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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

A Free Lunch Hypothesis for Share Buybacks

Osterrieder, Joerg; Seigne, Michael - 2023

This paper introduces a novel hypothesis in the context of share buybacks, proposing the existence of a "Free Lunch" phenomenon associated with the use of specific execution products. The hypothesis posits that these products can generate consistently positive fees, offering a consistent return...

Persistent link: https://www.econbiz.de/10014349231