EMERGENCE OF POWER-LAW AND TWO-PHASE BEHAVIOR IN FINANCIAL MARKET FLUCTUATIONS

2013 ◽  
Vol 16 (01) ◽  
pp. 1350008 ◽  
Author(s):  
ZVONKO KOSTANJČAR ◽  
BRANKO JEREN
Keyword(s):  
Probability Measure ◽  
Phase Behavior ◽  
Financial Market ◽  
Power Law ◽  
Energy Functional ◽  
Two Phase ◽  
Share Prices ◽  
Demand Structure ◽  
Stock Share ◽  
Insight Into

In this paper, we provide an insight into the emergence of power-law and two-phase behavior in the financial market fluctuations by defining an analytical model for time evolution of stock share prices. The defined model can exhibit bimodal behavior in the supply-demand structure of the market. Moreover, it differs from existing Ising-type models. It turns out that the constructed model is a solution of a thermodynamic limit of a Gibbs probability measure when the number of investors and the number of stock shares approaches the infinity. The energy functional of the Gibbs probability measure is derived from the Nash equilibrium of the underlying game.

Solution Properties and Phase Behavior of Ammonium Hexylene Octyl Succinate in Water and Water-Oil System

1970 ◽  
Vol 3 (1) ◽  
Author(s):  
Md. Hamidul Kabir ◽  
Ravshan Makhkamov ◽  
Shaila Kabir
Keyword(s):  
Critical Micelle Concentration ◽  
Phase Behavior ◽  
Liquid Crystalline ◽  
Carbon Number ◽  
Phase Region ◽  
Solution Properties ◽  
Middle Phase ◽  
Two Phase ◽  
Lamellar Liquid Crystal ◽  
Drug Ingredient

The solution properties and phase behavior of ammonium hexylene octyl succinate (HOS) was investigated in water and water-oil system. The critical micelle concentration (CMC) of HOS is lower than that of anionic surfactants having same carbon number in the lipophilic part. The phase diagrams of a water/ HOS system and water/ HOS/ C10EO8/ dodecane system were also constructed. Above critical micelle concentration, the surfactant forms a normal micellar solution (Wm) at a low surfactant concentration whereas a lamellar liquid crystalline phase (La) dominates over a wide region through the formation of a two-phase region (La+W) in the binary system. The lamellar phase is arranged in the form of a biocompatible vesicle which is very significant for the drug delivery system. The surfactant tends to be hydrophilic when it is mixed with C10EO8 and a middle-phase microemulsion (D) is appeared in the water-surfactant-dodecane system where both the water and oil soluble drug ingredient can be incorporated in the form of a dispersion. Hence, mixing can tune the hydrophile-lipophile properties of the surfactant. Key words: Ammonium hexylene octyl succinate, mixed surfactant, lamellar liquid crystal, middle-phase microemulsion. Dhaka Univ. J. Pharm. Sci. Vol.3(1-2) 2004 The full text is of this article is available at the Dhaka Univ. J. Pharm. Sci. website

scholarly journals Treatment benefit among migraine patients taking fremanezumab: results from a post hoc responder analysis of two placebo-controlled trials

2021 ◽  
Vol 22 (1) ◽  
Author(s):  
Stephen D. Silberstein ◽  
Joshua M. Cohen ◽  
Ronghua Yang ◽  
Sanjay K. Gandhi ◽  
Evelyn Du ◽  
...  
Keyword(s):  
Clinical Trials ◽  
Medication Use ◽  
Two Phase ◽  
Double Blind ◽  
Treatment Benefit ◽  
Mean Values ◽  
Treatment Benefits ◽  
Acute Headache ◽  
Post Hoc ◽  
Insight Into

Abstract Background Monoclonal antibodies targeting the calcitonin gene-related peptide (CGRP) pathway, including the fully humanized monoclonal antibody (IgG2Δa) fremanezumab, have demonstrated safety and efficacy for migraine prevention. Clinical trials include responders and nonresponders; efficacy outcomes describe mean values across both groups and thus provide little insight into the clinical benefit in responders. Clinicians and their patients want to understand the extent of clinical improvement in patients who respond. This post hoc analysis of fremanezumab treatment attempts to answer this question: what is the benefit in subjects who responded to treatment during the two, phase 3 HALO clinical trials? Methods We included subjects with episodic migraine (EM) or chronic migraine (CM) who received fremanezumab quarterly (675 mg/placebo/placebo) or monthly (EM: 225 mg/225 mg/225 mg; CM: 675 mg/225 mg/225 mg) during the 12-week randomized, double-blind, placebo-controlled HALO EM and HALO CM clinical trials. EM and CM responders were defined as participants with a reduction of ≥ 2 or ≥ 4 monthly migraine days, respectively. Treatment benefits evaluated included reductions in monthly migraine days, acute headache medication use, and headache-related disability, and changes in health-related quality of life (HRQoL). Results Overall, 857 participants from the HALO trials were identified as responders (EM: 429 [73.8%]; CM: 428 [56.7%]). Reductions in the monthly average number of migraine days were greater among EM (quarterly: 5.4 days; monthly: 5.5 days) and CM (quarterly: 8.7 days; monthly: 9.1 days) responders compared with the overall population. The proportion of participants achieving ≥ 50% reduction in the average monthly number of migraine days was also greater in responders (EM: quarterly, 59.8%; monthly, 63.7%; CM: quarterly, 52.8%; monthly, 59.0%) than in the overall population. Greater reductions in the average number of days of acute headache medication use, greater reductions in headache-related disability scores, and larger improvements in HRQoL were observed among EM and CM responders compared with the overall populations. Conclusions Fremanezumab responders achieved clinically meaningful improvements in all outcomes. The magnitude of improvements with fremanezumab across efficacy outcomes was far greater in responders than in the overall trial population, providing insight into expected treatment benefits in participants who respond to fremanezumab in clinical practice. Trial registration ClinicalTrials.gov identifiers: NCT02629861 (HALO EM) and NCT02621931 (HALO CM).

Phase Behavior in Aqueous Two-Phase Systems Containing Micelle-Forming Block Copolymers

1995 ◽  
Vol 28 (10) ◽  
pp. 3597-3603 ◽  
Author(s):  
Maarten Svensson ◽  
Per Linse ◽  
Folke Tjerneld
Keyword(s):  
Block Copolymers ◽  
Phase Behavior ◽  
Two Phase ◽  
Aqueous Two Phase Systems ◽  
Phase Systems

scholarly journals Effects of Polydispersity on the Phase Behavior of Additive Hard Spheres in Solution

Molecules ◽  
2021 ◽  
Vol 26 (6) ◽  
pp. 1543
Author(s):  
Luka Sturtewagen ◽  
Erik van der Linden
Keyword(s):  
Phase Behavior ◽  
Critical Point ◽  
Volume Fraction ◽  
Hard Spheres ◽  
Second Virial Coefficient ◽  
Two Phase ◽  
Different Types ◽  
Asymmetric Partitioning ◽  
Average Size ◽  
Liquid Liquid Phase Separation

The ability to separate enzymes, nucleic acids, cells, and viruses is an important asset in life sciences. This can be realised by using their spontaneous asymmetric partitioning over two macromolecular aqueous phases in equilibrium with one another. Such phases can already form while mixing two different types of macromolecules in water. We investigate the effect of polydispersity of the macromolecules on the two-phase formation. We study theoretically the phase behavior of a model polydisperse system: an asymmetric binary mixture of hard spheres, of which the smaller component is monodisperse and the larger component is polydisperse. The interactions are modelled in terms of the second virial coefficient and are assumed to be additive hard sphere interactions. The polydisperse component is subdivided into sub-components and has an average size ten times the size of the monodisperse component. We calculate the theoretical liquid–liquid phase separation boundary (the binodal), the critical point, and the spinodal. We vary the distribution of the polydisperse component in terms of skewness, modality, polydispersity, and number of sub-components. We compare the phase behavior of the polydisperse mixtures with their concomittant monodisperse mixtures. We find that the largest species in the larger (polydisperse) component causes the largest shift in the position of the phase boundary, critical point, and spinodal compared to the binary monodisperse binary mixtures. The polydisperse component also shows fractionation. The smaller species of the polydisperse component favor the phase enriched in the smaller component. This phase also has a higher-volume fraction compared to the monodisperse mixture.

Effect of Common Impurities on the Phase Behavior of Carbon-Dioxide-Rich Systems: Minimizing the Risk of Hydrate Formation and Two-Phase Flow

SPE Journal ◽  
2011 ◽  
Vol 16 (04) ◽  
pp. 921-930 ◽  
Author(s):  
Antonin Chapoy ◽  
Rod Burgass ◽  
Bahman Tohidi ◽  
J. Michael Austell ◽  
Charles Eickhoff
Keyword(s):  
Experimental Data ◽  
Carbon Dioxide ◽  
Phase Behavior ◽  
Water Content ◽  
Thermodynamic Model ◽  
Two Phase Flow ◽  
Hydrate Formation ◽  
Experimental Methodology ◽  
Phase Flow ◽  
Two Phase

Summary Carbon dioxide (CO2) produced by carbon-capture processes is generally not pure and can contain impurities such as N2, H2, CO, H2 S, and water. The presence of these impurities could lead to challenging flow-assurance issues. The presence of water may result in ice or gas-hydrate formation and cause blockage. Reducing the water content is commonly required to reduce the potential for corrosion, but, for an offshore pipeline system, it is also used as a means of preventing gas-hydrate problems; however, there is little information on the dehydration requirements. Furthermore, the gaseous CO2-rich stream is generally compressed to be transported as liquid or dense-phase in order to avoid two-phase flow and increase in the density of the system. The presence of impurities will also change the system's bubblepoint pressure, hence affecting the compression requirement. The aim of this study is to evaluate the risk of hydrate formation in a CO2-rich stream and to study the phase behavior of CO2 in the presence of common impurities. An experimental methodology was developed for measuring water content in a CO2-rich phase in equilibrium with hydrates. The water content in equilibrium with hydrates at simulated pipeline conditions (e.g., 4°C and up to 190 bar) as well as after simulated choke conditions (e.g., at -2°C and approximately 50 bar) was measured for pure CO2 and a mixture of 2 mol% H2 and 98 mol% CO2. Bubblepoint measurements were also taken for this binary mixture for temperatures ranging from -20 to 25°C. A thermodynamic approach was employed to model the phase equilibria. The experimental data available in the literature on gas solubility in water in binary systems were used in tuning the binary interaction parameters (BIPs). The thermodynamic model was used to predict the phase behavior and the hydrate-dissociation conditions of various CO2-rich streams in the presence of free water and various levels of dehydration (250 and 500 ppm). The results are in good agreement with the available experimental data. The developed experimental methodology and thermodynamic model could provide the necessary data in determining the required dehydration level for CO2-rich systems, as well as minimum pipeline pressure required to avoid two-phase flow, hydrates, and water condensation.

scholarly journals How to Profit From Declines of Share Prices without Shorting Them

2018 ◽  
Vol 4 (1) ◽  
pp. 10
Author(s):  
Leszek Zaremba
Keyword(s):  
Financial Market ◽  
Matrix Model ◽  
The Other ◽  
Financial Instruments ◽  
View Point ◽  
Share Prices ◽  
Short Sale ◽  
Black Scholes ◽  
Period Model

We present a 1-period model of the Polish financial market from the view point of the largest Polish company KGH, whose share prices declined from 119 PLN on June 1, 2015 to 68 PLN on December 2, 2015. Our goal is to show how KGHM might create portfolios (with practically zero cost), which would (almost) fully compensate these declines without, what is very important, short sale of KGHM’s shares. The presented methodology is equally suitable in any country for all those companies for which options on their shares are also tradable. We employ here a matrix model of a fraction of the Polish financial market and make use of the Black–Scholes formula to valuate 3 portfolios replicating 3 desired by KGHM, but not available on the market, financial instruments. To give more insight to the readers, we distinguish two cases. In one of them, volatility of KGHM’s share prices is 33%, and in the other case it equals 20%.

Efficient Market Hypothesis for Islamic Capital Markets

2020 ◽  
pp. 489-523
Author(s):  
Hakan Altin
Keyword(s):  
Stock Markets ◽  
Explanatory Power ◽  
Market Price ◽  
Efficient Market Hypothesis ◽  
Global Markets ◽  
Efficient Market ◽  
Share Prices ◽  
Global Stock Markets ◽  
Stock Share ◽  
Theoretical Results

This study has two important findings firstly, the theoretical results related to the efficient market hypothesis; and secondly, the results of application. The theoretical results show that if the market price of an asset includes all the information that influences its price, then that market is an efficient market. According to the efficient market hypothesis, investors cannot earn gains above the market return. Since stock share prices are unpredictable, it is assumed that when the information that the market had already been expecting is finally announced, the stock share prices will not change. That is because this announcement does not contain any information that can change the prices. The results obtained from the application show that the existence of abnormal return is valid for Islamic Stock Markets. Therefore, the findings mediate against the efficient market hypothesis. However, when the size of abnormal returns is observed, the results are almost equal to market returns. This finding supports the efficient market hypothesis. Islamic stock markets are integrated with the world at least as much as the non-Islamic global markets are. Islamic stock markets act together with the non-Islamic global markets. The risks and returns that the Islamic and non-Islamic stock markets provide to the investors are very close to each other. In conclusion, the efficient market hypothesis maintains its explanatory power for both Islamic stock markets and non-Islamic global stock markets. Islamic markets offer new investment opportunities on a global scale.

A theory of power-law distributions in financial market fluctuations

Nature ◽  
2003 ◽  
Vol 423 (6937) ◽  
pp. 267-270 ◽  
Author(s):  
Xavier Gabaix ◽  
Parameswaran Gopikrishnan ◽  
Vasiliki Plerou ◽  
H. Eugene Stanley
Keyword(s):  
Financial Market ◽  
Power Law ◽  
Power Law Distributions
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