s . so c - ph ] 9 J an 2 00 6 Persistence in Financial Markets

s . so c - ph ] 4 O ct 2 00 5 Financial Markets and Persistence

s . so c - ph ] 2 4 O ct 2 00 5 Persistence in Financial Markets

Persistence is studied in a financial context by mapping the time evolution of the values of the shares quoted on the London Financial Times Stock Exchange 100 index (FTSE 100) onto Ising spins. By following the time dependence of the spins, we find evidence for power law decay of the proportion of shares that remain either above or below their 'starting' values. As a result, we estimate a pers...

s . so c - ph ] 1 1 M ay 2 00 7 Self - organization of price fluctuation distribution in evolving mar - kets

Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations. Recently, there have been assertions that this distribution is qualitatively different in emerging markets as compared to developed markets. Here we analyse both high-frequency tick-by-tick as well as daily closing price data to show...

s . so c - ph ] 1 7 M ay 2 00 6 Multifractal Model of Asset Returns versus real stock market dynamics

There is more and more empirical evidence that multifractality constitutes another and perhaps the most significant financial stylized fact. A realistic model of the financial dynamics should therefore incorporate this effect. The most promising in this respect is the Multifractal Model of Asset Returns (MMAR) introduced by Mandelbrot et al. [1] in which mul-tifractality is carried by time defo...

WEB APPENDIX for Fowler, James H. “Elections and Markets: The Effect of Partisan

Tables A-1 and A-2 explain how data are derived from futures prices. Panels are based on the following periods: 6/10/88-11/9/88, 1/22/92-11/4/92, 6/21/94-11/9/94, 1/2/96-11/6/96, 2/3/9811/4/98, 1/3/00-11/10/00, 7/20/02-11/6/02. These periods start on the first day in which at least one bond futures price and one election futures contract price are observed within the year of the election and th...