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Baptista, M.S; Caldas, I.L - In: Physica A: Statistical Mechanics and its Applications 284 (2000) 1, pp. 348-354

We analyze the return of the S & P 500 index and characterize its evolution as being typical of a low-dimensional recurrent deterministic system. The first Poincaré return time of the chaotic logistic mapping trajectories is used to model the return evolution. The efficiency of the model is...

Persistent link: https://www.econbiz.de/10010872523

Low-dimensional dynamics in observables from complex and higher-dimensional systems

Baptista, Murilo S; Caldas, Iberê L; Baptista, Mauricio S - In: Physica A: Statistical Mechanics and its Applications 287 (2000) 1, pp. 91-99

We analyze fluctuating observables of high-dimensional systems as the New York Stock Market S&P 500 index, the amino-acid sequence in the M. genitalium DNA, the maximum temperature of the San Francisco Bay area, and the toroidal magneto plasma potential. The probability measures of these...

Persistent link: https://www.econbiz.de/10011057710

Greed, fear and stock market dynamics

Westerhoff, Frank H. - In: Physica A: Statistical Mechanics and its Applications 343 (2004) C, pp. 635-642

. Our model mimics some stylized facts of stock market dynamics: (1) stock prices increase over time, (2) stock markets …

Persistent link: https://www.econbiz.de/10010590557

Economic fluctuations and possible non-linear relations between macroeconomic variables for Brazil

Kamimura, A.; Guerra, S.M.G. - In: Physica A: Statistical Mechanics and its Applications 291 (2001) 1, pp. 542-552

The correctness of the macroeconomic prospective evaluations for planning activities, mainly for capital intensive sectors, such as electricity supply, may represent the key between the success or failure of any kind of money-spending scheme. Macroeconomical results derived from government...

Persistent link: https://www.econbiz.de/10011060316

Looking for non-linear relation evidences between Brazilian gross domestic product (GDP) and fixed capital stock (K)

Kamimura, A; Guerra, S.M.G; Sauer, I.L - In: Physica A: Statistical Mechanics and its Applications 332 (2004) C, pp. 461-468

This paper deals with the epistemologic problem of searching for experimental evidences of a particular economic model theory. The difficulties of such tasks are well-known due to the peculiarities of the economic system, mainly related to the non-repetitiousness of experiments. Thus, indirect...

Persistent link: https://www.econbiz.de/10011064625

Fundamental factors versus herding in the 2000–2005 US stock market and prediction

Zhou, Wei-Xing; Sornette, Didier - In: Physica A: Statistical Mechanics and its Applications 360 (2006) 2, pp. 459-482

We present a general methodology to incorporate fundamental economic factors to the theory of herding developed in our group to describe bubbles and antibubbles. We start from the strong form of rational expectation and derive the general method to incorporate factors in addition to the...

Persistent link: https://www.econbiz.de/10010589255

Antibubble and prediction of China's stock market and real-estate

Zhou, Wei-Xing; Sornette, Didier - In: Physica A: Statistical Mechanics and its Applications 337 (2004) 1, pp. 243-268

We show that the Chinese stock markets are quite different and decoupled from Western markets (which include Tokyo). We document a well-developed log-periodic power-law antibubble in China's stock market, which started in August 2001. We argue that the current stock market antibubble is...

Persistent link: https://www.econbiz.de/10010873440

Effects of global financial crisis on network structure in a local stock market

Nobi, Ashadun; Maeng, Seong Eun; Ha, Gyeong Gyun; Lee, … - In: Physica A: Statistical Mechanics and its Applications 407 (2014) C, pp. 135-143

This study considers the effects of the 2008 global financial crisis on threshold networks of a local Korean financial market around the time of the crisis. Prices of individual stocks belonging to KOSPI 200 (Korea Composite Stock Price Index 200) are considered for three time periods, namely...

Persistent link: https://www.econbiz.de/10010873796

Modeling stock market dynamics based on conservation principles

Alvarez-Ramirez, Jose; Ibarra-Valdez, Carlos - In: Physica A: Statistical Mechanics and its Applications 301 (2001) 1, pp. 493-511

In this paper, a deterministic framework for modeling stock market dynamics is presented. The model is based on assets … conservation principles and consists of a series of differential equations describing the dynamics of assets trading, and a … other traders). In this way, the dynamics of the assets and its price are determined by the trading dynamics. An equilibrium …

Persistent link: https://www.econbiz.de/10010874377

Quantifying price fluctuations in the Brazilian stock market

Tabak, B.M.; Takami, M.Y.; Cajueiro, D.O.; Petitinga, A. - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 1, pp. 59-62

This paper investigates price fluctuations in the Brazilian stock market. We employ a recently developed methodology to test whether the Brazilian stock price returns present a power law distribution and find that we cannot reject such behavior. Empirical results for sub-partitions of the time...

Persistent link: https://www.econbiz.de/10010874584

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