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.

Capital Markets and Crypto Markets: Trends and Behavior

2019 ◽  
Author(s):  
Алексей Михайлов ◽  
Aleksey Mihaylov
Keyword(s):  
Financial Markets ◽  
Capital Market ◽  
Asset Prices ◽  
Spillover Effect ◽  
Influential Factors ◽  
Practical Significance ◽  
Long Term Memory ◽  
Financial Assets ◽  
Financial Investment ◽  
Factors Influencing

The book presents the patterns of historical evolution of financial theories of asset prices (increasing subjectivity in the evaluation of financial risks) and models for predicting volatility of asset prices in the financial markets (accounting for structural shifts in the market). It collected the rich evidence of high accuracy and reliability of long-term memory models for predicting price and volatility of different classes of financial assets. The book includes a theoretical basis for the formation of the fair market value of digital financial assets as a new segment of the global capital market. The book examines the factors influencing the dynamics of the bitcoin price. The answer to the question is whether there is a correlation with energy price and financial index S&P 500 because of the presence of the effect of volatility flow characteristic of financial markets. It is proved that the volatility of bitcoin price has a significant correlation with the volatility of financial indices such as S&P 500 due to the presence of the effect of volatility overflow (spillover effect) characteristic of financial markets. But there is no clear relationship between the search queries in the Google system and the dynamics of the bitcoin price. Bitcoin prices are moving primarily under the influence of investor interest in cryptocurrency as an alternative save asset. The practical significance of the work lies in the structuring of existing knowledge about the factors influencing the price of bitcoin. These methods allowed to determine the most influential factors explaining the dynamics of bitcoin. The price changes in the period from 2009 to 2018 was due to the increase in the usefulness of bitcoin as a tool for settlements, which was facilitated by the loss of confidence in national currencies, uncertainty about the Brexit and new energy sources price decreasing. The monograph contains the necessary structural sections characterizing the capital market and crypto assets at the present stage. The monograph can be used as the main or additional literature in the study of such disciplines like investment banking, corporate finance, international practice of valuation, behavioral finance, derivative financial instruments, financial investment management, financial markets and finance. The monograph can be used effectively by teachers in various areas.

scholarly journals Application of fractal properties in studies of financial markets

2018 ◽  
Vol 170 ◽  
pp. 01074
Author(s):  
Sergey Erokhin ◽  
Olga Roshka
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Hurst Exponent ◽  
Point Particle ◽  
Time Interval ◽  
Time Intervals ◽  
Fractal Properties ◽  
Self Similar ◽  
Fractional Differential ◽  
Us Dollar

When studying the financial markets, the currency quotations of the Russian ruble / US dollar pair are examined for fractality. It is demonstrated that the time series of the quotations under study has basic fractal properties. Hurst exponent is used here to confirm the hypothesis of fractality whereby Hausdorff dimension was calculated, which turned out to be a fraction. The state of flux graphs were compared with the solution graphs of the known fractional differential equation of a point particle random walk along a self-similar fractal set. The solution of such an equation is given using the Mittag-Leffler functions. The graphs of these solutions are compared with state of flux graphs for different time intervals. Hence, it is proved that the Russian financial market is fractal and these results will help to forecast market behavior for a specified time interval in the future.

scholarly journals Valuing Peace: The Effects of Financial Market Exposure on Votes and Political Attitudes

Econometrica ◽  
2019 ◽  
Vol 87 (5) ◽  
pp. 1561-1588 ◽  
Author(s):  
Saumitra Jha ◽  
Moses Shayo
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Political Attitudes ◽  
Peace Process ◽  
Superior Performance ◽  
Financial Assets ◽  
Material Incentive ◽  
Nonfinancial Information ◽  
Political Messages ◽  
Economic Risks

Can participation in financial markets lead individuals to reevaluate the costs of conflict, change their political attitudes, and even their votes? Prior to the 2015 Israeli elections, we randomly assigned Palestinian and Israeli financial assets to likely voters and incentivized them to actively trade for up to 7 weeks. No political messages or nonfinancial information were included. The treatment systematically shifted vote choices toward parties more supportive of the peace process. This effect is not due to a direct material incentive to vote a particular way. Rather, the treatment reduces opposition to concessions for peace and changes awareness of the broader economic risks of conflict. While participants who were assigned Palestinian assets are more likely to associate their assets' performance with peace, they are less engaged in the experiment. Combined with the superior performance of Israeli stocks during the study period, the ultimate effects of Israeli and Palestinian assets are similar.

scholarly journals Effect of Hydrophobic Silica Nanochannel Structure on the Running Speed of a Colloidal Damper

2021 ◽  
Vol 11 (15) ◽  
pp. 6808
Author(s):  
Gengbiao Chen ◽  
Zhiwen Liu
Keyword(s):  
Fractal Dimension ◽  
Silica Gel ◽  
Fractal Theory ◽  
Percolation Model ◽  
Silica Gels ◽  
Practical Significance ◽  
Running Speed ◽  
Fractal Percolation ◽  
Micropore Structure ◽  
Hydrophobic Silica

A colloidal damper (CD) can dissipate a significant amount of vibrations and impact energy owing to the interface power that is generated when it is used. It is of great practical significance to study the influence of the nanochannel structure of hydrophobic silica gel in the CD damping medium on the running speed of the CD. The fractal theory was applied to observe the characteristics of the micropore structure of the hydrophobic silica gel by scanning electron microscopy (SEM), the primary particles were selected to carry out fractal analysis, and the two-dimensional fractal dimension of the pore area and the tortuous fractal dimension of the hydrophobic silica gel pore structure were calculated. The fractal percolation model of water in hydrophobic silica nanochannels based on the slip theory could thus be obtained. This model revealed the relationship between the micropore structure parameters of the silica gel and the running speed of the CD. The CD running speed increases with the addition of grafted molecules and the reduction in pore size of the silica gel particles. Continuous loading velocity testing of the CD loaded with hydrophobic silica gels with different pore structures was conducted. By comparing the experimental results with the calculation results of the fractal percolation model, it was determined that the fractal percolation model can better characterize the change trend of the CD running velocity for the first loading, but the fractal dimension was changed from the second loading, caused by the small amount of water retained in the nanochannel, leading to the failure of fractal characterization.

ENTREPRENEURIAL ACTIVITIES MODELING IN THE HOSPITALITY INDUSTRY BASED ON THE USE OF LAND CADASTRAL VALUATION INDICATORS

2017 ◽  
Author(s):  
Raisa Kozhukhіvska ◽  
◽  
Оlena Sakovska ◽  
Keyword(s):  
Financial Support ◽  
Hospitality Industry ◽  
The State ◽  
Practical Significance ◽  
Time Intervals ◽  
Main Disadvantage ◽  
Entrepreneurial Activities ◽  
The City ◽  
Cluster Level

The article examines the organizational basis of modeling entrepreneurial activities in the hospitality industry based on the use of indicators of cadastral assessment of land. The analysis of practical aspects of updating the results of cadastral assessment of lands of settlements of Cherkassy region has been carried out. It is stated that the cadastral assessment should take into account market situations and trends as much as possible. For the territories of localities the term of actualization in the context of revaluation should be minimum and economically justified. It is designated that the updating of the results of the state cadastral assessment of land requires significant modernization aimed at improving the quality of land assessment work and adequate replenishment of budgets at all levels. The mechanism and features of performance of works on actualization of the state cadastral estimation of the lands of settlements in the territory of Cherkassy region have been analyzed. As a result of the study, it has been found that the main disadvantage of modeling the cadastral assessment of land settlements is: the duration of time intervals between rounds of revaluation, which causes rapid aging of information. The reason for this case is related with the financial support of the works and their scale. Mechanisms for prompt updating of information on the value of land for entrepreneurial activities in the hospitality industry in Cherkassy region have been proposed. The considered method of determining the normative monetary valuation of land takes into account the most important indicators of this industry and is practically significant in collecting information and calculating all indicators in conducting cadastral valuation of land for entrepreneurial activities in the hospitality industry of Cherkassy region. The practical significance of the study is to assess the cadastral condition of land and calculate the specific cadastral value of the city of Uman, as the territory where the hospitality industry is the most developed in Cherkassy region. Due to the clarification of the specific indicator of cadastral value, the price of one square meter of such objects will increase which will allow to proportionally increase the tax component and increase the profitability of budgets at the cluster level

A Simple Method for Measuring Small Time Intervals

Science ◽  
1934 ◽  
Vol 79 (2039) ◽  
pp. 82-83
Author(s):  
K. D. Roeder
Keyword(s):  
Small Time ◽  
Time Intervals ◽  
Simple Method

Markov chains in small time intervals

1981 ◽  
Vol 18 (3) ◽  
pp. 747-751
Author(s):  
Stig I. Rosenlund
Keyword(s):  
Markov Chain ◽  
Markov Chains ◽  
Transition Probability ◽  
Small Time ◽  
Exact Order ◽  
Time Intervals ◽  
Continuous Parameter ◽  
Minimum Number

For a time-homogeneous continuous-parameter Markov chain we show that as t → 0 the transition probability pn,j (t) is at least of order where r(n, j) is the minimum number of jumps needed for the chain to pass from n to j. If the intensities of passage are bounded over the set of states which can be reached from n via fewer than r(n, j) jumps, this is the exact order.

scholarly journals Scaling behaviour of the global tropopause

2008 ◽  
Vol 8 (5) ◽  
pp. 17891-17905
Author(s):  
C. Varotsos ◽  
M. Efstathiou ◽  
C. Tzanis
Keyword(s):  
Detrended Fluctuation Analysis ◽  
Small Time ◽  
Radiosonde Data ◽  
Fluctuation Analysis ◽  
Tropopause Height ◽  
Time Intervals ◽  
Long Range Correlations ◽  
The Tropics ◽  
Detrended Fluctuation ◽  
Climatic Characteristics

Abstract. Detrended fluctuation analysis is applied to the time series of the global tropopause height derived from the 1980–2004 daily radiosonde data, in order to detect long-range correlations in its time evolution. Global tropopause height fluctuations in small time-intervals are found to be positively correlated to those in larger time intervals in a power-law fashion. The exponent of this dependence is larger in the tropics than in the middle and high latitudes in both hemispheres. Greater persistence is observed in the tropopause of the Northern than in the Southern Hemisphere. This finding for the tropopause height variability should reduce the existing uncertainties in assessing the climatic characteristics.

scholarly journals Do Cash Holdings Differ in Europe and Asia Pacific?

2019 ◽  
Vol 7 (2) ◽  
pp. 1-32
Author(s):  
Ummar Aftab ◽  
Waseem Akhter Qureshi ◽  
Attiya Yasmin Javid
Keyword(s):  
Financial Markets ◽  
Cash Holdings ◽  
Cash Flows ◽  
Negative Influence ◽  
Asia Pacific ◽  
Cash Holding ◽  
Financial Assets ◽  
Dividend Payment ◽  
Financial Strength ◽  
Cash Reserves

This paper identifies the determinants that contribute towards the variation in financial assets that make up a firm’s total cash reserves, specifically in two important regions of the world i.e. Asia Pacific and Europe. The findings of the research reveal that firms in the region of Asia Pacific have slightly higher cash holdings, as compared to firms in Europe. Moreover, the study also identifies that the elevated cash holdings in Asia Pacific are not a result of the agency problem, as is generally viewed, rather, the shareholder power hypothesis is a more appropriate measure to elucidate this elevation in the level of cash holdings in the region. When shedding light on to the firm specific cash holding determinants, the findings of the research reveal that leverage, dividend payment, profitability, growth and net working capital, cash flows and financial strength, influence cash reserves in both the regions, exactly in the same manner. This shows the application of transaction, and precautionary motives in both the regions. The study further identifies that size, and investments have a varying effect in both the regions that are taken into consideration. Again, this difference may be attributed to Shareholders’ Power Hypothesis, specifically for Asia Pacific and the Agency View, specifically for Europe. Shareholders’ Right Index influences cash reserves in Asia Pacific in a positive manner, while in Europe, the same index shows a negative influence. The development in the financial markets has a negative negatively influence on cash holdings in Asia Pacific, and a positive one in Europe.

MEASURING SHOCK IN FINANCIAL MARKETS

2000 ◽  
Vol 03 (03) ◽  
pp. 347-355 ◽  
Author(s):  
GILLES O. ZUMBACH ◽  
MICHEL M. DACOROGNA ◽  
JØRGEN L. OLSEN ◽  
RICHARD B. OLSEN
Keyword(s):  
Financial Markets ◽  
High Frequency ◽  
Foreign Exchange Market ◽  
Exchange Market ◽  
Time Intervals ◽  
Event Scale ◽  
Time Horizons ◽  
Richter Scale ◽  
Market Shocks ◽  
Short Time

Analogous to the Richter scale for earthquakes, we introduce the Scale of Market Shocks (SMS), an "event" scale to quantify the size of shocks in financial markets. It is based on price volatilities and computed by integrating volatilities over time horizons ranging from 1 hour to 42 days. The SMS is computed using quality high frequency market data and can be constructed for any market. We compute the SMS for the foreign exchange market. For two major FX rates, we study the relation between SMS peaks and major "world events". We measure also the correlation between the Scale of Market Shocks index and the size of the subsequent price movements and show a high correlation for short time intervals.

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