TITLE

Will physics crack the market?

AUTHOR(S)
Hogan, Jenny
PUB. DATE
December 2002
SOURCE
New Scientist;12/7/2002, Vol. 176 Issue 2372, p16
SOURCE TYPE
Periodical
DOC. TYPE
Article
ABSTRACT
Reports on the development of a mathematical stock market model by physicists Didier Sornette and Wei-Xing Zhou during research conducted by the two on how materials fail under stress. Prediction of a temporary recovery of the U.S. stock market; Forecasted plunge of the U.S. stock market in 2003; Application of the model to rating agency Standard & Poor's 500 index.
ACCESSION #
8849018

 

Related Articles

  • Decomposition of market model variation in the presence of mis-specification. Johnson, Steve A.; Sprinkle, Richard L. // Quarterly Journal of Business & Economics;Summer93, Vol. 32 Issue 3, p43 

    Examines the mis-specification in the traditional return generating form of the market model using daily returns. Individual securities and portfolios' return specifications; Levels of portfolio diversification; Differences in the level of systematic risk in types of portfolios.

  • ARBITRAGE IN CONTINUOUS COMPLETE MARKETS. Platen, Eckhard // Advances in Applied Probability;Sep2002, Vol. 34 Issue 3, p540 

    Examines the arbitrage approach in a continuous complete market model. Basis of the approach on the unique characterization of a benchmark portfolio, the growth optimal portfolio; Generalization of the mutual fund theorem; Derivation of the fair continent claim prices in the real world...

  • CHOOSING THE BEST PERFORMING GARCH MODEL FOR SRI LANKA STOCK MARKET BY NON-PARAMETRIC SPECIFICATION TEST. Jahufer, Aboobacker // Journal of Data Science;Jul2015, Vol. 13 Issue 3, p457 

    This paper examines the performance of different kind of GARCH models with Gaussian, Student-t and generalized error distribution for Colombo Stock Exchange (CSE), in Sri Lanka. Analyzing the daily closing price index of CSE from January 02, 2007 to March 10, 2013. It was found that the...

  • HKEx explains Stock Connect stats. Osborne, Simon // Ai Trade News;2014, p1 

    The article focuses on publishing of an explanation regarding the Daily Quota Balance by the Hong Kong Exchanges and Clearing (HKEx) for understanding the statistics to illustrate activity in the Shanghai-Hong Kong Stock Connect, programme that links the Chinese stock markets in Shanghai and...

  • HKEx finds that Stock Connect has been a success after all. Osborne, Simon // Ai Trade News;2014, p1 

    The article focuses on publishing of an explanation regarding the Daily Quota Balance by the Hong Kong Exchanges and Clearing (HKEx) for understanding the statistics to illustrate activity in the Shanghai-Hong Kong Stock Connect, programme that links the Chinese stock markets in Shanghai and...

  • COINTEGRATION AND STOCK MARKET INTERDEPENDENCE: EVIDENCE FROM SOUTH AFRICA, INDIA AND THE USA. Mohanasundaram, Thangamuthu; Karthikeyan, Parthasarathy // South African Journal of Economic & Management Sciences;2015, Vol. 18 Issue 4, p475 

    The purpose of this study is to explore the nature of the association and the possible existence of a shortrun and long-run relationship between the stock-market indices of South Africa, India and the USA. The idea behind this combination is to know how the stock markets of these three prominent...

  • NYSE Considers Fee Overhaul; Maker-Taker Is On the Table. Hintze, John // Securities Industry News;6/30/2008, Vol. 20 Issue 26, p1 

    The article reports that the New York Stock Exchange (NYSE) looked into a liquidity-drawing incentive to compete with the maker-taker pricing models of its competitors. It notes that exchange executives want a maker-taker model with charges of $0.0015 per share and rebate $0.001 for market-order...

  • Volatility Forecasts, Trading Volume, and the ARCH versus Option-Implied Volatility Trade-off. Donaldson, Glen; Kamstra, Mark // Working Paper Series (Federal Reserve Bank of Atlanta);Mar2004, Vol. 2004 Issue 6, p0 

    Market expectations of future return volatility play a crucial role in finance; so too does our understanding of the process by which information is incorporated in security prices through the trading process. The authors seek to learn something about both of these issues by investigating...

  • Forecasting World Stock Markets Volatility. Yalama, Abdullah; Sevil, Guven // International Research Journal of Finance & Economics;2008, Issue 15, p159 

    Volatility forecasting is important for option pricing, risk management and portfolio management. In the literature the best forecast volatility model is controversial. Some study support the power of historical GARCH models, while some support asymmetric GARCH models. The purpose of study is to...

Share

Read the Article

Courtesy of VIRGINIA BEACH PUBLIC LIBRARY AND SYSTEM

Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics