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Elliott's wave theory in the field of econophysics and its application to the PSI20 in the context of crisis

Ribeiro, Sandra Cristina Antunes - In: Estudios de economía aplicada : revista promovida por … 37 (2019) 2, pp. 43-61

Persistent link: https://www.econbiz.de/10012062786

Multiscale correlation networks analysis of the US stock market : a wavelet analysis

Wang, Gang-Jin; Chi, Xie; Chen, Shou - In: Journal of economic interaction and coordination : JEIC 12 (2017) 3, pp. 561-594

Persistent link: https://www.econbiz.de/10011878725

Antibubble and prediction of China's stock market and real-estate

Zhou, Wei-Xing; Sornette, Didier - In: Physica A: Statistical Mechanics and its Applications 337 (2004) 1, pp. 243-268

We show that the Chinese stock markets are quite different and decoupled from Western markets (which include Tokyo). We document a well-developed log-periodic power-law antibubble in China's stock market, which started in August 2001. We argue that the current stock market antibubble is...

Persistent link: https://www.econbiz.de/10010873440

Effects of global financial crisis on network structure in a local stock market

Nobi, Ashadun; Maeng, Seong Eun; Ha, Gyeong Gyun; Lee, … - In: Physica A: Statistical Mechanics and its Applications 407 (2014) C, pp. 135-143

This study considers the effects of the 2008 global financial crisis on threshold networks of a local Korean financial market around the time of the crisis. Prices of individual stocks belonging to KOSPI 200 (Korea Composite Stock Price Index 200) are considered for three time periods, namely...

Persistent link: https://www.econbiz.de/10010873796

Modeling stock market dynamics based on conservation principles

Alvarez-Ramirez, Jose; Ibarra-Valdez, Carlos - In: Physica A: Statistical Mechanics and its Applications 301 (2001) 1, pp. 493-511

In this paper, a deterministic framework for modeling stock market dynamics is presented. The model is based on assets … conservation principles and consists of a series of differential equations describing the dynamics of assets trading, and a … other traders). In this way, the dynamics of the assets and its price are determined by the trading dynamics. An equilibrium …

Persistent link: https://www.econbiz.de/10010874377

Quantifying price fluctuations in the Brazilian stock market

Tabak, B.M.; Takami, M.Y.; Cajueiro, D.O.; Petitinga, A. - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 1, pp. 59-62

This paper investigates price fluctuations in the Brazilian stock market. We employ a recently developed methodology to test whether the Brazilian stock price returns present a power law distribution and find that we cannot reject such behavior. Empirical results for sub-partitions of the time...

Persistent link: https://www.econbiz.de/10010874584

Quantifying the behavior of price dynamics at opening time in stock market

Ochiai, Tomoshiro; Takada, Hideyuki; Nacher, Jose C. - In: Physica A: Statistical Mechanics and its Applications 413 (2014) C, pp. 534-543

The availability of huge volume of financial data has offered the possibility for understanding the markets as a complex system characterized by several stylized facts. Here we first show that the time evolution of the Japan’s Nikkei stock average index (Nikkei 225) futures follows the...

Persistent link: https://www.econbiz.de/10010906996

Probability distribution function and multiscaling properties in the Korean stock market

Lee, Kyoung Eun; Lee, Jae Woo - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 1, pp. 65-70

We consider the probability distribution function (pdf) and the multiscaling properties of the index and the traded volume in the Korean stock market. We observed the power law of the pdf at the fat tail region for the return, volatility, the traded volume, and changes of the traded volume. We...

Persistent link: https://www.econbiz.de/10010871852

Information flow between composite stock index and individual stocks

Kwon, Okyu; Yang, Jae-Suk - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 12, pp. 2851-2856

We investigate the strength and the direction of information transfer in the US stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of the information transfer, we find that individual stocks...

Persistent link: https://www.econbiz.de/10010872784

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 from another seemingly overlapping theory of the chaos systems. The paper recounts how researchers from … 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 …

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