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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

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 …This paper traces the origin and development of the complex systems theory over the course of history, up to its latest …

Persistent link: https://www.econbiz.de/10012966774

Towards a general theory of the stock market

Fender, John - 2016

Although there are many stock market anomalies which the Efficient Market Hypothesis (EMH) finds difficult to explain, it also has its strengths, and so far no alternative hypothesis has been developed which can explain what the EMH explains but which can also do a better job in explaining the...

Persistent link: https://www.econbiz.de/10012010417

A Relation between the Efficient, Transaction and Mid Prices : Disentangling Sources of High Frequency Market Microstructure Noise

Clinet, Simon - 2018

We consider an extension of the Roll model where the trade direction, i.e. whether the trade is buyer or seller initiated, is multiplied by the dynamic quoted half-spread. Employing tick-by-tick maximum likelihood estimation on S&P 500 constituents, we find that the efficient price is quite...

Persistent link: https://www.econbiz.de/10012920906

Inefficient Bubbly Booms?

Dong, Feng; Jiao, Yang; Sun, Haoning - 2023

We show the competing effects of a housing bubble on the real economy by developing a two-sector dynamic model with housing production. On the one hand, firms can sell or collateralize their houses to obtain financing, so a housing bubble helps firms obtain credit to finance their investment and...

Persistent link: https://www.econbiz.de/10014353342

Investigating efficiency of frontier stock markets using multifractal detrended fluctuation analysis

Aslam, Faheem; Ferreira, Paulo; Mohti, Wahbeeah - In: International journal of emerging markets 18 (2023) 7, pp. 1650-1676

Persistent link: https://www.econbiz.de/10014333916

A stock-flow approach to a general theory of pricing

Pilkington, Philip - 2013

The paper seeks to lay out a stock-flow-based theoretical framework that provides a foundation for a general theory of … properly general theory of pricing that can be applied to any market - whether financial, real, or a real market that has been …

Persistent link: https://www.econbiz.de/10010211946

Alternatives to the efficient market hypothesis : an overview

Nyakurukwa, Kingstone; Seetharam, Yudhvir - In: Journal of capital markets studies 7 (2023) 2, pp. 111-124

Purpose - The authors' goal is to provide an overview and historical context for the various alternatives to the efficient market hypothesis (EMH) that have emerged over time. The authors found eight current alternatives that have emerged to address the EMH's flaws. Each of the proposed...

Persistent link: https://www.econbiz.de/10014442467

Different methodologies and uses of the Hurst exponent in econophysics

Nieves López García, María de las; Ramos-Requena, J. P. - In: Estudios de economía aplicada : revista promovida por … 37 (2019) 2, pp. 107-119

Persistent link: https://www.econbiz.de/10012063553

Heterogeneous speculators and stock market dynamics : a simple agent-based computational model

Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2020

We propose a simple agent-based computational model in which speculators' trading behavior may cause bubbles and crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby replicating five important stylized facts of stock...

Persistent link: https://www.econbiz.de/10012257370

Predictability and herding of bourse volatility : an econophysics analogue

Ghosh, Bikramaditya; Krishna, Mysore Chidambareswaran; … - In: Investment management and financial innovations 15 (2018) 2, pp. 317-326

Persistent link: https://www.econbiz.de/10012055468

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