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On the 'Usual' Misunderstandings between Econophysics and Finance : Some Clarifications on Modelling Approaches and Efficient Market Hypothesis
Ausloos, Marcel - 2018
In line with the recent research and debates about econophysics and financial economics, this article discusses on … econophysics, the methodology used by financial economists is frequently considered as a top-down approach (starting from a priori …-up approach. Although this dualist perspective is very common in the econophysics literature, this paper claims that the …
Persistent link: https://www.econbiz.de/10012907171
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The Evolution of Complex Systems Theory and the Advancement of Econophysics Methods in the Study of Stock Markets Crashes
Joe, Ho Yew - 2017
cross-disciplines, particularly from the econophysics have banded together to consolidate and diffuse the application of the … complex systems theory in the economics and further discusses the methodological contribution of the econophysics in the area … of stock market. To date, the complex systems theory and the methodologies from the econophysics are well-established as …
Persistent link: https://www.econbiz.de/10012966774
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Monetary Policy Normalization : One Hundred Years After Keynes' Tract on Monetary Reform
Savona, Paolo (ed.); Masera, Rainer Stefano (ed.) - 2023
Econophysics and Artificial Intelligence (Antonio Simeone) -- Chapter 7. The adoption of digital euro and perspective (Francesco … technological innovations such as derivatives and cryptocurrencies in monetary and financial management, the role of monetary policy …
Persistent link: https://www.econbiz.de/10014331013
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International risk-taking, volatility, and consumption growth
Giduskova, Maria (contributor); Larrain, Borja (contributor) - 2006
We show that countries that take on more international risk are rewarded with higher expected consumption growth. International risk is defined as the beta of a country’s consumption growth with world consumption growth. High-beta countries hold more foreign assets, as predicted by the theory....
Persistent link: https://www.econbiz.de/10003715562
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The natural instability of financial markets
Kregel, Jan A. (contributor) - 2007
This paper contrasts the economic incentives implicit in the Keynes-Minsky approach to inherent financial market instability with the incentives behind the traditional equilibrium approach leading to market stability to provide a framework for analyzing the stability induced by the recent...
Persistent link: https://www.econbiz.de/10003727249
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Global new Turkish lira bond issuances
Görmez, Yüksel (contributor); Yilmaz, Gökhan (contributor) - 2008
The objective of this study is to analyze current and likely future impacts of the issuance of New Turkish lira (YTL) denominated borrowing instruments by many global financial institutions around the major financial centres. These bonds are strong source of evidence for international confidence...
Persistent link: https://www.econbiz.de/10003753656
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The credit risk premium in a disaster-prone world
Zhu, Yanhui (contributor); Copeland, Laurence S. (contributor) - 2008
The seminal Barro (2006) closed-economy model of the equity risk premium in the presence of extreme events ("disasters") allowed for leverage in the form of risky corporate debt which defaulted only in states when the Government defaulted on its debt. The probability of default was therefore...
Persistent link: https://www.econbiz.de/10003739622
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Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
Andersen, Torben; Bollerslev, Tim; Frederiksen, Per; … - 2008
We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures...
Persistent link: https://www.econbiz.de/10003742083
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The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
Busch, Thomas (contributor);  … - 2008
We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables in the information set, including implied volatility backed out from option prices. Realized volatility is separated into its continuous and jump components, and the...
Persistent link: https://www.econbiz.de/10003762693
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Do differences in institutional and legal environments explain cross-country variations in IPO underpricing?
Hopp, Christian (contributor); Dreher, Axel (contributor) - 2007
We empirically analyze the determinants of Initial Public Offering (IPO) underpricing using panel data for 29 countries over the period 1988-2005. Our hypotheses stress the importance of institutional and legal factors in explaining cross-country variations. We find that increased protection of...
Persistent link: https://www.econbiz.de/10003763979