Comment on “ Two - phase behavior of financial markets ”
نویسنده
چکیده
In a recent article [1], the authors report evidence for an intriguing two-phase behavior of financial markets when studying the distribution of volume imbalance (Ω) conditional to the local intensity of its fluctuations (Σ). We show here that this apparent phase transition is a generic consequence of the conditioning and exists even in the absence of any non trivial collective phenomenon. More precisely, to each trade i one can associate the volume of the trade qi and the ‘sign’ of the trade ai, with ai = +1 for buyer initiated trades, and ai = −1 for seller initiated trades. Then, the volume imbalance is defined as:
منابع مشابه
Determinants of Bonanza Episodes and Related Effects on Financial Crises in Emerging Market Countries
Although capital inflows affect positively economies in long-run, it is possible to generate somehow destructive effects if there is no any control on financial markets. This study tries to explore main determinants of large capital inflows episodes to emerging markets. It is also investigated whether the large capital inflows episodes lead to financial crises in forms of sudden stop phenomenon...
متن کاملUsing the Theory of Network in Finance
It is very important for managers, investors and financial policy-makers to detect and analyze factors affecting financial markets to obtain optimal decision and reduce risks. The importance of market analysis and attempt to improve its behavior understanding, has led analysts to use the experiences of other professionals in the fields such as social sciences and mathematics to examine the inte...
متن کاملThe Effects of Too-Big-to-fail Banks on Depositors' Behavior
In the wake of recent financial crisis, large banks have been considered as important factors in financial markets in the world, since these bankschr(chr('39')39chr('39')) failure could affect the whole economy by extending systemic risk. With regard to this issue, when large banks face insolvency or bankruptcy, larger part of economy would be affected, and with the interconnectedness between b...
متن کاملآزمون حبابهای چندگانه در بازار ارز ایران: کاربردی از آزمونهای ریشه واحد RTADF
The bubble of Asset Price is the deviation of the asset price from its fundamental value. Since the many of the financial crisis arise from bursting bubble of financial assets, the explore of bubble behaviors in these markets and the early detection for the prevention of adverse economic consequences is important. Considering the criticisms of conventional tests for detecting price bubbles and ...
متن کاملA Joint Review of Technical and Quantitative Analysis of Financial Markets
This paper presents a joint review on professional technical analysis and academic quantitative analysis of the financial markets, aiming at bridging the deep gulf between the two fields and unifying them under a general science of intelligent finance or financial intelligence. While econometricians and econophysicians have recently reexamined technical analysis, most of their effort is focused...
متن کامل