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1.
S. Drozdz F. Ruf J. Speth M. Wójcik 《The European Physical Journal B - Condensed Matter and Complex Systems》1999,10(3):589-593
Detailed analysis of the log-periodic structures as precursors of the financial crashes is presented. The study is mainly
based on the German Stock Index (DAX) variation over the 1998 period which includes both, a spectacular boom and a large decline,
in magnitude only comparable to the so-called Black Monday of October 1987. The present example provides further arguments
in favour of a discrete scale-invariance governing the dynamics of the stock market. A related clear log-periodic structure
prior to the crash and consistent with its onset extends over the period of a few months. Furthermore, on smaller time-scales
the data seems to indicate the appearance of analogous log-periodic oscillations as precursors of the smaller, intermediate
decreases. Even the frequencies of such oscillations are similar on various levels of resolution. The related value of preferred scaling ratios is amazingly consistent with those found for a wide variety of other complex systems. Similar
analysis of the major American indices between September 1998 and February 1999 also provides some evidence supporting this
concept but, at the same time, illustrates a possible splitting of the dynamics that a large market may experience.
Received 22 January 1999 and Received in final form 4 May 1999 相似文献
2.
Apparent multifractality in financial time series 总被引:4,自引:0,他引:4
J.-P. Bouchaud M. Potters M. Meyer 《The European Physical Journal B - Condensed Matter and Complex Systems》2000,13(3):595-599
We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be
present in financial data. Although our model is asymptotically `monofractal' by construction, it shows apparent multiscaling
as a result of a slow crossover phenomenon on finite time scales. Our results suggest that it might be hard to distinguish
apparent and true multifractal behavior in financial data. Our model also leads to a new family of stable laws for sums of
correlated random variables.
Received 30 June 1999 相似文献
3.
P.S. Grassia 《The European Physical Journal B - Condensed Matter and Complex Systems》2000,17(2):347-362
An asset whose price exhibits geometric Brownian motion is analysed. The basic Brownian motion model is modified to account
for the effects of market delay and investor feedback. A Langevin equation model is appropriate. When the feedback coupling
is sufficiently strong, the market dynamics switches from a slow random walk behaviour to a rapid unstable behaviour with
a fast time scale characteristic of the market delay. The unstable runaway behaviour is subsequently quenched by investors
deserting a collapsing market or saturating a booming one. This quenching effect is sufficient to ensure long term bounding
of the asset price. A form of market sabotage is demonstrated in which investors can push the market from a stable to an unstable
regime.
Received 24 February 2000 相似文献
4.
N. Vandewalle Ph. Boveroux F. Brisbois 《The European Physical Journal B - Condensed Matter and Complex Systems》2000,15(3):547-549
In order to emphasize cross-correlations for fluctuations in major market places, series of up and down spins are built from
financial data. Patterns frequencies are measured, and statistical tests performed. Strong cross-correlations are emphasized,
proving that market moves are collective behaviors.
Received 15 January 2000 相似文献
5.
F. Koukiou 《The European Physical Journal B - Condensed Matter and Complex Systems》2000,13(2):203-204
Using the theory of random cluster models, we give a stability criterion for financial markets with random communications
between agents.
Received 25 September 1999 and Received in final form 2 October 1999 相似文献
6.
N. Vandewalle M. Ausloos P. Boveroux A. Minguet 《The European Physical Journal B - Condensed Matter and Complex Systems》1998,4(2):139-141
From the analysis of (closing value) stock market index like the Dow Jones Industrial average and the S&P500 it is possible
to observe the precursor of a so-called crash. This is shown on the Oct. 1987 and Oct. 1997 cases. The data analysis indicates
that the index divergence has followed twice a “universal” behavior, i.e. a logarithmic dependence, superposed on a well defined oscillation pattern. The prediction of the crash date is remarkable
and can be done two months in advance. In the spirit of phase transition phenomena, the economic index is said to be analogous
to a signal signature found in a two dimensional fluid of vortices.
Received: 23 March 1998 / Revised and Accepted: 23 April 1998 相似文献
7.
J.V. Andersen S. Gluzman D. Sornette 《The European Physical Journal B - Condensed Matter and Complex Systems》2000,14(3):579-601
Starting from the characterization of the past time evolution of market prices in terms of two fundamental indicators, price
velocity and price acceleration, we construct a general classification of the possible patterns characterizing the deviation
or defects from the random walk market state and its time-translational invariant properties. The classification relies on
two dimensionless parameters, the Froude number characterizing the relative strength of the acceleration with respect to the
velocity and the time horizon forecast dimensionalized to the training period. Trend-following and contrarian patterns are
found to coexist and depend on the dimensionless time horizon. The classification is based on the symmetry requirements of
invariance with respect to change of price units and of functional scale-invariance in the space of scenarii. This “renormalized
scenario” approach is fundamentally probabilistic in nature and exemplifies the view that multiple competing scenarii have
to be taken into account for the same past history. Empirical tests are performed on about nine to thirty years of daily returns
of twelve data sets comprising some major indices (Dow Jones, SP500, Nasdaq, DAX, FTSE, Nikkei), some major bonds (JGB, TYX)
and some major currencies against the US dollar (GBP, CHF, DEM, JPY). Our “renormalized scenario” exhibits statistically significant
predictive power in essentially all market phases. In contrast, a trend following strategy and following strategy perform well only on different and specific market phases. The value of the “renormalized scenario” approach
lies in the fact that it always selects the best of the two, based on a calculation of the stability of their predicted market
trajectories.
Received 3 October 1999 相似文献
8.
Hierarchical structure in financial markets 总被引:12,自引:0,他引:12
R. N. Mantegna 《The European Physical Journal B - Condensed Matter and Complex Systems》1999,11(1):193-197
I find a hierarchical arrangement of stocks traded in a financial market by investigating the daily time series of the logarithm
of stock price. The topological space is a subdominant ultrametric space associated with a graph connecting the stocks of
the portfolio analyzed. The graph is obtained starting from the matrix of correlation coefficient computed between all pairs
of stocks of the portfolio by considering the synchronous time evolution of the difference of the logarithm of daily stock
price. The hierarchical tree of the subdominant ultrametric space associated with the graph provides a meaningful economic
taxonomy.
Received 24 March 1999 and Received in final form 28 June 1999 相似文献
9.
D. Sornette 《The European Physical Journal B - Condensed Matter and Complex Systems》1998,3(1):125-137
We propose a formulation of the term structure of interest rates in which the forward curve is seen as the deformation of
a string. We derive the general condition that the partial differential equations governing the motion of such string must
obey in order to account for the condition of absence of arbitrage opportunities. This condition takes a form similar to a
fluctuation-dissipation theorem, albeit on the same quantity (the forward rate), linking the bias to the covariance of variation
fluctuations. We provide the general structure of the models that obey this constraint in the framework of stochastic partial
(possibly non-linear) differential equations. We derive the general solution for the pricing and hedging of interest rate
derivatives within this framework, albeit for the linear case (we also provide in the appendix a simple and intuitive derivation
of the standard European option problem). We also show how the “string” formulation simplifies into a standard N-factor model under a Galerkin approximation.
Received: 30 January 1998 / Revised: 12 February 1998 / Accepted: 16 February 1998 相似文献
10.
A. Arnéodo J.-F. Muzy D. Sornette 《The European Physical Journal B - Condensed Matter and Complex Systems》1998,2(2):277-282
We use wavelets to decompose the volatility (standard deviation) of intraday (S&P500) return data across scales. We show that
when investigating two-point correlation functions of the volatility logarithms across different time scales, one reveals
the existence of a causal information cascade from large scales (i.e. small frequencies) to fine scales. We quantify and visualize the information flux across scales. We provide a possible interpretation
of our findings in terms of market dynamics.
Received: 9 January 1998 / Received in final form and accepted: 13
January 1998 相似文献
11.
Self-organized model for information spread in financial markets 总被引:1,自引:0,他引:1
Zhi-Feng Huang 《The European Physical Journal B - Condensed Matter and Complex Systems》2000,16(2):379-385
A self-organized model with social percolation process is proposed to describe the propagations of information for different
trading ways across a social system and the automatic formation of various groups within market traders. Based on the market
structure of this model, some stylized observations of real market can be reproduced, including the slow decay of volatility
correlations, and the fat tail distribution of price returns which is found to cross over to an exponential-type asymptotic
decay in different dimensional systems.
Received 15 March 2000 相似文献
12.
A generalized spin model of financial markets 总被引:1,自引:0,他引:1
D. Chowdhury D. Stauffer 《The European Physical Journal B - Condensed Matter and Complex Systems》1999,8(3):477-482
We reformulate the Cont-Bouchaud model of financial markets in terms of classical “super-spins” where the spin value is a
measure of the number of individual traders represented by a portfolio manager of an investment agency. We then extend this
simplified model by switching on interactions among the super-spins to model the tendency of agencies getting influenced by the opinion of other managers. We also introduce
a fictitious temperature (to model other random influences), and time-dependent local fields to model a slowly changing optimistic
or pessimistic bias of traders. We point out close similarities between the price variations in our model with N super-spins and total displacements in an N-step Levy flight. We demonstrate the phenomena of natural and artificially created bubbles and subsequent crashes as well
as the occurrence of “fat tails” in the distributions of stock price variations.
Received 13 October 1998 相似文献
13.
Inverse cubic law for the distribution of stock price variations 总被引:10,自引:0,他引:10
P. Gopikrishnan M. Meyer L.A.N. Amaral H.E. Stanley 《The European Physical Journal B - Condensed Matter and Complex Systems》1998,3(2):139-140
The probability distribution of stock price changes is studied by analyzing a database (the Trades and Quotes Database) documenting
every trade for all stocks in three major US stock markets, for the two year period January 1994 - December 1995. A sample
of 40 million data points is extracted, which is substantially larger than studied hitherto. We find an asymptotic power-law
behavior for the cumulative distribution with an exponent , well outside the Lévy regime .
Received: 23 April 1998 / Revised and Accepted: 24 April 1998 相似文献
14.
A. Johansen D. Sornette 《The European Physical Journal B - Condensed Matter and Complex Systems》2000,17(2):319-328
The Nasdaq Composite fell another % on Friday the 14'th of April 2000 signaling the end of a remarkable speculative high-tech bubble starting in spring 1997.
The closing of the Nasdaq Composite at 3321 corresponds to a total loss of over 35% since its all-time high of 5133 on the
10'th of March 2000. Similarities to the speculative bubble preceding the infamous crash of October 1929 are quite striking:
the belief in what was coined a “New Economy” both in 1929 and presently made share-prices of companies with three digits
price-earning ratios soar. Furthermore, we show that the largest draw downs of the Nasdaq are outliers with a confidence level
better than 99% and that these two speculative bubbles, as well as others, both nicely fit into the quantitative framework
proposed by the authors in a series of recent papers.
Received 3 May 2000 相似文献
15.
Non-equilibrium phenomena occur not only in the physical world, but also in finance. In this work, stochastic relaxational
dynamics (together with path integrals) is applied to option pricing theory. Equilibrium in financial markets is defined as
the absence of arbitrage, i.e. profits “for nothing”. A recently proposed model (by Ilinski et al.) considers fluctuations around this equilibrium state by introducing a relaxational dynamics with random noise for intermediate
deviations called “virtual” arbitrage returns. In this work, the model is incorporated within a martingale pricing method
for derivatives on securities (e.g. stocks) in incomplete markets using a mapping to option pricing theory with stochastic interest rates. The arbitrage return
is considered as a component of a fictitious short-term interest rate in a virtual world. The influence of intermediate arbitrage
returns on the price of derivatives in the real world can be recovered by performing an average over the (non-observable)
arbitrage return at the time of pricing. Using a famous result by Merton and with some help from the path integral method,
exact pricing formulas for European call and put options under the influence of virtual arbitrage returns (or intermediate
deviations from economic equilibrium) are derived where only the final integration over initial arbitrage returns needs to
be performed numerically. This result, which has not been given previously and is at variance with results stated by Ilinski
et al., is complemented by a discussion of the hedging strategy associated to a derivative, which replicates the final payoff but
turns out to be not self-financing in the real world, but self-financing when summed over the derivative's remaining life
time. Numerical examples are given which underline the fact that an additional positive risk premium (with respect to the
Black-Scholes values) is found reflecting extra hedging costs due to intermediate deviations from economic equilibrium.
Received 16 June 1999 and Received in final form 26 September 1999 相似文献
16.
E. Canessa 《The European Physical Journal B - Condensed Matter and Complex Systems》2001,22(1):123-127
We address the issue of stock market fluctuations within Langevin Dynamics (LD) and the thermodynamics definitions of multifractality
in order to study its second-order characterization given by the analogous specific heat Cq, where q is an analogous temperature relating the moments of the generating partition function for the financial data signals. Due
to non-linear and additive noise terms within the LD, we found that Cq can display a shoulder to the right of its main peak as also found in the S&P500 historical data which may resemble a classical
phase transition at a critical point.
Received 6 November 2000 and Received in final form 26 March 2001 相似文献
17.
N. Vandewalle M. Ausloos Ph. Boveroux A. Minguet 《The European Physical Journal B - Condensed Matter and Complex Systems》1999,9(2):355-359
We present a method for visualizing the pattern which we believe to be a precursor signature of financial crashes (or ruptures).
The log-periodicity of the pattern is investigated through the envelope function technique. Three periods of the Dow Jones
Industrial Average (DJIA) are investigated: 1982-1987, 1992-1997 and 1993-1998. The presence of a rupture in the end of 1998
is outlined from data taken before the end of August 1998.
Received 15 October 1998 and Received in final form 19 November 1998 相似文献
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20.
A. Bershadskii 《The European Physical Journal B - Condensed Matter and Complex Systems》1999,9(4):691-693
It is shown that multifractal properties of some random and disordered systems can be simulated using thermodynamics of a
generalized ideal monoatomic gas in a fractal phase space.
Received 25 November 1998 and Received in final form 16 December 1998 相似文献