financial market networks  

Science.gov (United States)

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.

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

2012-03-01

272

Financialization of Companies in the Global Market  

Directory of Open Access Journals (Sweden)

Full Text Available The purpose of this article is to analyze the role of finance within the corporate strategy. In dealingwith the process of geographical decentralization of the activities of the value chain, every company isin contact with different areas, each of which may require different ways of interaction. Theinteraction can take place with the creation of a constructive dialogue between stakeholders withdifferent cultures and behavior and may allow the central structure to assess the exact dynamics oflocal situations and to improve the dynamics of financial processes, so over time the finance functionhas changed its purpose considering the overall uncertainty and specificity of local.

Luigi di Ronza

2011-01-01

273

Financial market heterogeneity: Implications for the EMU  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 charact...

Gareis, Johannes; Mayer, Eric

274

How financial markets impact Alberta gas pricing  

International Nuclear Information System (INIS)

The relationship between natural gas supply and price and market fundamentals was probed with particular reference to how they affect the pricing of Alberta natural gas. It was concluded that Alberta gas prices are most affected by fluctuations in the NYMEX and that the expanding pipeline capacity will increase the liquidity in the Alberta/NYMEX Basis

1998-01-01

275

How financial markets impact Alberta gas pricing  

Energy Technology Data Exchange (ETDEWEB)

The relationship between natural gas supply and price and market fundamentals was probed with particular reference to how they affect the pricing of Alberta natural gas. It was concluded that Alberta gas prices are most affected by fluctuations in the NYMEX and that the expanding pipeline capacity will increase the liquidity in the Alberta/NYMEX Basis.

Laird, N. [PanCanadian Petroleum Company Ltd., Calgary, AB (Canada)

1998-12-31

276

Asymptotic Arbitrage in Large Financial Markets With Friction  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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-ri...

Lépinette, Emmanuel; Ostafe, Lavinia

277

Shortfall risk minimization in discrete time financial market models  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this paper, we study theoretical and computational aspects of risk minimization in financial market models operating in discrete time. To define the risk, we consider a class of convex risk measures defined on $L^{p}$ in terms of shortfall risk. Under simple assumptions, namely the absence of arb...

Frikha, Noufel

278

Note on two-phase phenomena in financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The two-phase behaviour in financial markets actually means the bifurcation phenomenon, which represents the change of the conditional probability from an unimodal to a bimodal distribution. We investigate the bifurcation phenomenon in Hang–Seng index. It is observed that the bifurcation phenomenon ...

Jiang, Shi-Mei; Cai, Shi-Min; Zhou, Tao; Zhou, Pei-Ling

279

Methods of analysis of the financial markets volatility  

Directory of Open Access Journals (Sweden)

Full Text Available The models and methods based on the analysis of volatility of time series in various time intervals are considered. It is shown, that application of wavelet methodology and hidden Markov model is a perspective direction for research and forecasting of dynamics of the financial markets. The advantage of use of the large-scale wavelet analysis of time series is resulted.

Demich Nikolay Vladimirovich; Demich Olga Valerievna

2010-01-01

280

Describing the Current Situation of the Financial Market in Ghana  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This thesis describes the current situation of the financial market in Ghana with a more thorough description and analysis in order to make investors, especially foreign investors to know where to invest their capital in order to profit. It also provides instantaneous feedback to policy makers and t...

Mensah, David

 
 
 
 
281

On entropy, financial markets and minority games  

Science.gov (United States)

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.

Zapart, Christopher A.

2009-04-01

282

Incorporating Prior Knowledge About Financial Markets Through Neural Multitask Learning  

UK PubMed Central (United Kingdom)

We present the systematic method of Multitask Learning forincorporating prior knowledge (hints) into the inductive learning system ofneural networks. Multitask Learning is an inductive transfer method whichuses domain information about related tasks as inductive bias to guide thelearning process towards better solutions of the main problem. These tasksare presented to the learning system in a shared representation. This paperargues that there exist many opportunities for Multitask Learning especiallyin the world of financial modeling: It has been shown, that many interdependenciesexist between international financial markets, different market sectorsand financial products. Models with an isolated view on a single marketor a single product therefore ignore this important source of information.An empirical example of Multitask Learning is presented where learning additionaltasks improves the forecasting accuracy of a neural network used toforecast the changes of five major...

Kai Bartlmae; Steffen Gutjahr; Gholamreza Nakhaeizadeh

283

Coherent Patterns in Nuclei and in Financial Markets  

CERN Document Server

In the area of traditional physics the atomic nucleus belongs to the most complex systems. It involves essentially all elements that characterize complexity including the most distinctive one whose essence is a permanent coexistence of coherent patterns and of randomness. From a more interdisciplinary perspective, these are the financial markets that represent an extreme complexity. Here, based on the matrix formalism, we set some parallels between several characteristics of complexity in the above two systems. We, in particular, refer to the concept - historically originating from nuclear physics considerations - of the random matrix theory and demonstrate its utility in quantifying characteristics of the coexistence of chaos and collectivity also for the financial markets. In this later case we show examples that illustrate mapping of the matrix formulation into the concepts originating from the graph theory. Finally, attention is drawn to some novel aspects of the financial coherence which opens room for s...

Drozdz, S; Speth, J

2010-01-01

284

Financial markets regulation in the energy sector. A few financial aspects of energy transactions; Financial markets regulation in de energiesector. Enkele financieelrechtelijke aspecten van energietransities  

Energy Technology Data Exchange (ETDEWEB)

In addition to energy legislation, financial markets legislation and regulation (FMR) are becoming increasingly important for the energy sector. Consequently, parties on the energy market not only have to deal with the energy and competition authorities (the Dte and NMa respectively), but may also face supervision by The Netherlands Authority for the Financial Markets (AFM). Energy transactions may trigger certain prohibitions and obligations under financial and securities law, the most relevant of which are discussed in this article. Both the recent changes as a result of the Financial Markets Supervision Act ('Wet op het financieel toezicht', Wft) entering into force as per 1 January 2007 and the anticipated future amendments following the implementation of the Markets in Financial Instruments Directive (MiFID) are examined. [Dutch] Naast energiewetgeving zoals de Elektriciteitswet 1998 en de Gaswet is voor de energiesector in toenemende mate ook de financiele wet- en regelgeving van belang (de zg. 'financial markets regulation' of FMR). Dit betekent dat partijen die actief zijn op de energiemarkt niet alleen rekening moeten houden met de DTe en de NMa, maar ook te maken kunnen krijgen met de financieel toezichthouder AFM (Autoriteit Financiele Markten). Energietransacties kunnen allerlei finandeelrechtelijke implicaties hebben. In deze bijdrage worden enkele voor de energiesector relevante FMR-regelingen op een rij gezet. Daarbij wordt besproken war per 1 januari 2007 is veranderd als gevolg van de inwerkingtreding van de Wet op het finandeel toezicht (Wft) en wordt kort ingegaan op toekomstige veranderingen op FMR-gebied als gevolg van verdere implementatie van de Markets in Financial Instruments Directive (MiFID)

Simonetti, S. [De Brauw Blackstone Westbroek, London (United Kingdom)

2007-01-15

285

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

Directory of Open Access Journals (Sweden)

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.

Mengchun Ding; Hongxin Li

2009-01-01

286

Financial Market Structure and Economic Growth: Evidence from Nigeria Data  

Directory of Open Access Journals (Sweden)

Full Text Available In this paper, we investigate both the long run and short run relationships between financial structure and economic growth using time series data. The presence of a unit root in the time series data was tested using Augmented Dickey – Fuller and Philips – Perron tests. The long run relationship among the variables is estimated using Johansen and Juselius (1990) maximum likelihood procedure. While the vector error correction model is used to estimate short run the dynamic coefficients. The main results reveal that financial market structure has a negative and significant effect on economic growth based on Nigeria data. This suggests a low level of development of the country’s financial sector. The paper therefore recommends that there is a need to put appropriate financial policies in place that will encourage the growth per capita GDP.

Anne C Maduka; Kevin O. Onwuka

2013-01-01

287

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

Science.gov (United States)

...Request for Information Regarding Financial Products Marketed to Students Enrolled...information'' about consumer financial products and services. The Bureau seeks...develop a clearer picture of the financial products and services that are...

2013-02-05

288

Rural Deposit Mobilization: An Alternative Approach for Developing Rural Financial Markets.  

Science.gov (United States)

Contents: Financial intermediation and rural finance; Traditional rural financial market projects; Rural deposit mobilization; Rural savings and institutional viability; Intersectoral flow of funds; Problems encountered in implementing financial reforms; ...

R. L. Meyer

1985-01-01

289

BEYOND THE LIMITS IN AMERICAN AND ROMANIAN FINANCIAL MARKETS  

Directory of Open Access Journals (Sweden)

Full Text Available This paper focuses on few arguments backing up the idea that “beyond the limits” in American and Romanian financial markets implies, putting aside the semantic equivalence, an entirely different content: exceeding of a reasonable top limit, in the case of the USA, while for Romania it means the need of surpassing a bottom limit that reveals the actual underdevelopment of this market. However, beyond this huge gap, a common issue can be revealed: the failure of the central banks in both countries to foresee the developments and to take measures in due time in a market they supposedly carefully survey.

Serghei MARGULESCU; Elena MARGULESCU

2009-01-01

290

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.

2012-01-01

291

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

Directory of Open Access Journals (Sweden)

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.

Fatma Kchir Jedidi; Sami Mensi

2011-01-01

292

Impact of Financial Market Policies: A Review of the Literature and the Empirical Evidence.  

Science.gov (United States)

The paper analyzes the impact of key financial market policies at both the macro (financial markets) and micro (firm) levels. It focuses on two policy instruments that are commonly used to promote enterprise development -- credit allocation, on the one ha...

J. J. Deschampes W. Grant A. Berry S. Goldmark

1988-01-01

293

The Sixth Kondratieff Cycle the Era of Financial Market Instruments: A Reflection on the Australia vs US Subprime Mortgage Market  

Directory of Open Access Journals (Sweden)

Full Text Available This paper posits that the present global financial crisis is the sixth Kondratieff cycle and that the underlying cause of transactions-based financial capitalism points to this cycle as being the era of financial market instruments. The US subprime mortgage market having contributed to the present financial liquidity shock as a consequence of the derivative market instruments known as collateralised debt obligations (CDO) is responsible for this cycle. The comparison between the subprime mortgage market in Australia and the US suggests that the Australian market should be less vulnerable but not entirely immune to the financial problems of the world liquidity shock.

Gregory Kenneth Laing

2011-01-01

294

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

Directory of Open Access Journals (Sweden)

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.

Seyed Komail Tayebi; Ahmad Googerdchian

2011-01-01

295

Pension Reform And Financial Market Development Nexus: Evidence From Nigeria  

Directory of Open Access Journals (Sweden)

Full Text Available It is generally assumed that Chilean type of pension reform helps in developing the financial market wherever the reform is adopted. However, this assertion is not clear cut especially in developing areas faced with problems of underdevelopment. Using the Error Correction Model (ECM) approach this study examines if pension reform advances the development of financial market in Nigeria. Time series data were compiled and a functional relationship was established using the OLS technique. Statistical significance of the error correction term confirmed the existence of an equilibrium relationship among the variables. The performance analysis of all the variables indicated that the reform period generates long-term contractual savings and stimulates the development of securities market.

Godson Mesike; Ade Ibiwoye

2012-01-01

296

THE FINANCIAL INSTRUMENTS FOR RISK MANAGEMENT ON THE INTERNATIONAL FINANCIAL MARKETS  

Directory of Open Access Journals (Sweden)

Full Text Available 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 producing a risk can generate a chain reaction, and producing other risks. As aconsequence, these operations and procedures can permanently generate an exposure to the risk.The risk management is the key function of the financial institution, which act on the internationalfinancial market. For doing this, it must be used some important instruments that can conduce to avoiding risksor dimensioning them.

Alina Hagiu

2008-01-01

297

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)

2004-01-01

298

The seismography of crashes in financial markets  

Science.gov (United States)

This Letter investigates the dynamics of stocks in the S&P500 for the last 33 years, considering the population of all companies present in the index for the whole period. Using a stochastic geometry technique and defining a robust index of the dynamics of the market structure, which is able to provide information about the intensity of the crises, the Letter proposes a seismographic classification of the crashes that occurred during the period. The index is used in order to investigate and to classify the impact of the thirteen crashes between July 1973 and March 2006 and to discuss the available evidence of change of structure after the fin de siècle.

Araújo, Tanya; Louçã, Francisco

2008-01-01

299

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.

2009-02-15

300

Crossover Phenomena in Detrended Fluctuation Analysis Used in Financial Markets  

Science.gov (United States)

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.

Ma, Shi-Hao

2009-02-01

 
 
 
 
301

Endogenous versus Exogenous Crashes in Financial Markets  

UK PubMed Central (United Kingdom)

In a series of papers based on analogies with statistical physics models, we have proposed that mostnancialcrashes are the climax of so-called log-periodic power law signatures (LPPS) associated with speculative bubbles[Sornette and Johansen, 1998, Johansen and Sornette, 1999, Johansen et al., 1999, Johansen et al., 1999,Sornette and Johansen, 2001]. In addition, a large body of empirical evidence supporting this proposition havebeen presented [Sornette et al., 1996, Sornette and Johansen, 1998, Johansen et al., 1999, Johansen and Sornette, 2000,Johansen and Sornette, 2001b, Sornette and Johansen, 2001]. Along a complementary line of research, we haveestablished that, while the vast majority of drawdowns occurring on the majornancial markets have a distributionwhich is well-described by a stretched exponential, the largest drawdowns are occurring with a signicantly larger rate than predicted by extrapolating the bulk of the distribution and should thus be consideredas outliers [Johansen and Sornette, 1998, Sornette and Johansen, 2001, Johansen and Sornette, 2001b,Johansen, 2002]. Here, these two lines of research are merged in a systematic way to oer a classication ofcrashes as either events of an endogenous origin associated with preceding speculative bubbles or as events ofan exogenous origin associated with the markets response to external shocks.

Anders Johansen

302

Optimal Investment in Incomplete Financial Markets  

UK PubMed Central (United Kingdom)

We give a review of classical and recent results on maximization ofexpected utility for an investor who has the possibility of trading in afinancial market. Emphasis will be given to the duality theory relatedto this convex optimization problem.For expository reasons we first consider the classical case where theunderlying probabilityspaceOmegais finite. This setting has the advantagethat the technical difficulties of the proofs are reduced to a minimum,which allows for a clearer insight into the basic ideas, in particular thecrucial role played by the Legendre-transform. In this setting we stateand prove an existence and uniqueness theorem for the optimal investmentstrategy, and its relation to the dual problem; the latter consistsin finding an equivalent martingale measure optimal with respect to theconjugate of the utility function. We also discuss economic interpretationsof these theorems.We then pass to the general case of an arbitrage-free financi...

Walter Schachermayer

303

Adaptive Markets Hypothesis: Evidencefrom Asia-Pacific Financial Markets  

Directory of Open Access Journals (Sweden)

Full Text Available In this paper we investigate the profitability of the moving average strategyon six Asian capital markets considering the episodic character of linear and/or nonlineardependencies, the period under study being 1997-2008. For each market, the most profitablestrategy from 15000 alternatives is selected. The main conclusion is that profitability ofmoving average strategies is not constant in time; it is episodic showing when sub-periods oflinear and non-linear correlation appear. Thus, one can thus say that the degree of marketefficiency varies through time in a cyclical fashion over time and these statistical features arein line with those postulated by Adaptive Markets Hypothesis (AMH) of Lo (2004, 2005).

Alexandru Todea; Maria Ulici; Simona Silaghi

2009-01-01

304

Mitigating corporate water risk: Financial market tools and supply management  

Directory of Open Access Journals (Sweden)

Full Text Available A decision framework for business water-risk response is proposed that considers financial instruments and supply management strategies. Based on available and emergent programmes, companies in the agricultural, commodities, and energy sectors may choose to hedge against financial risks by purchasing futures contracts or insurance products. These strategies address financial impacts such as revenue protection due to scarcity and disruption of direct operations or in the supply chain, but they do not directly serve to maintain available supplies to continue production. In contrast, companies can undertake actions in the watershed to enhance supply reliability and/or they can reduce demand to mitigate risk. Intermediate strategies such as purchasing of water rights or water trading involving financial transactions change the allocation of water but do not reduce overall watershed demand or increase water supply. The financial services industry is playing an increasingly important role, by considering how water risks impact decision making on corporate growth and market valuation, corporate creditworthiness, and bond rating. Risk assessment informed by Conditional Value-at-Risk (CVaR) measures is described, and the role of the financial services industry is characterised. A corporate decision framework is discussed in the context of water resources management strategies under complex uncertainties.

Wendy M. Larson; Paul L. Freedman; Viktor Passinsky; Edward Grubb; Peter Adriaens

2012-01-01

305

Integration and shock transmissions across European electricity forward markets  

International Nuclear Information System (INIS)

[en] New results are presented relating to the integration of the French, German, British, Dutch and Spanish power markets at day-ahead, week-ahead, one month-ahead and two month-ahead lead times. Overall, there is evidence of market integration, increasing over time, despite an underlying inefficiency in each market with respect to the forward and spot price convergence. The spatial analysis, on a financial dimension, is undertaken using causality tests, cointegration and impulse-response techniques, for both price levels and volatilities. In general we find less influence of the size and proximity of neighbouring markets than other studies, more integration at baseload than peak, and, surprisingly, less integration in forwards than spot prices. (author)

2010-01-01

306

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

Directory of Open Access Journals (Sweden)

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.? ?????? ?????? ??????????? ???????? ?????????? ?????? ?????????? ???????? ??????????? ? ????????? ?????? ??? ??????? ???????, ????????? ?? ????????????? ????. ? ?????? ????? ?????????? ???????? ?? ??????????? ?????????? ?????? ???????????? ?? ???????? ??????????? ???????? ?????? ? ?? ????????????????. ??????? ??????? ?????? ?????? ???????? ?????? ?????? ????? ? ??????? ??????????? ? ????????? ?????? ? ????????? ?? ???????????? ????????????? ????? ??? ???????, ????????????? ? ????????????, ??????? ??????? ?????????? ? ????????????? ????? ???????? ? ????????? ????????????? ?????????????? ? ????????? ????????? ????????–??????? ???????????? ?????. ????? ? ???? ?????? ??????????? ???????? ?????????? ? ???????? ???????? ?????????? ?????? ? ???? ????????????, ???????? ??????????? ?? ???????? ? ????????????? ??????.

Kasiyan Yevgeniy V.

2013-01-01

307

Topological isomorphisms of human brain and financial market networks.  

Science.gov (United States)

Although metaphorical and conceptual connections between the human brain and the financial markets have often been drawn, rigorous physical or mathematical underpinnings of this analogy remain largely unexplored. Here, we apply a statistical and graph theoretic approach to the study of two datasets - the time series of 90 stocks from the New York stock exchange over a 3-year period, and the fMRI-derived time series acquired from 90 brain regions over the course of a 10-min-long functional MRI scan of resting brain function in healthy volunteers. Despite the many obvious substantive differences between these two datasets, graphical analysis demonstrated striking commonalities in terms of global network topological properties. Both the human brain and the market networks were non-random, small-world, modular, hierarchical systems with fat-tailed degree distributions indicating the presence of highly connected hubs. These properties could not be trivially explained by the univariate time series statistics of stock price returns. This degree of topological isomorphism suggests that brains and markets can be regarded broadly as members of the same family of networks. The two systems, however, were not topologically identical. The financial market was more efficient and more modular - more highly optimized for information processing - than the brain networks; but also less robust to systemic disintegration as a result of hub deletion. We conclude that the conceptual connections between brains and markets are not merely metaphorical; rather these two information processing systems can be rigorously compared in the same mathematical language and turn out often to share important topological properties in common to some degree. There will be interesting scientific arbitrage opportunities in further work at the graph-theoretically mediated interface between systems neuroscience and the statistical physics of financial markets. PMID:22007161

Vértes, Petra E; Nicol, Ruth M; Chapman, Sandra C; Watkins, Nicholas W; Robertson, Duncan A; Bullmore, Edward T

2011-09-15

308

Topological isomorphisms of human brain and financial market networks.  

UK PubMed Central (United Kingdom)

Although metaphorical and conceptual connections between the human brain and the financial markets have often been drawn, rigorous physical or mathematical underpinnings of this analogy remain largely unexplored. Here, we apply a statistical and graph theoretic approach to the study of two datasets - the time series of 90 stocks from the New York stock exchange over a 3-year period, and the fMRI-derived time series acquired from 90 brain regions over the course of a 10-min-long functional MRI scan of resting brain function in healthy volunteers. Despite the many obvious substantive differences between these two datasets, graphical analysis demonstrated striking commonalities in terms of global network topological properties. Both the human brain and the market networks were non-random, small-world, modular, hierarchical systems with fat-tailed degree distributions indicating the presence of highly connected hubs. These properties could not be trivially explained by the univariate time series statistics of stock price returns. This degree of topological isomorphism suggests that brains and markets can be regarded broadly as members of the same family of networks. The two systems, however, were not topologically identical. The financial market was more efficient and more modular - more highly optimized for information processing - than the brain networks; but also less robust to systemic disintegration as a result of hub deletion. We conclude that the conceptual connections between brains and markets are not merely metaphorical; rather these two information processing systems can be rigorously compared in the same mathematical language and turn out often to share important topological properties in common to some degree. There will be interesting scientific arbitrage opportunities in further work at the graph-theoretically mediated interface between systems neuroscience and the statistical physics of financial markets.

Vértes PE; Nicol RM; Chapman SC; Watkins NW; Robertson DA; Bullmore ET

2011-01-01

309

Financial markets and authoritative proximity in personal finance magazines.  

UK PubMed Central (United Kingdom)

This study investigates how mediated discourse about finance developed in the USA in parallel to the shift from a corporate liberal political economic order to a neoliberal one. This is done by analyzing two personal finance magazines, Money and Kiplinger's, utilizing both critical discourse analysis and longitudinal quantitative content analysis (1947-2008). I find that at the core of this discursive environment lies the phenomenon of authoritative proximity, which positions the magazines as trusted advisors guiding the audience, a collection of individuals, towards financial autonomy through immersion in financial markets. Authoritative proximity is constituted by second person address forms, imperative mood and paratactic syntax - all elements whose salience rises over time. This discourse, which makes the abstract financial system increasingly more concrete and focused on the individual, is compatible with the emergence of a neoliberal political economy.

Davidson R

2012-12-01

310

An Explanation of Generic Behavior in an Evolving Financial Market  

UK PubMed Central (United Kingdom)

The Santa Fe Artificial Stock Market [13, 4] is an agent-based artificialmodel in which agents continually explore and develop expectationalmodels, buy and sell assets based on the predictions of those models thatperform best, and confirm or discard these models based on their performanceover time. The purpose of this paper is to classify the differenttypes of behavior that emerge in the market as a function of evolutionarylearning rate, and to explain these emergent behaviors. We observe fourdifferent types of behavior, which are distinguished by their effects on thevolatility of prices, the complexity of strategies, and the wealth earnedby agents over time. We also show that the differences between thesebehaviors may be attributed to variations in the rate at which agents revisetheir trading rules and the subsequent types of rules---technical orfundamental---that emerge in the market.1 IntroductionFinancial markets are complex. Their booms and crashes [15,...

In In; R. St; B. Henry; S. Watt; D. Green; S. Keen; T. Bossomaier; Sydney Comlexity; Shareen Joshi; Mark A. Bedau

311

Critical Analysis of Electronic Simulation of Financial Market Fluctuations  

CERN Multimedia

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 analysis of the power law fluctuation generator in connection with the electronic components and their parameters. From our studies one can conclude that the proposal is not adequate to provide a confident experimental scheme to follow the fluctuations of the financial market due to both electronic implementation and to difficulties in parameter tuning.

Fanchiotti, H; Martínez, N

2002-01-01

312

Financial market pressure, tacit collusion and oil price formation  

Energy Technology Data Exchange (ETDEWEB)

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)

Aune, Finn Roar; Rosendahl, Knut Einar [Statistics Norway, box 8131 Dep., 0033 Oslo (Norway); Mohn, Klaus; Osmundsen, Petter [University of Stavanger, 4036 Stavanger (Norway)

2010-03-15

313

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)

2010-01-01

314

Market risk stress testing for internationally active financial institutions  

Directory of Open Access Journals (Sweden)

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.

Markovi? Petar; Uroševi? Branko

2011-01-01

315

Modelling financial markets by the multiplicative sequence of trades  

CERN Multimedia

We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ~ 1/f**beta, scaled as power of frequency for various values of beta between 0.5 and 2. Furthermore, we analyze the relation between the power-law autocorrelations and the origin of the power-law probability distribution of the trading activity. The model reproduces the spectral properties of trading activity and explains the mechanism of power-law distribution in real markets.

Gontis, V; Gontis, Vygintas; Kaulakys, Bronislovas

2004-01-01

316

Random diffusion and leverage effect in financial markets.  

UK PubMed Central (United Kingdom)

We prove that Brownian market models with random diffusion coefficients provide an exact measure of the leverage effect [J-P. Bouchaud et al., Phys. Rev. Lett. 87, 228701 (2001)]. This empirical fact asserts that past returns are anticorrelated with future diffusion coefficient. Several models with random diffusion have been suggested but without a quantitative study of the leverage effect. Our analysis lets us to fully estimate all parameters involved and allows a deeper study of correlated random diffusion models that may have practical implications for many aspects of financial markets.

Perelló J; Masoliver J

2003-03-01

317

Random diffusion and leverage effect in financial markets.  

Science.gov (United States)

We prove that Brownian market models with random diffusion coefficients provide an exact measure of the leverage effect [J-P. Bouchaud et al., Phys. Rev. Lett. 87, 228701 (2001)]. This empirical fact asserts that past returns are anticorrelated with future diffusion coefficient. Several models with random diffusion have been suggested but without a quantitative study of the leverage effect. Our analysis lets us to fully estimate all parameters involved and allows a deeper study of correlated random diffusion models that may have practical implications for many aspects of financial markets. PMID:12689200

Perelló, Josep; Masoliver, Jaume

2003-03-25

318

Nonstationary increments and variable diffusion processes in financial markets  

Science.gov (United States)

Fat tailed returns distributions and Hurst exponent scaling for financial markets have been reported for more than a decade. The sliding interval technique used in those analyses implicitly assumes that the increments are stationary, an assumption that generally contradicts the facts that the increments are uncorrelated. We show that the data exhibit nonstationary, uncorrelated increments, implying diffusive dynamics with a variable diffusion coefficient, but there is no evidence for either fat tails or Hurst exponent scaling in daily FX returns.

McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H.

2008-03-01

319

Cusum Techniques For Technical Trading In Financial Market  

UK PubMed Central (United Kingdom)

This paper will offer a first attempt to link up thetwo fields of investigation. In particular, we will focus our attention to one popular tradingrule in the finance literature, which is the filter trading rule proposed by Alexander (1961). Wewill show that the filter rule is equivalent to the CUSUM techniques in quality control. Inmore general terms, any principle adopted in detecting a shift in product quality can also beapplied to detect upward or downward shift in prices in the financial market.In section 2 of this paper, we will briefly review the CUSUM techniques and filtertrading rule. Then, we will show that the two approaches are equivalent. Along the line that aquality control technique can be adopted to a trading rule in the financial market, we consider,in section 3, the trading rule corresponding to the general CUSUM procedure and its tradingperformance. Empirical evidence presented in section 4 shows that the general CUSUMtechniques also work well in the financial market and offers an improvement over the classicalfilter trading rule.The performance characteristic of a quality control technique can be described by theaverage run length of the production process. The average run length has been tabulated byChiu (1974) for various parameter values. In section 5 of this paper, we compute the meansand variances of the run length to supplement some existing tables on the control charts3

320

Economic and Financial Integration of CEECs: The Impact of Financial Instability  

Directory of Open Access Journals (Sweden)

Full Text Available The recent financial crisis had a powerful impact upon the European countries' economies, in particular on those from Central and Eastern Europe, with some small exceptions. Thus, applying a panel data approach for a large sample of CEECs, we demonstrate that financial instability negatively influences these countries economic and financial integration. If instability is measured by means of a financial instability index, we have used two classical indicators for the economic integration, namely trade openness and trade intensity index. Indicators such as the interest rates co-movement and the asset share of foreign-owned banks were chosen to calculate financial integration. We highlight the fact that the crisis events hinder the process of CEECs' integration into the EU, deepening the economic gaps between more and less developed EU members.

Claudiu T. Albulescu

2011-01-01

 
 
 
 
321

Coupled effects of market impact and asymmetric sensitivity in financial markets  

CERN Document Server

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...

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

2012-01-01

322

Price Discovery In Financial Markets: The Case Of The CAPM  

UK PubMed Central (United Kingdom)

We report on experiments of simple, repeated asset markets in two risky securities and one risk-free security, set up to test the Capital Asset Pricing Model (CAPM), which embeds the two most essential principles of modern asset pricing theory, namely, (i) financial markets equilibrate, (ii) in equilibrium, risk premia are solely determined by covariance with aggregate risk. Slow, but steady convergence towards the CAPM is discovered. The convergence process, however, halts before reaching the actual equilibrium. There is ample evidence that subjects gradually move up in mean-variance space, in accordance with the CAPM. Yet, adjustment stops as if the remaining trading time was insufficient to complete all the transactions that are needed to guarantee improvements in positions. We conjecture that this is due to subjects' hesitance in the face of market thinness. Because the convergence process halts, statistical tests reject the CAPM.

Peter Bossaerts; Daniel Kleiman; Charles Plott

323

Experiments With Financial Markets: Implications For Asset Pricing Theory  

UK PubMed Central (United Kingdom)

This article surveys financial markets experiments from a particular vantage point, namely, asset pricing theory. The goal is to assess to what extent these experiments have (and could) shed light on the validity of the basic principles of asset pricing theory, namely (i) that markets equilibrate to the point that expected returns are proportional to covariance with aggregate risk, (ii) that markets aggregate dispersed information. There appears to be solid support for (i), yet the evidence regarding (ii) is mixed. The reason for the latter is hard to determine, because of features in the experimental design that are at odds with standard asset pricing theory (e.g., the payoff on a security depends on the identity of the holder). Where we can interpret the results, the article demonstrates that the occasional aggregation failures ("mirages") agree with rational learning. More specifically, their number is consistent with the mistakes one expects a Bayesian to make even when she has fu...

Peter Bossaerts

324

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

DEFF Research Database (Denmark)

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.

Kleinnijenhuis, Jan; Schultz, Friederike

2013-01-01

325

Coherent Patterns in Nuclei and in Financial Markets  

Science.gov (United States)

In the area of traditional physics the atomic nucleus belongs to the most complex systems. It involves essentially all elements that characterize complexity including the most distinctive one whose essence is a permanent coexistence of coherent patterns and of randomness. From a more interdisciplinary perspective, these are the financial markets that represent an extreme complexity. Here, based on the matrix formalism, we set some parallels between several characteristics of complexity in the above two systems. We, in particular, refer to the concept-historically originating from nuclear physics considerations-of the random matrix theory and demonstrate its utility in quantifying characteristics of the coexistence of chaos and collectivity also for the financial markets. In this later case we show examples that illustrate mapping of the matrix formulation into the concepts originating from the graph theory. Finally, attention is drawn to some novel aspects of the financial coherence which opens room for speculation if analogous effects can be detected in the atomic nuclei or in other strongly interacting Fermi systems.

Dro?d?, S.; Kwapie?, J.; Speth, J.

2010-07-01

326

Regularity Analysis of Inter-Out-of-Equilibrium State Intervals in Financial Markets  

Science.gov (United States)

The inter-out-of-equilibrium state interval is analyzed in order to detect determinism in financial markets. We divide the time series of the return for price increments into two phases, equilibrium and out-of-equilibrium phases, due to two phase phenomena. Using an attractor reconstructed from a singular time series via Takens’ theorem, the nonlinearity and determinism of inter-out-of-equilibrium state intervals are closely examined. Assuming an extended integrate-and-fire model analogous to fractional Brownian motion, a one-to-one correspondence is identified between the underlying system states and the reconstructed inter-out-of-equilibrium state interval vectors of a certain dimension. As compared to typical models driven by deterministic or stochastic processes, the inter-out-of-equilibrium state interval in the financial markets is found to exhibit features similar to stochastic properties.

Lim, Gyuchang; Kim, Soo Yong; Kim, Kyungsik; Lee, Dong-In; Yum, Myung-Kul

2008-03-01

327

Financial Market Imperfections, Real Exchange Rates, and Capital Flows  

UK PubMed Central (United Kingdom)

We explore the role of domestic financial market frictions in explaining sharp movements in real andnominal exchange rates, capital flows, and output for a small open economy. Financial intermediariesarise endogenously to insulate depositors from the consequences of liquidity shocks and stochasticinvestment project returns, and to provide intermediation for efficient capital accumulation in the presenceof a costly state verification problem. An increase in the world interest rate may provoke an increase in thefraction of credit-rationed entrepreneurs, a decrease in the steady state capital stock, and -- when theelasticity of substitution between labor and capital is low -- a depreciation of the real exchange rate and anoutflow of capital. Hence we can account qualitatively for the recent experience of several emergingmarket economies in a model where all prices, including exchange rates, are perfectly flexible.

Caroline Betts; Autnomo Mxico; Caroline M. Betts; Elisabeth Huybens; Centro De Investigacin Econmica

328

In which Financial Markets do Mutual Fund Theorems hold true?  

CERN Multimedia

The Mutual Fund Theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T, where agents maximize expected utility of terminal wealth. It is established that: 1) Let N be the wealth process of the num\\'eraire portfolio (i.e. the optimal portfolio for the log utility). If any path-independent option with maturity T written on the num\\'eraire portfolio can be replicated by trading \\emph{only} in N, then the (MFT) holds true for general utility functions, and the num\\'eraire portfolio may serve as mutual fund. This generalizes Merton's classical result on Black-Scholes markets. Conversely, under a supplementary weak completeness assumption, we show that the validity of the (MFT) for general utility functions implies the same replicability property for options on the num\\'eraire portfolio described above. 2) If for a given class of utility functions (i.e. investors) the (MFT) holds true in all complete Brownian financial markets S, then all investors use the same utili...

Schachermayer, Walter; Taflin, Erik

2007-01-01

329

International financial markets, oil prices, and exchange rates  

Energy Technology Data Exchange (ETDEWEB)

This dissertation examines the behavior of the foreign exchange market during the 1973 to 1982 period of flexible exchange rates using a combination of analytical and institutional perspectives. Chapter One discusses the expansion of international financial markets and the parallel development of the asset-market approach to exchange-rate determination in the literature. Chapter Two focuses on the effects of oil price rises on exchange rates. It is noted that announcements of oil price increases entailed dollar appreciation in 1973-1974, dollar depreciation in 1979, and dollar appreciation in 1980, except against the pound sterling. Chapter Three, in contrast, arrives at the conclusion that the 1978 depreciation of the dollar is inconsistent with the fundamentals. Chapter Four compares the variability of real exchange rates in the 1973 to 1982 period to the variability of three determinants of real exchange rates identified by an accounting model. Using a variance-bound technique, it is found that the variability of real exchange rates implies a much greater variability of the fundamentals than in fact has been observed historically, implying that foreign-exchange market speculation is irrational. The conclusion (Chapter Five) discusses the concept of market efficiency and relates it to the findings of the previous chapters.

Golub, S.S.

1983-01-01

330

Using case management systems to integrate clinical and financial data.  

UK PubMed Central (United Kingdom)

Integrated delivery systems can use automated case management information systems to better manage relevant clinical and financial data across the continuum of care. Effective case management systems can help caregivers track clinical and financial information; match appropriate resources to patient needs; and analyze populations to identify risk, enhance adherence to clinical guidelines, and understand provider treatment profiles.

Dullea C; Fields C

1997-03-01

331

Smearing Distributions and Their Use in Financial Markets  

Science.gov (United States)

It is shown that superpositions of path integrals with arbitrary Hamiltonians and different scaling parameters ? ("variances") obey the Chapman-Kolmogorov relation for Markovian processes if and only if the corresponding smearing distributions for ? have a specific functional form. Ensuing "smearing" distributions substantially simplify the coupled system of Fokker-Planck equations for smeared and unsmeared conditional probabilities. Simple application in financial models with stochastic volatility is presented.

Jizba, P.; Kleinert, H.

2008-11-01

332

Smearing Distributions and their use in Financial Markets  

CERN Document Server

It is shown that superpositions of path integrals with arbitrary Hamiltonians and different scaling parameters v ("variances") obey the Chapman-Kolmogorov relation for Markovian processes if and only if the corresponding smearing distributions for v have a specific functional form. Ensuing "smearing" distributions substantially simplify the coupled system of Fokker-Planck equations for smeared and un-smeared conditional probabilities. Simple application in financial models with stochastic volatility is presented.

Jizba, Petr

2007-01-01

333

Phase Transition of Dynamical Herd Behaviors in Financial Markets  

CERN Multimedia

We study the phase transition of dynamical herd behaviors for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution of returns satisfies the power-law behavior with three different values of the scaling exponent 3.11 (one time lag $\\tau$ = 1 minute), 2.81 (30 minutes), and 2.29 (1 hour). The crash regime in which the probabilty density increases with the increasing return appears in the case of $\\tau$ 30 minutes. it is especially obtained that our dynamical herd behavior exhibits the phase transition at one time lag $\\tau$ = 30 minutes.

Kim, K; Kim, Kyungsik; Yoon, Seong-Min

2004-01-01

334

Ito calculus without probability in idealized financial markets  

CERN Document Server

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.

Vovk, Vladimir

2011-01-01

335

Jump Telegraph Processes and Financial Markets with Memory  

Directory of Open Access Journals (Sweden)

Full Text Available The paper develops a new class of financial market models. These models are based on generalized telegraph processes with alternating velocities and jumps occurring at switching velocities. The model under consideration is arbitrage-free and complete if the directions of jumps in stock prices are in a certain correspondence with their velocity and with the behaviour of the interest rate. A risk-neutral measure and arbitrage-free formulae for a standard call option are constructed. This model has some features of models with memory, but it is more simple.

Nikita Ratanov

2007-01-01

336

Influence of Terrorist Activities on Financial Markets: Evidence from KSE  

Directory of Open Access Journals (Sweden)

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.

Usman Bashir; Inam-ul-Haq; Syed Muhammad Ahmad Hassan Gillani

2013-01-01

337

IS THE ROMANIAN FINANCIAL MARKET PREPARED TO SUPPORT PENSION SYSTEM REFORM?  

Directory of Open Access Journals (Sweden)

Full Text Available The paper outlines the challenges that a multi-pillar functional pension system may bring, considering the current state of development of the Romanian financial system, considering the macroeconomic stability, the current financial infrastructure and the existence of a regulatory and supervisory framework. After realizing an overview over the Romanian pension market, issues like the capacity of the domestic financial market of generating long-term returns and adequate financial instruments are also addressed from an analytical point of view.

LAURA RAISA MILO?

2012-01-01

338

Block & Comovement Effect of Stock Market in Financial Complex Network  

Science.gov (United States)

In the work, we present a method to analyze block & comovement effect of stock market by finding out the community structure in the financial complex network. We choose the stocks from Shanghai and Shenzhen 300 Index as data source and convert them into the complex network in matrix format which is based on the measurements of correlation we proposed in this paper. The classical GN algorithm and the NetDraw tool are applied to obtain the modularity and draw all the community structures. The results of our work can offer not only the internal information about the capital flows in the stock market but also the prediction of variation and trend line of some stocks with delay-correlation.

Du, Chongwei; Wang, Xiong; Qiu, Liyin

339

The role of financial market performance in hospital capital investment.  

Science.gov (United States)

Many not-for-profit hospitals hold large portfolios of financial investments, making them vulnerable to fluctuations in market performance. This article examines the association of bond and equity market performance with investment in property, plant, and equipment by 194 not-for-profit general hospitals in California over the period 1997 to 2006. The study combines retrospective panel data from the California Office of Statewide Health Planning and Development with year-end returns on the S&P 500 and ten-year US Treasury bonds. Using fixed-effects regression, we find a significant positive association between S&P 500 performance and hospitals' capital investment; investment is not correlated with ten-year Treasury bond performance. PMID:21528832

Reiter, Kristin L; Song, Paula H

2011-01-01

340

The role of financial market performance in hospital capital investment.  

UK PubMed Central (United Kingdom)

Many not-for-profit hospitals hold large portfolios of financial investments, making them vulnerable to fluctuations in market performance. This article examines the association of bond and equity market performance with investment in property, plant, and equipment by 194 not-for-profit general hospitals in California over the period 1997 to 2006. The study combines retrospective panel data from the California Office of Statewide Health Planning and Development with year-end returns on the S&P 500 and ten-year US Treasury bonds. Using fixed-effects regression, we find a significant positive association between S&P 500 performance and hospitals' capital investment; investment is not correlated with ten-year Treasury bond performance.

Reiter KL; Song PH

2011-01-01

 
 
 
 
341

Financial Market Discipline in Early 20th Century Mexico  

UK PubMed Central (United Kingdom)

We test for the presence of market discipline in the banking sector in early 20th century Mexico. Using a panel of financial data from note-issuing banks between 1905 and 1910, we examine whether bank fundamentals influenced the pattern of withdrawals. When we do not control for exit, our estimation suggests that fundamentals were not a significant determinant of depositor behavior. Instead, bank specific fixed effects and systemic risk seem to have been the most important determinants of net changes in deposits. However this period included the banking crisis of 1907, and the subsequent exit of several banks, indicating that a sample selection bias may exist. Our results change substantially when we use a two step estimator to take this bias into account. We show that fundamentals were indeed an important determinant of bank withdrawals in this period, clearly indicating the existence of market discipline.

Centro De; Investigacin Econmica; Astrid Luce; Col Hroes De Padierna; Astrid Luce Jordan

342

What happens to defined contribution accounts when labor markets and financial markets move together?  

UK PubMed Central (United Kingdom)

The relationship among earnings, savings, and retirement is well known; however, the linkage between labor market outcomes and financial market performance is generally unacknowledged. We examine the implications of the link between labor markets and financial markets for workers who save money in individual retirement accounts. Specifically, differences in labor market outcomes across groups may imply differences in the timing of investments, which may reduce savings over time for these groups compared to their counterparts. Using monthly data from the Current Population Survey (1979-2002), we generate hypothetical investment portfolios using stock and bond indices. We exploit differences across demographic groups in unemployment and wage growth and use these differences to examine each group's investment outcomes. We then disaggregate the total effects into short-term and long-term components. We find some evidence of short-term market timing effects on investment, but we find much larger long-term effects for some groups. Our findings suggest that, for many people, the retirement savings losses associated with the timing of markets are similar to the costs of annuitizing savings upon retirement. The differences are especially pronounced by education and gender.

Weller CE; Wenger JB

2009-07-01

343

What happens to defined contribution accounts when labor markets and financial markets move together?  

Science.gov (United States)

The relationship among earnings, savings, and retirement is well known; however, the linkage between labor market outcomes and financial market performance is generally unacknowledged. We examine the implications of the link between labor markets and financial markets for workers who save money in individual retirement accounts. Specifically, differences in labor market outcomes across groups may imply differences in the timing of investments, which may reduce savings over time for these groups compared to their counterparts. Using monthly data from the Current Population Survey (1979-2002), we generate hypothetical investment portfolios using stock and bond indices. We exploit differences across demographic groups in unemployment and wage growth and use these differences to examine each group's investment outcomes. We then disaggregate the total effects into short-term and long-term components. We find some evidence of short-term market timing effects on investment, but we find much larger long-term effects for some groups. Our findings suggest that, for many people, the retirement savings losses associated with the timing of markets are similar to the costs of annuitizing savings upon retirement. The differences are especially pronounced by education and gender. PMID:19806931

Weller, Christian E; Wenger, Jeffrey B

344

Forecasting Financial Market Annual Performance Measures: Further Evidence  

Directory of Open Access Journals (Sweden)

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.

Edward J. Lusk; Michael Halperin; Atanas Tetikov; Niya Stefanova

2010-01-01

345

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 classi...

Mengchun Ding; Hongxin Li

346

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.

2009-08-30

347

Alternate entropy measure for assessing volatility in financial markets.  

UK PubMed Central (United Kingdom)

We propose two alternate information theoretical approaches to assess non-Gaussian fluctuations in the return dynamics of financial markets. Specifically, we use superinformation, which is a measure of the disorder of the entropy of time series. We argue on theoretical grounds on its usefulness and show that it can be applied effectively for analyzing returns. A study of stock market data for over five years has been carried out using this approach. We show how superinformation helps to identify and classify important signals in the time series. The financial crisis of 2008 comes out very clearly in the superinformation plots. In addition, we introduce the super mutual information. Distinct super mutual information signatures are observed that might be used to mitigate idiosyncratic risk. The universality of our approach has been tested by carrying out the analysis for the 100 stocks listed in S&P100 index. The average superinformation values for the S&P100 stocks correlates very well with the VIX.

Bose R; Hamacher K

2012-11-01

348

Alternate entropy measure for assessing volatility in financial markets  

Science.gov (United States)

We propose two alternate information theoretical approaches to assess non-Gaussian fluctuations in the return dynamics of financial markets. Specifically, we use superinformation, which is a measure of the disorder of the entropy of time series. We argue on theoretical grounds on its usefulness and show that it can be applied effectively for analyzing returns. A study of stock market data for over five years has been carried out using this approach. We show how superinformation helps to identify and classify important signals in the time series. The financial crisis of 2008 comes out very clearly in the superinformation plots. In addition, we introduce the super mutual information. Distinct super mutual information signatures are observed that might be used to mitigate idiosyncratic risk. The universality of our approach has been tested by carrying out the analysis for the 100 stocks listed in S&P100 index. The average superinformation values for the S&P100 stocks correlates very well with the VIX.

Bose, Ranjan; Hamacher, Kay

2012-11-01

349

Evidence of market manipulation in the financial crisis  

CERN Multimedia

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...

Misra, Vedant; Bar-Yam, Yaneer

2011-01-01

350

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

Science.gov (United States)

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.

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

2006-03-01

351

Coupled effects of market impact and asymmetric sensitivity in financial markets  

Science.gov (United States)

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.

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

2013-05-01

352

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

Directory of Open Access Journals (Sweden)

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).

Abbas Ataheryan; Masoumeh Sadat Abtahi; Ahmad Rahchamani

2013-01-01

353

CREATING OPTIMAL PORTFOLIO SECURITIES ON MODERN FINANCIAL MARKETS  

Directory of Open Access Journals (Sweden)

Full Text Available Creating the optimal portfolio ofsecurities on modern financial markets is leading inthe modern theory and practice of investment insecurities. The paper analyzes the extent and valueof trading securities on the Belgrade StockExchange during the period from 31 October 2005to 31 October 2010, as well as movement of thecorresponding stock index during that period.Furthermore, the paper elaborates theoretical andempirical analysis of quantitative choice of theinvestor’s optimal portfolio of securities withsecurity preference in case of the Republika Srpskacapital markets. Based on the analysis of selectionof the investor’s optimal portfolio of securities withsecurity preference are Roy’s model, Kataoka’s andTelser's model.The bases for the analysis ofselection of the investor’s optimal portfolio ofsecurities with security preference are elaboratedby means of the mathematical analysis of the Roy’smodel, Kataoka’s model and Telser's model ofcapital market of the Republika Srpska.Interpretation of the results can serve as a basis forprofessional and scientific discussion on theinvestor’s optimal portfolio of securities withsecurity preference.

Dragan Milovanovi?

2011-01-01

354

Pre & Post-Recession Stock Markets Integration: Some Empirical Evidence  

Directory of Open Access Journals (Sweden)

Full Text Available The financial markets across globe have become distinctly integrated owing to liberalization and globalsiationpolicy as well as advancement of information technology. The contagion effect of macroeconomic disturbancesor financial crisis, internally and externally, is rapidly disseminating across various economies. The recent globalrecession of 2007-09 started with US subprime crises and subsequently followed by Lehman brother crisisaffected all most all major economies of the world. In this contenxt, the present paper explores the stock marketintegration of leading stock exchanges across various countries during pre and post economic crisis of 2007-09.Thus for empirical analysis, it uses the data since 2004-2012. It attempts to find out the breaks point, if any, inthe pattern of stock price movements endogenously. Further efforts have also been made to examine changingpattern of relationship among stock prices using bivariate and multivariate cointegration techniques. The studysuggests that although stock markets are integrated globally, the integration is very weak. This proposes thatstock prices as well as returns are not strongly interrelated across markets. The Granger casualty results alsoprovides mixed evidences, although some changes are noticed about the causality between stock prices frompre-recession to post recession period in Chinese stock markets.

Purna Chandra Padhan; K. S. Sujit

2013-01-01

355

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

Directory of Open Access Journals (Sweden)

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.

Moatemri Ouarda; Abdelfatteh el Bouri; Olivero Bernard

2013-01-01

356

Integrating historical clinical and financial data for pharmacological research  

Directory of Open Access Journals (Sweden)

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.

Deshmukh Vikrant G; Sower N Brett; Hunter Cheri Y; Mitchell Joyce A

2011-01-01

357

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

Directory of Open Access Journals (Sweden)

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...

Sabine Dörry

2011-01-01

358

Integrating gas and electric markets and regulation  

Energy Technology Data Exchange (ETDEWEB)

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.

Whitmore, C.S. [Federal Energy Regulatory Commission, Washington, DC (United States)

1998-09-01

359

Municipal solar utilities in California: marketing, financial and legal issues  

Energy Technology Data Exchange (ETDEWEB)

A Municipal Solar Utility, a municipal-level organization, designed to promote the use of solar technologies within the local marketplace is discussed. Over the past 14 months, the cities of Bakersfield, Oceanside, Palo Alto, San Dimas, Santa Monica and Ukiah have worked on implementation plans to develop MSUs for their respective communities. An analysis of specific marketing, financial, and legal issues associated with the development of Municipal Solar Utilities is presented. Three service delivery packages are analyzed: (1) full service or direct model; (2) low-interest loan; and (3) facilitation or brokerage model. These models represent a variety of potential organizational and program initiatives ranging from consumer education, capitalization and financing methods, to consumer protection from liabilities of owning, installing, and leasing solar equipment. The feasibility of local-level Municipal Solar Utility programs is demonstrated and the capability of communities to successfully initiate total energy programs is addressed.

Sanger, J.M.; Epstein, P.B.

1980-12-01

360

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.

2007-01-01

 
 
 
 
361

Is oil supply choked by financial market pressures?  

Energy Technology Data Exchange (ETDEWEB)

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. (author)

Osmundsen, P.; Mohn, K.; Misund, B.; Asche, F. [University of Stavanger (Norway). Department of Industrial Economics

2007-01-15

362

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. (author)

2007-01-01

363

Data Mining for Customer Segmentation in Personal Financial Market  

Science.gov (United States)

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.

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

364

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

Directory of Open Access Journals (Sweden)

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.

Lillian Kamal

2011-01-01

365

Bank-Based or Market-Based Financial Systems: Which is Better?  

UK PubMed Central (United Kingdom)

For over a century, economists and policy makers have debated the relative merits of bank-based versus market-based financial systems. Recently, however, proponents of the legal-based view of financial development have argued that the century long debate concerning bank-based versus market-based financial systems is analytically vacuous. According to this view, the critical issue is establishing a legal environment in which both banks and markets can operate effectively. This paper represents the first broad, cross-country examination of which view of financial structure and economic growth is most consistent with the data.

Ross Levine

366

Marketing Need-Based Financial Aid Programs: An Institutional Case Study  

Science.gov (United States)

Colleges and universities represent one of the most utilized sources of need-based financial aid information for students and families, and yet most research in access marketing is focused at the national and state levels. There is sparse published information about the effects of financial aid marketing observed through quantitative analysis, in…

Knight, Mary Beth

2010-01-01

367

Sovereign rating news and financial markets spillovers: Evidence from the European debt crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign a...

Arezki, Rabah; Candelon, Bertrand; Sy, Amadou

368

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

Science.gov (United States)

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…

Ford, Matthew W.; Kent, Daniel W.

2010-01-01

369

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.

2012-01-01

370

Fractional Langevin model of memory in financial markets.  

UK PubMed Central (United Kingdom)

The separation of the microscopic and macroscopic time scales is necessary for the validity of ordinary statistical physics and the dynamical description embodied in the Langevin equation. When the microscopic time scale diverges, the differential equations on the macroscopic level are no longer valid and must be replaced with fractional differential equations of motion; in particular, we obtain a fractional-differential stochastic equation of motion. After decades of statistical analysis of financial time series certain "stylized facts" have emerged, including the statistics of stock price fluctuations having "fat tails" and their linear correlations in time being exceedingly short lived. On the other hand, the magnitude of these fluctuations and other such measures of market volatility possess temporal correlations that decay as an inverse power law. One explanation of this long-term memory is that it is a consequence of the time-scale separation between "microscopic" and "macroscopic" economic variables. We propose a fractional Langevin equation as a dynamical model of the observed memory in financial time series.

Picozzi S; West BJ

2002-10-01

371

Fractional Langevin model of memory in financial markets.  

Science.gov (United States)

The separation of the microscopic and macroscopic time scales is necessary for the validity of ordinary statistical physics and the dynamical description embodied in the Langevin equation. When the microscopic time scale diverges, the differential equations on the macroscopic level are no longer valid and must be replaced with fractional differential equations of motion; in particular, we obtain a fractional-differential stochastic equation of motion. After decades of statistical analysis of financial time series certain "stylized facts" have emerged, including the statistics of stock price fluctuations having "fat tails" and their linear correlations in time being exceedingly short lived. On the other hand, the magnitude of these fluctuations and other such measures of market volatility possess temporal correlations that decay as an inverse power law. One explanation of this long-term memory is that it is a consequence of the time-scale separation between "microscopic" and "macroscopic" economic variables. We propose a fractional Langevin equation as a dynamical model of the observed memory in financial time series. PMID:12443270

Picozzi, Sergio; West, Bruce J

2002-10-15

372

The Local Fractal Properties of the Financial Time Series on the Polish Stock Exchange Market  

CERN Multimedia

We investigate the local fractal properties of the financial time series based on the evolution of the Warsaw Stock Exchange Index (WIG) connected with the largest developing financial market in Europe. Calculating the local Hurst exponent for the WIG time series we find an interesting dependence between the behavior of the local fractal properties of the WIG time series and the crashes appearance on the financial market.

Grech, D

2007-01-01

373

The Euro Area Financial  

UK PubMed Central (United Kingdom)

Four years after the introduction of the euro, this paper provides an overview of the current structure andintegration of the euro area financial systems and related policy initiatives. We first compare the euro area financialstructure with that of the United States and Japan. Using new and comprehensive financial account data, we alsodescribe how the euro area financial structure evolved since 1995. We document the progress towards integration ofthe major euro area financial segments, namely money markets, bond markets, equity markets and banking. Finally,we discuss recent policy initiatives aimed at further improving European financial integration.

Angela Maddaloni And; Simone Manganelli; Angela Maddaloni

374

Flow of Funds Modeling for Localized Financial Markets: An Application of Spatial Price and Allocation Activity Analysis Models.  

Science.gov (United States)

A comprehensive examination of recent and proposed institutional and regulatory changes impacting local financial markets and a summary of the most important applications of mathematical programming to individual financial intermediaries and financial mar...

J. A. Hoskins

1981-01-01

375

Reforms in the Greek pharmaceutical market during the financial crisis.  

UK PubMed Central (United Kingdom)

INTRODUCTION: Following the financial crisis of 2008, Greece has been facing severe fiscal problems associated with high public debt and deficit. Given their significant contribution to public sector expenditure, part of the effort to reduce public expenditure has involved a focus on pharmaceutical markets. METHODS: Our aim is to provide an overview of recent policy changes in the Greek pharmaceutical market as a response to the crisis. We also discuss other potential measures that can be implemented. The recommendations are relevant to European countries facing debt crises, but also to any other country, as improving efficiency makes funds available to be used on other interventions. RESULTS: In 2010 and 2011, following the debt crisis and the agreement with the IMF, EU and ECB, the Greek government introduced several policy measures aimed at cost-containment. These changes included (a) price cuts, (b) the re-introduction of a positive list, (c) changes in the profit margins of pharmacies and wholesalers, and (d) tenders for hospital drugs. As a result, public drug expenditure decreased from €5.09 billion in 2009 to €4.25 billion in 2010 and €4.10 billion in 2011. CONCLUSION: As the need to cut expenditure becomes more urgent, seeking efficiency is possibly the only option for countries that do not wish to compromise quality of healthcare and public health. However, efficiency and cost containment are not only about introducing new policies, but also about the enforcement of existing laws and fighting corruption.

Vandoros S; Stargardt T

2013-01-01

376

The endogenous dynamics of financial markets: Interaction and information dissemination  

Science.gov (United States)

We investigate the process that different interactions between investors will prompt information to propagate along a differentiated path and construct a financial market model. As information spreads, increasingly investors are attracted to participate in trading, then the "herding effect" is magnified gradually, which will induce the topology of market network to change and the price to fluctuate. Especially, under different initial conditions or parameters, the peak and fat-tail property is produced and the obtained statistic values coincide with empirical results: the power-law exponents between the peak value of return probability distribution and the time scales range from 0.579 to 0.747, and the exponents between the accumulation distribution and the return on the tail are close to 3. Besides, the extent of volatility clustering in our produced price series is close to that of S&P 500 and locates between NASDAQ and HSI. All the results obtained here indicate that the continuous variation of the "herding effect" resulting from information propagation among interacting investors may be the origin of stylized facts of price fluctuations.

Yang, ChunXia; Hu, Sen; Xia, BingYing

2012-06-01

377

Asymptotic Arbitrage in Non-Complete Large Financial Markets  

UK PubMed Central (United Kingdom)

Kabanov and Kramkov introduced the notion of "large financial markets".Instead of considering--as usual in mathematical finance--a stochastic stock price processS based on a filtered probabilityspace(Omega; F ; (F t ) t2I ; P) one considers a sequence(Sn) n1 of such processes based on asequence(Omegan; Fn; (Fnt ) t2I n ; Pn) n1 of filteredprobability spaces. The interpretation is that an investor can invest not only in onestock exchange but in several (in the model countably many) stock exchanges.The usual notion of arbitrage then may be interpreted by "asymptotic" arbitrageconcepts, where it is essential to distinguish between two different kinds introducedby Kabanov and Kramkov. If for each n 2 N the market is complete i.e., there isexactly one local martingale measure Qnfor the process Snon Fnwhich is equivalentto Pn, then Kabanov and Kramkov showed that contiguity of (Pn) n1 with respect to(Qn) n1 (respectively vice ver...

Irene Klein; Walter Schachermayer

378

Corruption of pharmaceutical markets: addressing the misalignment of financial incentives and public health.  

Science.gov (United States)

This paper explains how the current architecture of the pharmaceutical markets has created a misalignment of financial incentives and public health that is a central cause of harmful practices. It explores three possible solutions to address that misalignment: taxes, increased financial penalties, and drug pricing based on value. Each proposal could help to partly realign financial incentives and public health. However, because of the limits of each proposal, there is no easy solution to fixing the problem of financial incentives. PMID:24088147

Gagnon, Marc-André

2013-09-01

379

Corruption of pharmaceutical markets: addressing the misalignment of financial incentives and public health.  

UK PubMed Central (United Kingdom)

This paper explains how the current architecture of the pharmaceutical markets has created a misalignment of financial incentives and public health that is a central cause of harmful practices. It explores three possible solutions to address that misalignment: taxes, increased financial penalties, and drug pricing based on value. Each proposal could help to partly realign financial incentives and public health. However, because of the limits of each proposal, there is no easy solution to fixing the problem of financial incentives.

Gagnon MA

2013-09-01

380

The impact of financial market imperfections on trade and capital flows  

Scientific Electronic Library Online (English)

Full Text Available Abstract in english 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 (more) countries with more robust financial institutions which in turn allow their economies to develop sectors that are financially dependent.

Bougheas, Spiros; Falvey, Rod

2009-01-01

 
 
 
 
381

Integrating financial thinking with strategic planning to achieve competitive success  

Energy Technology Data Exchange (ETDEWEB)

Competition is imposing a general shift in financial thinking. Utility executives today should understand that financial derivatives are only one tool in their financial toolkit. The real benefits of this shift in financial thinking are at the strategic level, aligning utility capital needs with business strategy. The restructuring of the electric industry - more precisely, the restructuring of public policy regulating the industry - is leading and will continue to lead to dramatic changes in how the industry, particularly electric utilities, does business. These fundamental changes will dramatically alter, if not completely overhaul, the way utilities think about finance. The use of financial instruments - futures, forwards, options, and other derivatives - is correctly perceived as a new line of business enabling utilities to help their customers adjust to the greater volatility in electricity prices that is likely to occur with greater competition. In addition, such risk management is a means by which utilities can hedge their own fuel price risks, again to benefit customers. This article addresses two strategic aspects of risk management to demonstrate how modern financial techniques, combined with the development of electricity markets, will enable utilities to implement their strategic visions.

Felder, F.A. [Economics Resource Group, Inc., Cambridge, MA (United States)

1996-05-01

382

Product Market Integration, Comparative Advantages and Labour Market Performance  

DEFF Research Database (Denmark)

In this paper, we set up a two-country general equilibrium modelwhere trade unions have wage bargaining power. We show that adecrease in trade distortions inducing further product market integrationgives rise to specialization gains as well as a labour market reformeffect. The implications of the specialization gains are similar to anincrease in labour productivity, whereas the labour market reform effectis similar to an increase in the degree of competition in the labourmarket. Wages, employment and welfare increase as a result of furtherproduct market integration. It is interesting to note that the labourmarket reform effect of product market integration is achieved despitean increase in the wage level.JEL Classification: F15, J30, J50.Keywords: Trade frictions, wage formation, employment, welfaregains.

Andersen, Torben M.; Rose Skaksen, Jan

2004-01-01

383

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

Directory of Open Access Journals (Sweden)

Full Text Available 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 according to statistics.

Leonardo BADEA

2012-01-01

384

Product market integration, rents and wage inequality  

DEFF Research Database (Denmark)

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 integration reaches a certain level at which a trade-off arises.

Andersen, Torben M.; SØrensen, Allan

2010-01-01

385

Over-the-Counter Derivatives Markets and the Commodity Exchange Act: Report of the President's Working Group on Financial Markets.  

Science.gov (United States)

Last year, Congress indicated that the Presidents Working Group on Financial Markets (the Working Group) Should work to develop policy with respect to over-the-counter (OTC) derivative instruments, and the Chairmen of the Senate and House Agriculture Comm...

1999-01-01

386

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

Directory of Open Access Journals (Sweden)

Full Text Available This paper explores the financial linkages between the Romanian stock marketand the exchange market in the context of the global crisis. We investigate suchrelations for two periods of time: one from January 2006 to February 2008,when the Romanian financial markets were quite tranquil and the other fromMarch 2008 to September 2009, while the global crisis effects wereconsiderable for Romania. For the first period of time we could not provesignificant relations between the foreign exchange market and the stock market.Instead, for the second period of time we found a unidirectional causality fromthe exchange rates to the stock prices.

Razvan STEFANESCU; Ramona DUMITRIU

2009-01-01

387

Key Financials Performance Independent versus Integrated: Empirical Evidence from Indonesia Financial Service Industry (2001-2011)  

Directory of Open Access Journals (Sweden)

Full Text Available 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 automotive manufacturers and dealers that provide the products of financing, have the similar strategy. The acquisition of finance companies has reached more than 30 transactions from 2002 until 2012. We analyzed seven micro key financial ratios (profitability, efficiency, growth, firm size, liquidity, solvability and risk). We use non parametric Mann Whitney and parametric Panel Data Dummy Regression. Our sample consists of 100 finance companies which continuously published their financial statement from 2001 until 2011. The empirical results show that the integrated finance companies are better in efficiency, profitability, size and growth. However, the integrated finance company has higher reserve policy and lower liquidity. On the other side, we also compare between the backward integration with bank and the forward integration with automotive manufacturer.

Suwinto Johan; Hermanto Siregar; Tubagus Nur Ahmad Maulana; Perdana Wahyu Santosa

2012-01-01

388

Relationship and Transactional Marketing Integration Aspects  

Directory of Open Access Journals (Sweden)

Full Text Available There is no consensus among marketing scholars andpractitioners regarding transactional and relationshipmarketing differences and correlations. Coviello, Brodieand Munro (1997) have sought to understand the natureof these phenomena and suggested an integrated approachtowards a variety of marketing types. They createda classified scheme based on Europe and the USmarketing schools‘ ideas’. By synthesizing various conceptualmarketing approaches the scholars defined twomain marketing perspectives (transactional and relationship)that incorporate four marketing types (transactional,database, interaction, and network). However thisclassification lack empirical evidence as very little researchhas been conducted to test it.The present research is aimed to assess the relationshipamong these marketing types and their correlationwith organization’s performance success in IT market.The survey questionnaire was designed using Coviello etal. (1997) suggested scheme that encompass nine dimensions:purpose of relational exchange, pattern of communication,type of customer contact, the level of relationships‘formality, duration of relationship exchange,managerial intent, managerial planning focus, andmanagerial resource investment.The research results indicated that all four marketingtypes (transactional, database, interaction, network) arepracticed in IT market at different levels. The most developedmarketing types are interaction marketing (8.19)and database marketing (7.33). Transactional marketing(6.38) and network (6.65) marketing are practiced less.The relationships between different marketing types weremeasured using correlation analysis. The results of thisanalysis indicate no statistically significant correlationsbetween transactional marketing and relationship marketing.These findings imply that relationship marketingpractice development does not cause the decrease oftransactional marketing elements. Statistically significantmedium correlation was found between database marketingand interaction marketing (r=0.786, p<0.01). Nostatistically significant correlation was found betweendatabase and transactional marketing ((p?0.05). Strongcorrelation between database marketing and interactionmarketing types confirm the theory that database marketingemployment creates better conditions for effectiveone-to-one communication which is the essence of interactionmarketing. These findings lead to conclusion thatdatabase marketing belongs to relationship marketing orientation. The strong correlation between interactionand network marketing are consistent with Ford,Hakansson and Johanson (1986) findings that dyadicrelationships emerging in transactional marketing arenetwork marketing micro level phenomenon.The research data comply with Coviello (1996) theoryabout relationship marketing that claims that relationshipmarketing incorporates different marketingtypes. The research findings also indicated that there isno correlation between different marketing types andorganizations‘ performance success. On the other hand, astrong relationship was found between database marketingand customer retention. These findings suggest thatorganizations with more developed level of databasemarketing demonstrate better customer retention level.

Vilt? Auruškevi?ien?; Rita Kuvykait?; Vida Škudien?

2007-01-01

389

The co-integration of European stock markets after the launch of the euro  

Directory of Open Access Journals (Sweden)

Full Text Available This article studies the international integration of the national stock markets of sixteen European countries. The international financial market is represented by two indices: a European index and a World index. The methodology of co-integration, used in this article, is the proper econometrical solution for the treatment of non-stationary series as those used in the present research. Complementarily, co-integration offers the possibility of distinguishing the long-term and the short-term interdependence, which very important when the variables are financial market indices. The empirical tests in this research have shown that both European and non European international factors are necessary to explain the international integration of the national stock markets under analysis. .

da Soares Fonseca José

2008-01-01

390

CLOSE RELATIONS ON THE FINANCIAL MARKETS AND IRREDUCIBLE UNSTABLE ECONOMIC PERFORMANCES  

Directory of Open Access Journals (Sweden)

Full Text Available The evolution of the market development of any kind registered an overlapping and conditioning of financial markets and economic performances, reinforcing, after the 80’s, the connections between the financial system and industrial economy in relation to the age of conglomerates. Although the financial system uses its assumed functions of not being responsible for the cyclic instability of the economies, which has a negative influence over the average rate of economic growth over long periods, macroeconomic analyses reflect the financial origins of cyclic instability.

Madalina Antoaneta RADOI; Alexandru OLTEANU

2011-01-01

391

Market Evaluation for Advanced Integrated Appliances.  

Science.gov (United States)

Attitudes of homebuilders, appliance manufacturers, and appliance distributors, as well as existing consumer data were surveyed to assess the market constraints to introducing potentially space efficient and energy saving integrated residential gas applia...

M. Novil

1985-01-01

392

Financial regulation, integration and synchronization of economic activity  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We investigate the effect of financial integration on the degree of international business cycle synchronization. For identfication, we use a confidential database on banks' bilateral exposure over the past three decades and employ a novel bilateral country-pair panel instrumental vari- ables approa...

Kalemli-Özcan, Sebnem; Papaioannou, Elias; Peydró, José-Luis

393

Preconditions for creation and use of innovative financial instruments in Ukraine’s derivatives market  

Directory of Open Access Journals (Sweden)

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.

I.M. Burdenko

2012-01-01

394

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

CERN Document Server

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.

Cuniberti, G

2001-01-01

395

Inside financial conglomerates: Effects in the Hungarian pension fund markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

Financial conglomerates have evolved in many countries with a developed financial system, their presence and impact are however quite diverse in these economies. Since this phenomenon raises interesting questions about the stability and efficiency of the financial system as well, it is worth examini...

Szüle, Borbála

396

Diagnosis and prediction of rebounds in financial markets  

Science.gov (United States)

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.

Yan, Wanfeng; Woodard, Ryan; Sornette, Didier

2012-02-01

397

Financial Markets Regulation: Financial Crisis Highlights Need to Improve Oversight of Leverage at Financial Institutions and Across System.  

Science.gov (United States)

The Emergency Economic Stabilization Act directed GAO to study the role of leverage in the current financial crisis and federal oversight of leverage. GAO's objectives were to review (1) how leveraging and deleveraging by financial institutions may have c...

2009-01-01

398

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

Directory of Open Access Journals (Sweden)

Full Text Available 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 to 2010 are taken for analysis and hypothesis test. There are only five products traded including three types of bonds. The average growth rate of market capitalization of common stocks, treasury bonds, mutual funds, corporate bonds & debentures are 71.02%, 124.74%, 99.85% and 105.41% respectively. The growth of market capitalization of all products is high. There is lot of scope in the market for absorbing the new products. The share of common stocks, treasury bond, corporate bond, debentures, mutual funds to total market capitalizations are 87.73%, 12.25%, 0.24%,0.17% and  0.83% respectively. The market is common stock based. The corporate bond market is very small. So, there should be increased new financial instruments in the capital market to reduce the dependency on share only. The proposed financial instruments are various types of preferred stock, bond, SWAP, option, futures, and forwards as recommendation.

Mohammad Shahidul Islam; Shama Jahan

2012-01-01

399

Integrating worldwide marketing needs and clinical research.  

UK PubMed Central (United Kingdom)

In this era of globalization, expanding research needs, and the necessity of sharing global technologies and worldwide data evaluation techniques, a challenging environment has been created for multinational drug development, clinical testing, and marketing. Integrating worldwide marketing needs and clinical research will become even more significant in the future as harmonization of pharmaceutical industry research and regulatory requirements increase with the unification of the European Economic Community. Marketing and research teams within a pharmaceutical company must work closely together to make the drug being developed appropriate to a global market.

Kaniecki DJ; Arnold RJ

1993-10-01

400

Theoretical Aspects of the Formation of Financial Solutions in the Current Market Environment ????????????? ??????? ???????????? ?????????? ??????? ? ??????????? ???????? ?????  

Directory of Open Access Journals (Sweden)

Full Text Available In the article reasons of necessity of forming of financial decisions of management subjects at the different levels of the financial state are considered. Description of levels of the financial states, which will allow to define strategic aims in the financial states and trajectory of orientation on the maintainance of all of computer-integrated production potential is resulted. The theoretical aspects of forming of financial decisions in the system managements, which will be basis for achievement of desirable results at planning of financially-economic activity, choice of strategic alternatives of development of enterprise, providing of positive results are grounded.? ?????? ??????????? ??????? ????????????? ???????????? ?????????? ??????? ????????? ?????????????? ??? ?????? ??????? ??????????? ?????????. ????????? ?????????????? ??????? ?????????? ?????????, ??????? ????????? ?????????? ?????????????? ???? ? ?????????? ?????????? ? ?????????? ?????????????? ?? ?????????? ????? ???????????????? ????????????????? ??????????. ?????????? ????????????? ??????? ???????????? ?????????? ??????? ? ??????? ??????????, ??????? ????? ??????? ??? ?????????? ??????????? ??????????? ??? ???????????? ?????????-????????????? ????????????, ?????? ?????????????? ??????????? ???????? ??????????? ? ??????????? ????????????? ???????????.

Petrenko Marina V.

2013-01-01

 
 
 
 
401

Financial Distress Prediction in Emerging Market: Empirical Evidences from Iran  

Directory of Open Access Journals (Sweden)

Full Text Available 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, contained 30 companies which have financial distress. The presented model was according to five the ratios, namely; ratios indicate liquidity, profitability, managing of debt and managing of property. The statistical results of the model indicate the validity of that model and the selected ratios. The results of the test of the ability of model prediction indicate the reality that the model designed four years before financial distress in companies; present a correct prediction about the financial distress.

Mahdi Salehi; Bizhan Abedini

2009-01-01

402

An Investigation of the Integrity of Internet Financial Reporting  

Directory of Open Access Journals (Sweden)

Full Text Available 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 procedures. Using a sample of 100 large European companies, a questionnaire survey was used to identify whether or not governance procedures that specifically address the distinguishing features of web-based financial reporting are used by large companies. The results confirm the trend identified in prior research of increasing Internet usage to replicate paper-based financial information. Responses to the questionnaire also suggest that concerns about the integrity of IFR are justified. Erroneous assumptions and assertions by respondents regarding the security of IFR, in addition to knowledge of work undertaken by external auditors indicate limited engagement with IFR by management of large European companies. The conclusion of this study is that the governance framework surrounding IFR has received insufficient managerial attention.

Barry Smith; Aileen Pierce

2005-01-01

403

Financial Institution’s Media Strategy : With respect to the Swedish financial market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 o...

Johansson, Markus; Arvidsson, Ola; Zerihoun, John

404

Cointegration of Major Stock Market Indices during the 2008 Global Financial Distress  

Directory of Open Access Journals (Sweden)

Full Text Available This paper investigates the cointegration properties of major capital markets indices during the September, 2008 / August, 2009 episode of the financial and banking crises originated in U.S markets. Based on daily closing prices of international stock markets indices, the analysis shows that three set of indices of economies (OECD group, Pacific group and Asia group) have at least one cointegrating vector. Contrary to former studies that concluded on the independencies of Asian markets, this paper reveals that during the deeper financial crisis period, Asian major markets indices were cointegrated. This finding suggests that local investors in Asian capital markets cannot avoid any influence from outside capital markets even if some local markets are still entirely not opened to international investors.

Komlavi Elubueni Assidenou

2011-01-01

405

Contagion among Central and Eastern European stock markets during the financial crisis.  

Czech Academy of Sciences Publication Activity Database

contagionKód oboru RIV: AH - EkonomieImpakt faktor: 0.340, rok: 2012 http://library.utia.cas.cz/separaty/2013/E/barunik-contagion among central and eastern european stock markets during the financial crisis.pdf

Baruník, JozefG; Vácha, Lukáš

406

Methodological Analysis of Gregarious Behaviour of Agents in the Financial Markets ???????????????? ?????? ???????? ????????? ??????? ?? ?????????? ??????  

Directory of Open Access Journals (Sweden)

Full Text Available The article considers methodological approaches to analysis of gregarious behaviour of agents in the financial markets and also studies foundations of the agent modelling of decision making processes with consideration of the gregarious instinct.? ?????? ??????????? ???????????????? ??????? ? ??????? ???????? ????????? ??????? ?? ?????????? ??????, ? ????? ??????????? ?????? ????????? ????????????? ????????? ???????? ??????? ? ?????? ?????????.

Solodukhin Stanislav V.

2013-01-01

407

Financial Market Preparedness. Improvements Made, but More Action Needed to Prepare for Wide-Scale Disasters.  

Science.gov (United States)

In February 2003 reports, GAO identified actions needed to better prepare critical financial market participants for wide-scale disasters, such as terrorist attacks. To determine progress made since then, GAO assessed (1) actions that critical securities ...

2004-01-01

408

Indirect Estimation of the Parameters of Agent Based Models of Financial Markets  

UK PubMed Central (United Kingdom)

Agent based models take into account limited rational behaviour ofindividuals acting on financial markets. Explicit simulation of this behaviourand the resulting interaction of individuals provide a descriptionof aggregate financial market time series. Although the outcomes of suchsimulations often exhibit similarities with real financial market time series,methods for explicit validation are required. This paper proposes validationusing simulation based indirect estimation. It uses typical characteristicmoments of financial market data to assess the similarity of simulationoutcomes. Furthermore, the parameters of the agent based models canbe estimated by maximizing this similarity. The paper presents detailsof this estimation approach and first results for the US--$/DM exchangerate.Keywords: Agent Based Models, Indirect Estimation, Validation.JEL codes: G12, D831

Manfred Gilli

409

Bayesian vector auto-regression model with Laplace errors applied to financial market data.  

Czech Academy of Sciences Publication Activity Database

parameter estimationKód oboru RIV: BB - Aplikovaná statistika, opera?ní výzkum http://library.utia.cas.cz/separaty/2010/AS/sindelar-bayesian vector auto-regression model with laplace errors applied to financial market data.pdf

Šindelá?, JanG

410

Could the Stability and Growth Pact be Substituted by the Financial Markets?  

Directory of Open Access Journals (Sweden)

Full Text Available In the discussions on the need for fiscal rules and their usefulness in a monetary union, researchers have not agreed if financial markets have a sufficiently disciplining effect on governments, which would mean that the fiscal rules are not necessary. This paper investigates whether the European Union’s main fiscal rule, the Stability and Growth Pact, could be substituted by financial markets, taking into account the effects of the latest financial and economic crisis. The findings presented in this paper suggest that there is certain interaction between financial markets and governments' decisions on fiscal policies and that this reaction has become stronger after the beginning of the crisis. However, the institutional setup and market conditions in the European Union are such that this interaction is biased and thus the paper concludes that the Union needs to have fiscal rules.

Terezie Vyprachticka

2011-01-01

411

How Does the Financial Crisis Affect Volatility Behavior and Transmission Among European Stock Markets?  

Directory of Open Access Journals (Sweden)

Full Text Available The spread of the global financial crisis of 2008/2009 was rapid, and impacted the functioning and the performance of financial markets. Due to the importance of this phenomenon, this study aims to explain the impact of the crisis on stock market behavior and interdependence through the study of the intraday volatility transmission. This paper investigates the patterns of linkage dynamics among three European stock markets—France, Germany, and the UK—during the global financial crisis, by analyzing the intraday dynamics of linkages among these markets during both calm and turmoil phases. We apply a VAR-EGARCH (Vector Autoregressive Exponential General Autoregressive Conditional Heteroscedasticity) framework to high frequency five-minute intraday returns on selected representative stock indices. We find evidence that interrelationship among European markets increased substantially during the period of crisis, pointing to an amplification of spillovers. In addition, during this period, French and UK markets herded around German market, possibly explained by behavior factors influencing the stock markets on or near dates of extreme events. Germany was identified as the hub of financial and economic activity in Europe during the period of study. These findings have important implications for both policymakers and investors by contributing to better understanding the transmission of financial shocks in Europe.

Faten Ben Slimane; Mohamed Mehanaoui; Irfan Akbar Kazi

2013-01-01

412

Em-powering economics: Some thoughts on policy and financial markets  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This paper addresses the discussion between economic power and the power of politics with particular focus on financial markets. After general reflections about the economic basis of power, the paper discusses in a general equilibrium framework how financial innovations can lead to risk creation and...

Falkinger, Josef

413

Appraisal of The Effect of The Global Financial Meltdown on The Nigerian Money Market  

Digital Repository Infrastructure Vision for European Research (DRIVER)

This study looked at the effect of the global financial meltdown on the Nigerian money market. To start with, it identified the major problems associated with the Global financial crisis and its effects on the Nigeria economy. As the crisis affect trade and investment flows, the Nigerian mo...

Mayowa Gabriel AJAO; Babatunde Oshobuye FESTUS

414

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

Digital Repository Infrastructure Vision for European Research (DRIVER)

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 i...

Mohammad Shahidul Islam; Shama Jahan

415

The "Times's" Financial Markets Column in the Period around the 1929 Crash.  

Science.gov (United States)

|Analysis of the New York "Times's" financial column for the period October 13 to November 13, 1929, reveals that the column did not predict the stock market crash, that it was usually neutral in its financial analyses, and that it was more often optimistic than pessimistic in outlook. (FL)|

Bow, James

1980-01-01

416

The "Times's" Financial Markets Column in the Period around the 1929 Crash.  

Science.gov (United States)

Analysis of the New York "Times's" financial column for the period October 13 to November 13, 1929, reveals that the column did not predict the stock market crash, that it was usually neutral in its financial analyses, and that it was more often optimistic than pessimistic in outlook. (FL)

Bow, James

1980-01-01

417

Deregulation and the Structure of Rural Financial Markets. Rural Development Research Report Number 75.  

Science.gov (United States)

Changes in rural financial markets as affected by bank deregulation have a potential impact on rural educational finance, specifically, financial aid programs for students and schools. Banking legislation and regulation changes have aimed to strengthen the industry and to provide consumers with more services and more choices among providers.…

Milkove, Daniel L.; Sullivan, Patrick J.

418

Introductory aspects on financial derivatives market: ISDA master agreement dealing with legal risk?  

Directory of Open Access Journals (Sweden)

Full Text Available This article being the first of a serie of articles, treats the very general aspects of Financial Derivatives Market. Explains the division in Stock Excahnge and OTC Market. It is focused on the study of the main issues identified under the current financial crisis. Then, to explain the basic of the most commonly used derivatives transactions. To follow with the structure of the ISDA Master Agreement, its features regarding legal risk and the pending topics not covered.

Ligia Catherine Arias Barrera

2012-01-01

419

The Effect of Tick Size on Testing for Nonlinearity in Financial Markets Data  

Directory of Open Access Journals (Sweden)

Full Text Available The discrete nature of financial markets time-series data may prejudice the BDS and Close Returns test for nonlinearity. Our estimation results suggest that a tick/volatility ratio threshold exists, beyond which the test results are biased. Further, tick/volatility ratios that exceed these thresholds are frequently observed in financial markets data, which suggests that the results of the BDS and CR test must be interpreted with caution.

Heather Mitchell; Michael McKenzie

2011-01-01

420

Scaling of the distribution of fluctuations of financial market indices.  

UK PubMed Central (United Kingdom)

We study the distribution of fluctuations of the S&P 500 index over a time scale deltat by analyzing three distinct databases. Database (i) contains approximately 1 200 000 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 deltat, where deltat varies approximately over a factor of 10(4)-from 1 min up to more than one month. We find that the distributions for deltatfinancial market indices. Database (iv) contains 3560 daily records of the NIKKEI index for the 14-year period 1984-1997, and database (v) contains 4649 daily records of the Hang-Seng index for the 18-year period 1980-1997. We find estimates of alpha consistent with those describing the distribution of S&P 500 daily returns. One possible reason for the scaling of these distributions is the long persistence of the autocorrelation function of the volatility. For time scales longer than (deltat)x approximately 4 d, our results are consistent with a slow convergence to Gaussian behavior.

Gopikrishnan P; Plerou V; Nunes Amaral LA; Meyer M; Stanley HE

1999-11-01

 
 
 
 
421

Risks in China’s Financial Market for Derivatives at the Post- Sub-prime Mortgage Period and the Prevention  

Directory of Open Access Journals (Sweden)

Full Text Available Since the US sub-prime mortgage crisis, especially at the post-sub-prime mortgage crisis period, financial derivatives are always the focus of attentions. Frequently-happened astonishing events associated with financial derivatives trade trigger out people’s focuses and rethinking on big risks in financial market for derivatives. This paper tries to analyze the relationship between sub-prime mortgage crisis and risks in financial market for derivatives, advances risks in China’s financial market for derivatives at the post-sub-prime mortgage crisis period, and probe into the countermeasures for preventing risks of financial derivatives.

Mengchun Ding; Hongxin Li

2009-01-01

422

Transaction of the Derivated Financial Products on the Romanian Capital Market. Advantages and Risks  

Directory of Open Access Journals (Sweden)

Full Text Available The volatility and the uncertainty are extended in the global world, being favorised of the vast proportion of the internet and by the IT development. The volatility and the uncertainty are contributing to the apperance of the speculative movements that increase the posibilities of the price overestimation of some financial actives on the new markets. The overestimated and optimistic foretell on the flow of some stock exchange deeds, on the new markets, lead to the collapse of the flow and to the fast migration of the capital on the other markets, reason for which the economy of some countries or big areas could be destroied. Taking all this into account the development of the opperations with derivated financial instruments have offerd for the market participants bothe the posibility of hedging and a way of speculation. There are advantages and also disadvantages resulted from the derivated use. The derivated market, similar with the financial markets, either creates welfare, or destroies it, because provides a way to transfer the risk. The derivated help the financial markets to become more eficient and also offers better opportunities for the risk management. There is the posibility that the failure of some big transactions with derivates to lead at the appearance of a systemic risk that could spread inside the financial system.

Dalia Simion; Felicia Stancioiu; Iuliana Cetina

2007-01-01

423

Increasing Participation in Mainstream Financial Markets by Black Households.  

Science.gov (United States)

A survey of 194 black households in a Chicago neighborhood found that one in five did not use banks, 49% had credit cards, over 75% used alternative financial services (AFS), and many used informal financial networks. Nonbank and AFS users tended to be lower income, less educated, younger, and unmarried people. Consumer education and public policy…

Toussaint-Comeaut, Maude; Rhine, Sherrie L. W.

2002-01-01

424

The social construction of real estate market risk. The case of a financial investments cluster in Mexico City  

Directory of Open Access Journals (Sweden)

Full Text Available This article contributes to the study of the geographical concentration of financial investments in real estate markets. It demonstrates the social construction process at work in the evolution of real estate market risks. The objective is to highlight the conditions that allow or impede the implementation of ‘opportunistic’ and ‘conservative’ risk strategies. By analyzing the market entry of financial investors in the Cuautitlan industrial real estate market - an ‘emerging’ real estate market in Mexico City - this paper demonstrates that, due to the joint action of land developers, non-financial as well as financial real estate investors, this market moved from being ‘too risky’ to becoming an opportunistic market, and then a conservative one. There were two important phases in the transformation process. First, the contribution of land developers was fundamental to the transformation of the market from being too risky to being opportunistic from the perspective of financial investors. Two different types of land developers are evident: some are not willing to help financial investors’ entry in the market while others developed a business plan designed to facilitate financial investments. In the second phase of the market’s risks transformation, opportunistic financial investors enabled the conditions for the arrival of conservative financial investors, thanks to their presence in emerging markets and the diffusion of information.

Louise David

2012-01-01

425

Comparison of Bank-Oriented or Market-Oriented Financial System and Inspiration  

Directory of Open Access Journals (Sweden)

Full Text Available In order to get benefits from trade, financial system plays an important role. Without financial system, commodities are traded in spot market. Every family collects capitals by self resources. To collect capitals by the internal financing to build railways is just as the words said by Marx in Capital: “I am afraid of no railways till today.” In present economic system, financial system has two kinds of structures, namely the market-oriented one and the bank intermediary-oriented one. By comparing the two structures, we can get useful experiences for references.

Shumei Wang; Jingting Ma

2009-01-01

426

An Approach of Bio-inspired Hybrid Model for Financial Markets  

Science.gov (United States)

Biological systems are inspiration for the design of optimisation and classification models. Applying various forms of bio-inspired algorithms may be a very high-complex system. Modelling of financial markets is challenging for several reasons, because many plausible factors impact on it. An automated trading on financial market is not a new phenomenon. The model of bio-inspired hybrid adaptive trading system based on technical indicators usage by grammatical evolution and moving window is presented in this paper. The proposed system is just one of possible bio-inspired system which can be used in financial forecast, corporate failure prediction or bond rating company.

Simi?, Dragan; Gaji?, Vladeta; Simi?, Svetlana

427

Impulse Response Functions and Causality Test of Financial Stress and Stock Market Risk Premiums  

Directory of Open Access Journals (Sweden)

Full Text Available Using the vector autoregressive (VAR) framework, this study empirically documents the impulse response functions of financial stress and market risk premiums and performs a causality test of these two variables. The analysis of the monthly changes of the Federal Reserve Bank of St. Louis Financial Stress Index and excess returns on the CRSP value-weighted index from 1994:2 to 2012:5 shows that market risk premiums become negative in the first, second and third, fourth and twelfth months following the financial stress shock. The degree of financial stress drops in the first, second, fourth, fifth, seventh, tenth months following risk premium shock. There is no observed feedback response from financial stress to market risk premium shock. The Granger causality test results show that financial stress Granger-causes market risk premiums to drop significantly, and there is no reverse causation recorded in this case. In addition, the time-series OLS regression analysis shows a statistically significant negative coefficient (b = -8.50; t = -9.20) when explanatory variable is the monthly changes in financial stress.

Vichet Sum

2012-01-01

428

Global and Local Approaches Describing Critical Phenomena on the Developing and Developed Financial Markets  

Science.gov (United States)

We define and confront global and local methods to analyze the financial crash-like events on the financial markets from the critical phenomena point of view. These methods are based respectively on the analysis of log-periodicity and on the local fractal properties of financial time series in the vicinity of phase transitions (crashes). The log-periodicity analysis is made in a daily time horizon, for the whole history (1991-2008) of Warsaw Stock Exchange Index (WIG) connected with the largest developing financial market in Europe. We find that crash-like events on the Polish financial market are described better by the log-divergent price model decorated with log-periodic behavior than by the power-law-divergent price model usually discussed in log-periodic scenarios for developed markets. Predictions coming from log-periodicity scenario are verified for all main crashes that took place in WIG history. It is argued that crash predictions within log-periodicity model strongly depend on the amount of data taken to make a fit and therefore are likely to contain huge inaccuracies. Next, this global analysis is confronted with the local fractal description. To do so, we provide calculation of the so-called local (time dependent) Hurst exponent H loc for the WIG time series and for main US stock market indices like DJIA and S&P 500. We point out dependence between the behavior of the local fractal properties of financial time series and the crashes appearance on the financial markets. We conclude that local fractal method seems to work better than the global approach - both for developing and developed markets. The very recent situation on the market, particularly related to the Fed intervention in September 2007 and the situation immediately afterwards is also analyzed within fractal approach. It is shown in this context how the financial market evolves through different phases of fractional Brownian motion. Finally, the current situation on American market is analyzed in fractal language. This is to show how far we still are from the end of recession and from the beginning of a new boom on US financial market or on other world leading stocks.

Grech, Dariusz

429

The effectiveness of monetary policy in steering money market rates during the financial crisis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The financial crisis has deeply affected money markets and thus, potentially, the proper functioning of the interest rate channel of monetary policy transmission. Therefore, we analyze the effectiveness of monetary policy in steering euro area money market rates looking at, first, the predictability...

Abbassi, Puriya; Linzert, Tobias

430

Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity.  

Czech Academy of Sciences Publication Activity Database

efficient markets hypothesisKód oboru RIV: AH - EkonomieImpakt faktor: 0.647, rok: 2012 http://library.utia.cas.cz/separaty/2012/E/kristoufek-fractal markets hypothesis and the global financial crisis scaling investment horizons and liquidity.pdf

Krištoufek, LadislavG

431

The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland  

Digital Repository Infrastructure Vision for European Research (DRIVER)

In this paper, we study the effects of euro area and US macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland (CEEC-3) from 1999 to 2006. Using a GARCH model, we examine the impact on daily returns of three-month interest rates, stock market indices, exchange rates versu...

Büttner, David; Hayo, Bernd; Neuenkirch, Matthias

432

Agent-based financial markets and New Keynesian macroeconomics: A synthesis  

Digital Repository Infrastructure Vision for European Research (DRIVER)

We combine a simple agent-based model of financial markets and a New Keynesian macroeconomic model with bounded rationality via two straightforward channels. The result is a macroeconomic model that allows for the endogenous development of business cycles and stock price bubbles. We show that market...

Lengnick, Matthias; Wohltmann, Hans-Werner

433

Labour Markets Trends, Financial Globalization and the current crisis in Developing Countries  

Digital Repository Infrastructure Vision for European Research (DRIVER)

The current wave of globalization has profound labour market effects, accentuated, in many cases, by the current financial and economic crisis. This paper reviews general labour market trends and country examples, arguing that the current globalization process makes labour’s position more precarious...

Hoeven, R.E. van der

434

THE IMPACT OF GLOBAL FINANCIAL CRISIS UNDER THE ROMANIAN FINANCIAL MARKET  

Directory of Open Access Journals (Sweden)

Full Text Available Today the most disputed subject is the global financial crisis. Laymen and experts say their point of view and wonder when and how will end this "apocalypse" of the financial world. But to understand it, it needs to make it the "radiology", to establish a "diagnosis" and of course an appropriate "treatment", which I tried to "build” in these few words.

Cristina Ciuraru-Andrica

2008-01-01

435