Limit theorems and price changes in financial markets

1998 ◽  
Vol 77 (5) ◽  
pp. 1353-1356
Author(s):  
Rosario N. Mantegna, H. Eugene Stanley
Keyword(s):  
Financial Markets ◽  
Limit Theorems ◽  
Price Changes

Limit theorems and price changes in financial markets

1998 ◽  
Vol 77 (5) ◽  
pp. 1353-1356 ◽  
Author(s):  
Rosario N. Mantegna ◽  
H. Eugene Stanley
Keyword(s):  
Financial Markets ◽  
Limit Theorems ◽  
Price Changes

scholarly journals The Impact Of Defeasance On Bond Prices

2011 ◽  
Vol 4 (3) ◽  
pp. 15
Author(s):  
James A. Seifert ◽  
David E. Mielke
Keyword(s):  
Financial Markets ◽  
Corporate Debt ◽  
Bond Prices ◽  
Price Changes ◽  
Before And After ◽  
Time Periods ◽  
Changes In Risk ◽  
The Impact

This study reports on the financial markets reaction to the defeasance of corporate debt and whether the market perceives a changes in risk as a result of this activity. The prices of seventeen bonds both before and after defeasance were analyzed using t-tests to determine if any significant price changes related to the act of defeasance occurred between these two time periods. Contrary to what might be expected no significant differences were found.

scholarly journals Speculators, Prices, and Market Volatility

2016 ◽  
Vol 51 (5) ◽  
pp. 1545-1574 ◽  
Author(s):  
Celso Brunetti ◽  
Bahattin Büyükşahin ◽  
Jeffrey H. Harris
Keyword(s):  
Natural Gas ◽  
Financial Markets ◽  
Crude Oil ◽  
Hedge Funds ◽  
Futures Markets ◽  
Hedge Fund ◽  
Market Volatility ◽  
Price Changes ◽  
Oil And Natural Gas ◽  
Price Trends

We use data from 2005–2009 that uniquely identify categories of traders to test how speculators such as hedge funds and swap dealers relate to volatility and price changes. In examining various subperiods where price trends are strong, we find little evidence that speculators destabilize financial markets. To the contrary, hedge fund position changes are negatively related to volatility in corn, crude oil, and natural gas futures markets. Additionally, swap dealer activity is largely unrelated to contemporaneous volatility. Our evidence is consistent with the hypothesis that hedge funds provide valuable liquidity and largely serve to stabilize futures markets.

scholarly journals Martingales, Efficient Market Hypothesis and Kolmogorov’s Complexity Theory

2011 ◽  
Vol 2 (6) ◽  
pp. 252-258
Author(s):  
Amaresh Das
Keyword(s):  
Time Series ◽  
Financial Markets ◽  
Stock Returns ◽  
Complexity Theory ◽  
Efficient Market Hypothesis ◽  
Market Theory ◽  
Efficient Market ◽  
Price Changes ◽  
Efficient Market Theory ◽  
Theoretical Considerations

Efficient market theory states that financial markets can process information instantly. Empirical observations have challenged the stricter form of the efficient market hypothesis (EMH). These empirical observations and theoretical considerations show that price changes are difficult to predict if one starts from the time series of price changes. This paper provides an explanation in terms of algorithmic complexity theory of Kolmogorov that makes a clearer connection between the efficient market hypothesis and the unpredictable character of stock returns.

scholarly journals Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes

2004 ◽  
Vol 4 (2) ◽  
pp. 176-190 ◽  
Author(s):  
Jean-Philippe Bouchaud ◽  
Yuval Gefen ◽  
Marc Potters ◽  
Matthieu Wyart
Keyword(s):  
Financial Markets ◽  
Price Changes

scholarly journals A material political economy: Automated Trading Desk and price prediction in high-frequency trading

2016 ◽  
Vol 47 (2) ◽  
pp. 172-194 ◽  
Author(s):  
Donald MacKenzie
Keyword(s):  
Political Economy ◽  
Financial Markets ◽  
High Frequency ◽  
Share Price ◽  
High Frequency Trading ◽  
Historical Study ◽  
Price Changes ◽  
Price Prediction ◽  
Political Economic

This article contains the first detailed historical study of one of the new high-frequency trading (HFT) firms that have transformed many of the world’s financial markets. The study, of Automated Trading Desk (ATD), one of the earliest and most important such firms, focuses on how ATD’s algorithms predicted share price changes. The article argues that political-economic struggles are integral to the existence of some of the ‘pockets’ of predictable structure in the otherwise random movements of prices, to the availability of the data that allow algorithms to identify these pockets, and to the capacity of algorithms to use these predictions to trade profitably. The article also examines the role of HFT algorithms such as ATD’s in the epochal, fiercely contested shift in US share trading from ‘fixed-role’ markets towards ‘all-to-all’ markets.

Sign in / Sign up

Export Citation Format

Share Document