In this paper, we provide a new measure for evaluation of risk in financial markets. This measure is based on the return interval of critical events in financial markets or other investment situations. Our main goal was to devise a model like Value at Risk (VaR). As VaR, for a given financial...

We construct a network of the Tehran stock market based on the cross-correlation of trading volume of stocks both for fundamentalists and chartists. In order to investigate the dynamics of expectations of fundamentalists and chartists over time we introduced a homogeneity coefficient. Our...

Studying the relation between corruption and economic factors and examining its consequences for economic development have attracted many economists and physicists in recent years. The purpose of this paper is to focus on the role of stock market development on corruption. Analyzing a data set...

Analyzing statistical properties of stock market data using statistical physics has received much attention from physicists and economists in recent years. Although some statistical characteristics of stock market data such as power-low tails of stock returns have become established fact,...

Inverse statistics analysis studies the distribution of investment horizons to achieve a predefined level of return. This distribution provides a maximum investment horizon which determines the most likely horizon for gaining a specific return. There exists a significant difference between...

The explanatory power of the capital assets pricing model (CAPM) is low because, it uses parsimonious modelling and differenced data. Overdifferenced asset prices show lower R2 values than the data with I(1) property (i.e. first difference of them give ADF-test-statistics near to the critical...