Financial markets (share markets, foreign exchange markets and others) are all characterized by a number of universal power laws. The most prominent example is the ubiquitous finding of a robust, approximately cubic power law characterizing the distribution of large returns. A similarly robust...

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...

The author suggests the 2008 financial crisis was the culmination of an accelerating process of financial market evolution that is inherently unstable. From his viewpoint markets are not well organized to manage the power financial assets have to generate emotion and their wider effect on human...

The author suggests that the 2008 financial crisis was the culmination of an accelerating and inherently unstable process of financial market evolution. He argues that markets are not well organized to manage the power that financial assets have to generate emotion and their wider effect on...

This paper studies the nature of spillover effects in bank lending flows from advanced to the emerging market economies and identifies specific channels through which such effects occur. Based on a gravity model we examine a panel data set on cross-border bank flows from 17 advanced to 28...

In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...

Die Aktienmärkte in Europa und vor allem in den USA melden seit Jahren Rekorde. Skeptiker befürchten jedoch, dass sich diese Hausse als spekulative Blase erweist. Wie ist die derzeitige Entwicklung im historischen Vergleich mit dem Crash von 1929 zu beurteilen? Sind die Kurssteigerungen durch...

The trading of securities on multiple markets raises the question of each market's share in the discovery of the informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely determine these contributions. Thereby we resolve the...

We provide a simple and intuitive measure of interdependence of asset returns and/or volatilities. In particular, we formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates study of both non-crisis and crisis episodes,...