PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
Czasopismo
2006 | 4 | 1 | 58-72
Tytuł artykułu

Stock mechanics: Predicting recession in S&P500, DJIA and NASDAQ

Autorzy
Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
Proposed in this paper is an original method assuming potential and kinetic energies for prices and for the conservation of their sum that has been developed for forecasting exchanges. Connections with a power law are shown. Semiempirical applications on the S&P500, DJIA, and NASDAQ predict a forthcoming recession in them. An emerging market, the Istanbul Stock Exchange index ISE-100 is found harboring a potential to continue to rise.
Wydawca

Czasopismo
Rocznik
Tom
4
Numer
1
Strony
58-72
Opis fizyczny
Daty
wydano
2006-03-01
online
2006-03-01
Twórcy
  • Department of Physics, Middle East Technical University, 06531, Ankara, Turkey, caglart@metu.edu.tr
Bibliografia
  • [1] P. Gopikrishnan, V. Plerou, X. Gabaix and H.E. Stanley: “Statistical properties of share volume traded in financial markets”, Phys. Rev. E, Vol. 62, (2000), pp. 4493–4496. http://dx.doi.org/10.1103/PhysRevE.62.R4493[Crossref]
  • [2] J-P. Bouchaud and R. Cont: “A Langevin approach to stock market fluctuations and crashes”, Preprint: arXiv:cond-mat/9801279; Eur. Phys. J. B, Vol. 6, (1998), pp. 543–550. http://dx.doi.org/10.1007/s100510050582[Crossref]
  • [3] P. Gopikrishnan, V. Plerou, L.A.N. Amaral, M. Meyer and H.E. Stanley: “Scaling of the Distribution of Fluctuations of Financial Market Indices”, Phys. Rev. E, Vol. 60, (1999), pp. 5305–5316. http://dx.doi.org/10.1103/PhysRevE.60.5305[Crossref]
  • [4] R. Cont and J.-P. Bouchaud: “Herd behavior and aggregate fluctuations in financial markets”, Macroeconomic Dynamics, Vol. 4, (2000), pp. 170–196. http://dx.doi.org/10.1017/S1365100500015029[Crossref]
  • [5] Ç. Tuncay: “Stock mechanics: a classical approach”, Preprint: arXiv:physics/0503163.
  • [6] K. Ide and D. Sornette: “Oscillatory Finite-Time Singularities in Finance, Population and Rupture”, Phys. A, Vol. 307, (2002), pp. 63–106; Preprint: arXiv:cond-mat/0106047. http://dx.doi.org/10.1016/S0378-4371(01)00585-4[Crossref]
  • [7] D. Sornette and K. Ide: “Theory of self-similar oscillatory finite-time singularities in Finance, Population and Rupture”, Int. J. Mod. Phys. C, Vol. 14(3), (2002), pp. 267–275; Preprint: arXiv:cond-mat/0106054.
  • [8] V. Pareto: Cours d”economie politique reprinted as a volume of Oeuvres Compl‘etes, Droz, Geneva, 1965.
  • [9] G. Zipf: Human Behavior and the Principle of Last Effort, Addison-Wesley, Cambridge, MA, 1949.
  • [10] H. Saleur, C.G. Sammis and D. Sornette: “Discrete scale invariance, complex fractal dimensions, and log-periodic fluctuations in seismicity”, J. Geophys. Res., Vol. 101, (1996), pp. 17661–17677. http://dx.doi.org/10.1029/96JB00876[Crossref]
  • [11] W.I. Newman, D.L. Turcotte and A.M. Gabrielov: “Log-periodic behavior of a hierarchical failure model with applications to precursory seismic activation”, Phys. Rev. E, Vol. 52(5), (1995), pp. 4827–4835. http://dx.doi.org/10.1103/PhysRevE.52.4827[Crossref]
  • [12] J.A. Feigenbaum and P.G.O. Freund: “Discrete Scaling in Stock Markets Before Crashes”, Int. J. Mod. Phys. C, Vol. 10, (1996), pp. 3737–3745; Preprint: arXiv:cond-mat/9509033. http://dx.doi.org/10.1142/S021797929600204X[Crossref]
  • [13] D. Sornette, A. Johansen and J-P Bouchaud: “Stock market crashes, Precursors and Replicas”, J. Phys. I, Vol. 6, (1996), pp. 167–175; Preprint: arXiv:cond-mat/9510036. http://dx.doi.org/10.1051/jp1:1996135[Crossref]
  • [14] D. Sornette: “Discrete scale invariance and complex dimensions”, Phys. Rep., Vol. 297, (1998), pp. 239–270; Preprint: arXiv:cond-mat/cond-mat/9707012. http://dx.doi.org/10.1016/S0370-1573(97)00076-8[Crossref]
  • [15] J.-P. Bouchaud: “Power laws in economics and finance: some ideas from physics”, Quant. Fin., Vol. 1, (2001), pp. 105–112. http://dx.doi.org/10.1088/1469-7688/1/1/307[Crossref]
  • [16] X. Gabaix, P. Gopikrishnan, V. Plerou and H.E. Stanley: “A theory of power-law distributions in financial market fluctuations”, Nature, Vol. 423, (2003), pp. 267–270. http://dx.doi.org/10.1038/nature01624[Crossref]
  • [17] X. Gabaix: “Zipf's Law for Cities”, Quart. J. Econom., Vol. 114(3), (1999), pp. 739–767. http://dx.doi.org/10.1162/003355399556133[Crossref]
  • [18] Y. Huang, H. Saleour, C.G. Sammis and D. Sornette: “Precursors, aftershocks, criticality and self-organized criticality”, Europhys. Lett., Vol. 41, (1998), pp. 43–48; Preprint: arXiv:cond-mat/9612065. http://dx.doi.org/10.1209/epl/i1998-00113-x[Crossref]
  • [19] B.D. Malamud, G. Morein and D.L. Turcotte: “Forest fires: An example of self-organized critical behavior”, Science, Vol. 281, (1998), pp. 1840–1842. http://dx.doi.org/10.1126/science.281.5384.1840[Crossref]
  • [20] S. Drożdż, F. Ruf, J. Speth and M. Wójcík: “Imprints of log-periodic self-similarity in the stock market”, Eur. Phys. J. B, Vol. 10, (1999), pp. 589–593. http://dx.doi.org/10.1007/s100510050890[Crossref]
  • [21] S. Drożdż, F. Grümmer, F. Ruf and J. Speth: “Log-periodic self-similarity: an emerging financial law?”, Physica A, Vol. 324, (2003), pp. 174–182. http://dx.doi.org/10.1016/S0378-4371(02)01848-4[Crossref]
  • [22] J.-P. Bouchaud, M. M'ezard and M. Potters: “Statistical properties of stock order books: empirical results and models”, Quant. Fin., Vol. 2, (2002), pp. 251–256. http://dx.doi.org/10.1088/1469-7688/2/4/301[Crossref]
  • [23] A. Johansen and D. Sornette: “Modeling the stock market prior to large crashes”, Eur. Phys. J. B, Vol. 9, (1999), pp. 167–174. http://dx.doi.org/10.1007/s100510050752[Crossref]
  • [24] D. Sornette and A. Johansen: “Large financial crashes”, Physica A, Vol. 245, (1997), pp. 411–422l; Preprint: arXiv:cond-mat/9704127. http://dx.doi.org/10.1016/S0378-4371(97)00318-X[Crossref]
  • [25] A. Johansen, O. Ledoit and D. Sornette: “Crashes as critical points”, Int. J. Theor. Appl. Finance, Vol. 3, (2000), pp. 219–255. [Crossref]
  • [26] W-X. Zhou and D. Sornette: “Renormalization group analysis of the 2000-2002 anti-bubble in the US S&P 500 index: Explanation of the hierarchy of 5 crashes and prediction”, Physica A, Vol. 330, (2003), pp. 584–604; Preprint arXiv:physics/0301023. http://dx.doi.org/10.1016/j.physa.2003.09.022[Crossref]
  • [27] D. Sornette and W-X. Zhou: “The US 2000-2002 market descent: How much longer and deeper?”, Quant. Fin., Vol. 2, (2002), pp. 468–481. http://dx.doi.org/10.1088/1469-7688/2/6/306[Crossref]
  • [28] A. Johansen, O. Ledoit and D. Sornette: “Crashes as critical points”, Int. J. The. Appl. Finance, Vol. 3, (2000), pp. 219–255. [Crossref]
  • [29] W-X. Zhou and D. Sornette: “Evidence of a worldwide stock market log-periodic anti-bubble since mid-2000”, Physica A, Vol. 330, (2002), pp. 543–583; Preprint:arXiv:cond-mat/0212010. http://dx.doi.org/10.1016/j.physa.2002.12.001[Crossref]
  • [30] J. Laherrèere and D. Sornette: “Stretched exponential distributions in nature and economy: ”fat tails” with characteristic scales”, Eur. Phys. J. B, Vol. 2, (1998), pp. 525–539. http://dx.doi.org/10.1007/s100510050276[Crossref]
  • [31] A. Johansen and D. Sornette: “Critical ruptures”, Eur. Phys. J. B, Vol. 18, (2000), pp. 163–181; Preprint: arXiv:cond-mat/0003478. http://dx.doi.org/10.1007/s100510070089[Crossref]
  • [32] For many other articles of D. Sornette see also several issues of the journal Eur. Phys. J. B and search Preprint: http://xxx.lanl.gov/abs/cond-mat/.
  • [33] J-P. Bouchaud: “Power laws in economics and finance: some ideas from physics”, Quant. Fin., Vol. 1, (2001), pp. 105–112. http://dx.doi.org/10.1088/1469-7688/1/1/307[Crossref]
  • [34] For detailed information about NYSE shares and indices, URL: http://biz.yahoo.com/i/.
  • [35] For detailed information about ISE, URL: http://www.imkb.gov.tr/sirket/sirketler_y_2003.thm.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.-psjd-doi-10_1007_s11534-005-0006-6
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.