Belief Aggregation in Financial Markets and the Nature of Price Fluctuations

2014 ◽  
pp. 75-84 ◽  
Author(s):  
Daniel Schoch
Keyword(s):  
Financial Markets ◽  
Price Fluctuations ◽  
Belief Aggregation

Fractal Properties of Financial Assets and Forcasting Financial Crisis

2018 ◽  
pp. 23-41 ◽  
Author(s):  
Inna Nekrasova ◽  
Oxana Karnaukhova ◽  
Oleg Sviridov
Keyword(s):  
Fractal Dimension ◽  
Financial Markets ◽  
Future Development ◽  
Small Time ◽  
Practical Significance ◽  
Financial Assets ◽  
Time Intervals ◽  
Price Fluctuations ◽  
Fractal Properties ◽  
Fractal Index

The chapter is aimed at identification of criteria to select financial assets for investment; observing price fluctuations at small time intervals (up to one week) as possible predictors of the future of a significant increase in the price fluctuations amplitude; determining a fractal dimension of the financial markets on the basis of R/S-analysis; constructing a fractal index indicator to identify a bifurcation point, which gives birth to a possibility of crisis phenomena in economy. Therefore, the practical significance of the chapter lies in the idea of equipping academics and practitioners with new methods and tools for analysis and forecasting future development and dynamics of the financial markets.

Analyzing the Influences of Passive Investment Strategies on Financial Markets via Agent-Based Modeling

2008 ◽  
pp. 224-238 ◽  
Author(s):  
Hiroshi Takahashi ◽  
Satoru Takahashi ◽  
Takao Terano
Keyword(s):  
Asset Pricing ◽  
Financial Markets ◽  
Financial Market ◽  
Investment Strategy ◽  
Agent Based Modeling ◽  
Investment Strategies ◽  
Agent Based Model ◽  
Efficient Market ◽  
Agent Based ◽  
Price Fluctuations

This chapter develops an agent-based model to analyze microscopic and macroscopic links between investor behaviors and price fluctuations in a financial market. This analysis focuses on the effects of Passive Investment Strategy in a financial market. From the extensive analyses, we have found that (1) Passive Investment Strategy is valid in a realistic efficient market, however, it could have bad influences such as instability of market and inadequate asset pricing deviations, and (2) under certain assumptions, Passive Investment Strategy and Active Investment Strategy could coexist in a Financial Market.

Study of the Dynamical Model for Manufacturing and Materials Market

2016 ◽  
Vol 693 ◽  
pp. 1954-1959
Author(s):  
Z.G. Wang ◽  
Y.Q. Sun ◽  
Y. Zheng
Keyword(s):  
Financial Markets ◽  
Financial Analysis ◽  
Market Price ◽  
Theoretical Physics ◽  
Dynamical Model ◽  
Random Fluctuation ◽  
Price Fluctuation ◽  
Nonlinear Dynamical ◽  
Price Fluctuations ◽  
Control And Prevention

Econophysics is a new interdiscipline where physics concept and methods are applied to financial analysis. For example, the application of theoretical physics in the modeling of financial markets has aroused wide concern. In the process of random fluctuation of prices in financial markets, many nonlinear dynamical problems are hidden in set coefficients and assumptions, resulting in the invisibility of market price fluctuations and unavailability of hidden benefits in fluctuations. Based on the analysis of price fluctuation mechanism in financial markets, this paper analyzes the characteristics of price fluctuation, and constructs the dynamical model of price fluctuation by means of physics theory, thereby providing a theoretical reference for the control and prevention of transaction risks.

scholarly journals An Analysis of the Influence of Fundamental Values' Estimation Accuracy on Financial Markets

2010 ◽  
Vol 2010 ◽  
pp. 1-17 ◽  
Author(s):  
Hiroshi Takahashi
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Asset Management ◽  
Forecast Accuracy ◽  
Investment Strategy ◽  
Estimation Accuracy ◽  
Price Fluctuations ◽  
Passive Management ◽  
Passive Investors ◽  
Fundamental Values

This research analyzed the influence of the differences in the forecast accuracy of fundamental values on the financial market. As a result of intensive experiments in the market, we made the following interesting findings: (1) improvements in forecast accuracy of fundamentalists can contribute to an increase in the number of fundamentalists; (2) certain situations might occur, according to the level of forecast accuracy of fundamentalists, in which fundamentalists and passive management coexist, or in which fundamentalists die out of the market, and furthermore; (3) where a variety of investors exist in the market, improvements in the forecast accuracy could increase the number of fundamentalists more than the number of investors that employ passive investment strategy. These results contribute to clarifying the mechanism of price fluctuations in financial markets and also indicate one of the factors for the low ratio of passive investors in asset management business.

Multistability Regions and Related Basins of Multiattractors in Piecewise Linear Discontinuous Map from Financial Markets

2021 ◽  
Vol 31 (07) ◽  
pp. 2150107
Author(s):  
En-Guo Gu
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Piecewise Linear ◽  
Parameter Plane ◽  
One Dimensional ◽  
Price Fluctuations ◽  
Border Collision Bifurcations ◽  
Discontinuous Map

By adding trend followers, we extend the model given by Tramontana et al. from one-dimensional ([Formula: see text]D) piecewise linear discontinuous (PWLD) map to a new 2D PWLD map. Using this map in financial markets, we describe the bifurcation mechanisms associated with the appearance/disappearance of cycles, which may be related to several cases: border collision bifurcations; Poincaré equator collision bifurcations; degenerate flip bifurcations in both supercritical and subcritical cases. We investigate the multistability regions in the parameter plane and related basins of multiattractors to uncover the reason for the unpredictability of the internal law of price fluctuations in financial market.

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