1. INVESTIGATION OF THE DISTRIBUTION AND SCALING OF FLUCTUATIONS FOR STOCK INDEX IN FINANCIAL MARKET In order to probe the extent of universality in the dynamics of complex behavior in financial markets and to provide a basic and appropriate framework for developing economic models of financial markets, we investigated the distribution of the fluctuations in the Hang Seng index — the most impor...

Large global financial imbalances need not be the harbinger of a world financial crash as many authors believe. Instead, we show that large and persistent global imbalances can be the outcome of financial integration when countries have different financial markets characteristics. In particular, countries with more advanced financial markets accumulate foreign liabilities vis-a-vis countries wi...

In 1990s emerging stock markets evolved from small and shallow into sizeable and liquid markets integrated with the world financial system. This paper empirically studies the conjecture that the relationship between market development and efficiency can be possibly captured by the weak-form market efficiency tests applied to moving subsample windows. The variance-ratio-based multiple comparison...

We present a cellular automaton (CA) model for simulating the complex dynamics of stock markets. Within this model, a stock market is represented by a two-dimensional lattice, of which each vertex stands for a trader. According to typical trading behavior in real stock markets, agents of only two types are adopted: fundamentalists and imitators. Our CA model is based on local interactions, adop...

Regime switching models can match the tendency of financial markets to often change their behavior abruptly and the phenomenon that the new behavior of financial variables often persists for several periods after such a change. While the regimes identified by regime switching models are identified by an econometric procedure, they often intuitively match different periods in regulation, policy,...