A Heuristic for Approximating Extreme Negative Price Returns in Financial Markets

• Authors: J. Manhire
• Languages of publication: EN

Abstracts

EN

The paper describes the behavior of financial markets as functions of the variables ``price return'' and ``time'' based on the net difference between ask and bid volumes over a unit period, thereby suggesting that at least a negative non-trivial price return extreme exists for a unit period. This admittedly heuristic approach also offers a method for approximating these negative price return extremes for a specific unit period. Limitations and applications are discussed.

Keywords

EN

02.70.-c; 05.10.-a; 89.65.Gh

Discipline

• 02.70.-c: Computational techniques; simulations(for quantum computation, see 03.67.Lx; for computational techniques extensively used in subdivisions of physics, see the appropriate section; for example, see 47.11.-j Computational methods in fluid dynamics)
• 05.10.-a: Computational methods in statistical physics and nonlinear dynamics(see also 02.70.-c in mathematical methods in physics)
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)

• Journal: Acta Physica Polonica A
• Year: 2018
• Volume: 133
• Issue: 6
• Pages: 1408-1413

Dates

published

2018-06

Contributors

author

J. Manhire

• Texas A&M University, 1249 TAMU, College Station, TX 77843-1249, U.S.A.

Identifiers

DOI

10.12693/APhysPolA.133.1408