Financial market dynamics

Financial market crisis and financial market channel

Critical dynamics and global persistence exponent on Taiwan financial market

Hsen-Che Tseng, Ping-Cheng Li, and Hung-Jung Chen Physics Department, National Chung Hsing University, Taichung, Taiwan R.O.C. Abstract We investigated the critical dynamics on the daily Taiwan stock exchange index (TSE) from 1971 to 2005, and the 5-min intraday data from 1996 to 2005. A global persistence exponent θp was defined for non-equilibrium critical phenomena [1, 2], and describing dyn...

1 A ug 2 00 1 Financial Market Dynamics

Distributions derived from non-extensive Tsallis statistics are closely connected with dynamics described by a nonlinear Fokker-Planck equation. The combination shows promise in describing stochastic processes with power-law distributions and superdiffusive dynamics. We investigate intra-day price changes in the S&P500 stock index within this framework by direct analysis and by simulation. We f...

Price Dynamics and Market Volatility: Behavioral Heterogeneity under Switching Trading Strategies on Artificial Financial Market

In recent years, studying stock markets using multi-agent based models has grow into an important research area due to the fact that this line of attack replicates the nature of the financial market where varied traders with a mixture of expectations and diverse points of rationality network with each other through the market. The main aim of this paper is to include selected finding from behav...

Financial Market Prediction

Given financial data from popular sites like Yahoo and the London Exchange, the presented paper attempts to model and predict stocks that can be considered ”good investments”. Stocks are characterized by 125 features ranging from gross domestic product to EDIBTA, and are labeled by discrepancies between stock and market price returns. An artificial neural network (Self-Organizing Map) is fitted...