Search results for "FINANCIAL MARKET"
showing 10 items of 198 documents
Clusters of Traders in Financial Markets
2020
In this chapter we discuss Aoki’s work on the description of clusters of economic agents acting in a market. Specifically, we briefly discuss his work on the Ewens distribution and its application in a model of stock market with heterogeneous agents. We then review recent empirical analyses on the heterogeneity of financial market participants and make a working hypothesis for an empirical study on the distribution of the number of clusters of market participants in a real stock market monitored with a resolution down to the shadowed identity of market participants.
The Global Crisis and Alternative Scenarios to Save the Euro: A Spanish Perspective
2013
That the euro was in trouble became evident after the financial markets' turmoil the summer of 2007. The global financial crisis called into question some of the dogma propounded by the champions of liberal capitalism, such as the efficiency of financial markets. Whereas in the US several banks went bankrupt, in the EU the banking sector was recapitalised, and fiscal measures were taken to support companies and families, and to stimulate the economy; moreover, an institutional framework was set up to improve financial regulation and supervision. The banking and financial crisis was followed, as usual, by a debt crisis. In 2010–11, successive European Summits accelerated the creation of fina…
Non-destructive determination of ‘Big Bang’ nectarine quality and harvest maturity
2021
In nectarines, potential shelf life and quality at consumption are closely related to the ripeness stage of fruit at harvest. Usually, the harvest is based on color, firmness, sugar and acids content of fruit, although these determinations are carried out through destructive methods and in a limited number of samples. The technique of Vis/Nir spectroscopy is used for the development of a non-destructive index based on the difference of absorbance (IDA) between two wavelengths near the absorption peak of chlorophyll-a, and it allows monitoring of changes in ripeness processes directly in the field. The objective of this paper is to track changes in quality that occur during nectarine ripenes…
Financial Sector Reform after the Crisis: Has Anything Happened?
2013
We analyze the reaction of stock returns and CDS spreads of banks from Europe and the United States to four major regulatory reforms in the aftermath of the subprime crisis, employing an event study analysis. In contrast to the public perception that nothing has happened, we find that financial markets indeed reacted to the structural reforms enacted at the national level. All reforms succeeded in reducing bail-out expectations, especially for systemic banks. However, banks’ profitability was also affected, showing up in lower equity returns. The strongest effects were found for the Dodd-Frank Act (especially the Volcker rule), whereas market reactions to the German restructuring law were s…
The Spanish Case: The Housing Market Bubble and External Disequilibria
2013
The chapter recalls the major issues at stake in the Spanish economy since 1996, a time when financial markets started to discount the Spanish entry into the Eurozone. We start with a brief analysis of the most recent economic developments, and the current macroeconomic imbalances. As of 2007, the Spanish economy underwent its worst period in recent history, since the Stabilisation Plan was implemented in 1959. When 2008 came, however, what was most worrying was the sense of disarray that the Government projected: it simply took measures against the global financial crisis, as though this were the major, and indeed, the only crisis to cope with. Nevertheless, what affected the Spanish econo…
Credit and financial markets in the Iberian Peninsula at the end of the Middle Ages. Historiographic production and recent developments
2021
El artículo examina la trayectoria de los estudios sobre el crédito y los mercados financieros en la Península Ibérica a finales de la Edad Media, desde los primeros trabajos sobre la usura y el préstamo a interés, fundamentalmente judío, en la primera mitad del siglo XX, hasta las líneas de investigación más recientes, que se ramifican en diversas direcciones, desde el marco teórico, doctrinal y legal del mercado del crédito y el estudio de los diferentes instrumentos financieros –préstamo a interés, crédito comercial y bancario, crédito a largo plazo en forma de censales y censos consignativos– a la deuda pública y el crédito privado, especialmente el crédito rural. Todos estos estudios m…
Time Series Momentum in the US Stock Market: Empirical Evidence and Theoretical Implications
2020
There is much controversy in the academic literature on the presence of short-term trends in financial markets and the trend-following strategy's profitability. This paper restricts its attention to the study of time-series momentum (TSMOM) in the US stock market. The paper aims to suggest answers to several important questions regarding TSMOM and to explain the existing controversy. Our answer to the question, whether short-term trends exist, is strongly affirmative. For the first time, we suppose that the returns follow a p-order autoregressive process with p>1 and evaluate this process's parameters. Fairly accurate knowledge of the momentum generating process allows us to provide analyti…
Revealing financial accounting in Finland under five historical themes
2009
This article deals with the historical development of financial accounting in Finland from 1862 to 2005. The period starts with the publication of the first Finnish accounting textbook by August Lilius in 1862. The year 2005 marks another milestone: this was when all listed companies were obligated to prepare consolidated accounts according to IAS/ IFRS standards. The study applies a discourse analysis approach and presents Finnish financial accounting history under five discourses or themes, namely: entrepreneurship, academic, governance control, professional and financial market themes. Some of these have assumed more dominance over time while others have lost much of their former signifi…
Multi-agent-based Order Book Model of financial markets
2006
We introduce a simple model for simulating financial markets, based on an order book, in which several agents trade one asset at a virtual exchange continuously. For a stationary market the structure of the model, the order flow rates of the different kinds of order types and the used price time priority matching algorithm produce only a diffusive price behavior. We show that a market trend, i.e. an asymmetric order flow of any type, leads to a non-trivial Hurst exponent for the price development, but not to "fat-tailed" return distributions. When one additionally couples the order entry depth to the prevailing trend, also the stylized empirical fact of "fat tails" can be reproduced by our …
Statistical analysis of financial returns for a multiagent order book model of asset trading
2007
We recently introduced a realistic order book model [T. Preis, Europhys. Lett. 75, 510 (2006)] which is able to generate the stylized facts of financial markets. We analyze this model in detail, explain the consequences of the use of different groups of traders, and focus on the foundation of a nontrivial Hurst exponent based on the introduction of a market trend. Our order book model supports the theoretical argument that a nontrivial Hurst exponent implies not necessarily long-term correlations. A coupling of the order placement depth to the market trend can produce fat tails, which can be described by a truncated Lévy distribution.