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On Crashes
Ferguson, Robert - 2018
The principles of behavioral psychology can explain how crashes occur. In particular, the concept of "stimulus generalization" tells us that organisms tend to respond in the same way to similar stimuli. In a crash, or pre-crash, context, several stimuli - including rising prices, above-average...
Persistent link: https://www.econbiz.de/10012928814
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Toward a Unified Theory for Normal and Crash States in Financial Markets
Tian, Wenzhao - 2018
Abstract: This paper offers a unified theory, which maps financial markets into a two dimension Banach space by … quantizing the price fluctuation and trading volume of financial assets. In this space, we develop a new portfolio theory and … unified theory returns to the traditional theories—the modern portfolio theory and the CAPM, and theoretically challenges …
Persistent link: https://www.econbiz.de/10012931115
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Financial Market Crashes with the Tick Size, Indivisible Assets
Tian, Wenzhao - 2017
This paper offers a model for financial market crashes without the two basic hypotheses - the assets are perfectly divisible, and their trading takes place continuously in time. We show that financial market crashes stem endogenously from an inherent characteristic of financial markets rather...
Persistent link: https://www.econbiz.de/10012946908
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Financial complexity and trade
Galanis, Spyros - 2017
Persistent link: https://www.econbiz.de/10011657031
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Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability
Vogl, Markus; Roetzel, Peter Gordon - 2021
In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...
Persistent link: https://www.econbiz.de/10013229642
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A counterfactual valuation of the stock index as a predictor of crashes
Roberts, Tom - 2017
Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon - instead, I shift focus to severe downside risk (i.e., crashes). I use the cointegrating relationship between the log S&P Composite Index and log earnings over 1871 to 2015, combined with...
Persistent link: https://www.econbiz.de/10011777936
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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....
Persistent link: https://www.econbiz.de/10012175486
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Bank Lottery Behavior and Regulatory Bailouts
Del Viva, Luca - 2018
We study lottery behavior in banking stocks and use MAX/MIN to capture loss protection from bank bailout guarantees. We find that bank lottery preferences lead to lower short-term returns and that regulatory TARP assistance increases the likelihood of bank lotteryness and risk taking....
Persistent link: https://www.econbiz.de/10012934331
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Asset Bubbles : Re-Thinking Policy for the Age of Asset Management
Jones, Bradley - 2015
In distilling a vast literature spanning the rational — irrational divide, this paper offers reflections on why asset bubbles continue to threaten economic stability despite financial markets becoming more informationally-efficient, more complete, and more heavily influenced by sophisticated...
Persistent link: https://www.econbiz.de/10013026923
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In search of economic reality under the veil of financial markets
Falkinger, Josef - 2014
This paper presents a general equilibrium model with technological uncertainty, financial markets and imperfect information. The future consists of uncertain environments that are more or less clearly distinguishable (measurable). This limits the possibilities of specialization and...
Persistent link: https://www.econbiz.de/10010360332