Showing 1 - 6 of 6
In an analysis of the US, the UK, and the German stock market we find a change in the behavior based on the stock's beta values. Before 2006 risky trades were concentrated on stocks in the IT and technology sector. Afterwards risky trading takes place for stocks from the financial sector. We...
Persistent link: https://www.econbiz.de/10011265870
We analyze the stock prices of the S&P market from 1987 until 2012 with the covariance matrix of the firm returns determined in time windows of several years. The eigenvector belonging to the leading eigenvalue (market) exhibits in its long term time dependence a phase transition with an order...
Persistent link: https://www.econbiz.de/10010667408
We analyze cascades of defaults in an interbank loan market. The novel feature of this study is that the network structure and the size distribution of banks are derived from empirical data. We find that the ability of a defaulted institution to start a cascade depends on an interplay of shock...
Persistent link: https://www.econbiz.de/10011095418
We apply an asymmetric version of Kirman's herding model to volatile financial markets. In the relation between returns and agent concentration we use the square root law proposed by Zhang. This can be derived by extending the idea of a critical mean field theory suggested by Plerou et al. We...
Persistent link: https://www.econbiz.de/10005083795
Stock markets can be characterized by fat tails in the volatility distribution, clustering of volatilities and slow decay of their time correlations. For an explanation models with several mechanisms and consequently many parameters as the Lux-Marchesi model have been used. We show that a simple...
Persistent link: https://www.econbiz.de/10005084248
The stability of money value is an important requisite for a functioning economy, yet it critically depends on the actions of participants in the market themselves. Here we model the value of money as a dynamical variable that results from trading between agents. The basic trading scenario can...
Persistent link: https://www.econbiz.de/10005099255