This paper investigates how financial weakness among Japanese banks in the second half of the 1990s was reflected in pricing in the financial markets. Two indicators, the Japan premium (JP) and the stock price spread (SP)}deviation between the bank stock index (BINDEX) and stock price index excluding banks (NINDEX)}were examined. The structural change occurring in the relationship between BINDE...

Using particle system methodologies we study the propagation of financial distress in a network of firms facing credit risk. We investigate the phenomenon of a credit crisis and quantify the losses that a bank may suffer in a large credit portfolio. Applying a large deviation principle we compute the limiting distributions of the system and determine the time evolution of the credit quality ind...

Statistical analysis of financial data most focused on testing the validity of Brownian motion (Bm). Analysis performed on several time series have shown deviation from the Bm hypothesis, that is at the base of the evaluation of many financial derivatives. We inquiry in the behavior of measures of performance based on maximum drawdown movements (MDD), testing their stability when the underlying...

Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the standard deviation of the price fluctuations, with empirical characteristics. In particular we find its probability distribution is similar to a log normal dis...

This paper focuses on evaluation of the impact of the global financial crisis on the process of real convergence within the EU28 economies. The beta-convergence approach is verified by the use of crosssectional linear regression analysis. The sigma-convergence is tested by standard deviation of real GDP per capita. The aim is to verify the hypothesis that the betaand sigma-convergence (βand σ-c...

In this paper we discuss the use of Data Mining to provide a solution to the problem of cross-sales. We define and analyse the cross-sales problem and develop a hybrid methodology to solve it, using characteristic rule discovery and deviation detection. Deviation detection is used as a measure of interest to filter out the less interesting characteristic roles and only retain the best character...

Stock Markets on Trial | by Michael Lounsbury and Pooya Tavakoly_4 Market and Hierarchy | by Robert Müller and Jürgen Beyer_14 Imitation and Deviation | by Klaus Kraemer_21 Can the Immobile Stop the Mobile? | by Olivier Godechot_27 The Infrastructure of Financial Markets | by Magneta Konadu and Herbert Kalthoff_34 Interview: Questioning Economists’ Notion of Value André Orléan interviewed by Ra...

European Commission trusted for implementation the European Social Fund (ESF) to Member States through a commonly agreed decentralized management system, including compliance to the “sound financial management” principle within the Members’ State designated Authorities obligations. While implementing ESF, Romania should comply too with this principle all projects cycle life: national ESF progra...

A valuation principle is a mapping that assigns a number (value) to a random variable (payoff). This paper constructs a transformation on valuation principles by embedding them in a financial environment. Given an a priori valuation rule u, we define the associated a posteriori valuation rule h by an indifference argument: The u-value of optimally investing in the financial market alone should ...