A Statistical Analysis of Speculative Price Behavior PDF Download

Author: Claude Stout Brinegar
Publisher:
ISBN:
Category : Grain trade
Languages : en
Pages : 58

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Author: Claude Stout Brinegar
Publisher:
ISBN:
Category : Food prices
Languages : en
Pages : 432

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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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Book Description
Economic research monograph comprising a statistical analysis of price trends resulting from speculative trade. References.

Author: Bertrand M. Roehner
Publisher: Springer Science & Business Media
ISBN: 3662044285
Category : Business & Economics
Languages : en
Pages : 252

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Book Description
This book contains a unified mathematical theory of speculation. Besides analysing stock markets, the book considers a wide range of speculative markets such as: real estate, commodities, postage-stamps, and antiquarian books. Various regularities are discussed. For instance, during a speculative episode, the price of expensive items increases more than the price of less expensive items. Such regularities pave the way for a mathematical theory of speculation. Being mainly empirical, the book is easy to read and does not require technical prerequisites in finance, economics or mathematics.

Author: Bertrand M. Roehner
Publisher: Cambridge University Press
ISBN: 1139432346
Category : Business & Economics
Languages : en
Pages : 250

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Book Description
The main objective of this 2002 book is to show that behind the bewildering diversity of historical speculative episodes it is possible to find hidden regularities, thus preparing the way for a unified theory of market speculation. Speculative bubbles require the study of various episodes in order for a comparative perspective to be obtained and the analysis developed in this book follows a few simple but unconventional ideas. Investors are assumed to exhibit the same basic behavior during speculative episodes whether they trade stocks, real estate, or postage stamps. The author demonstrates how some of the basic concepts of dynamical system theory, such as the notions of impulse response, reaction times and frequency analysis, play an instrumental role in describing and predicting speculative behavior. This book will serve as a useful introduction for students of econophysics, and readers with a general interest in economics as seen from the perspective of physics.

Author: Steven Peter Semingson
Publisher:
ISBN:
Category : Speculation
Languages : en
Pages : 160

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Author: Jitendar S. Mann
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 76

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Author: Theo Athanasiadis
Publisher:
ISBN:
Category :
Languages : en
Pages : 20

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Book Description
We examine the price behavior of 56 major markets over the last 16 years applying a set of univariate and multivariate robust statistical tests across different time frequencies. Our results can be considered as an augmented true out-of-sample test of all previous research testing for time-series independence. We find no statistically significant evidence that price movements in calendar time scale consistently deviate from randomness. There are only limited departures that are split between trend and mean-reversion depending on the time frame, prices (spot or futures) and assets studied, but even those cases have to be interpreted with caution since we tested a large number of assets increasing the probability of Type I error. Our univariate results are also confirmed by the multivariate analysis that examines the joint distribution of assets using a pooled panel regression. Finally, comparing our results to previous research we find evidence that price dynamics change over time highlighting the difficulty of identifying price patterns ex-ante.

Author: Johannes Voit
Publisher: Springer Science & Business Media
ISBN: 3662044234
Category : Science
Languages : en
Pages : 227

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Book Description
A careful examination of the interaction between physics and finance. It takes a look at the 100-year-long history of co-operation between the two fields and goes on to provide new research results on capital markets - taken from the field of statistical physics. The random walk model, well known in physics, is one good example of where the two disciplines meet. In the world of finance it is the basic model upon which the Black-Scholes theory of option pricing and hedging has been built. The underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated.

Author: Hun Y. Park
Publisher:
ISBN:
Category : Prices
Languages : en
Pages : 56

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Book Description
This paper compares the volatility of spot prices (dealership market) with that of futures prices (auction market) to test the implications of different trading mechanisms for the volatility of prices. First, a natural estimator of the volatility is sued. Using the intraday data of the major Market Index and its futures prices, we show that the volatility of opening prices is higher than that of closing prices not only in the spot market but in the futures market, and that the intraday volatility patterns are U-shaped in both markets. Of particular interest is that futures prices do not appear to be as volatile as spot prices when the natural estimator of volatility is used, to the contrary of the conventional wisdom. We argue that the different volatility patterns during the day are not necessarily due to the different trading mechanisms, auction market versus dealership market. Instead, after developing a simple theoretical model of speculative prices, we show that at least part of the different volatility patterns during the day may be attributable to speculative behavior of investors based on heterogeneous information. In addition, we further investigate the volatilities of spot and futures prices using a temporal estimator of price volatility as an alternative to the natural estimator. Based on the temporal estimator, we cannot find any systematic pattern of volatilities during the day in both spot and futures markets, and that futures prices appear to be more volatile than spot prices in terms of how quickly the price moves beyond a given unit price level, but not in terms of how much the price changes during a given unit time interval. Some policy implications are also discussed.