118 research outputs found
Speculative trading: the price multiplier effect
During a speculative episode the price of an item jumps from an initial level
p_1 to a peak level p_2 before more or less returning to level p_1. The ratio
p_2/p_1 is referred to as the amplitude A of the peak. This paper shows that
for a given market the peak amplitude is a linear function of the logarithm of
the price at the beginning of the speculative episode; with p_1 expressed in
1999 euros the relationship takes the form:
; the values of the parameter a turn out to be relatively
independent of the market considered: , the values of the
parameter b are more market-dependent, but are stable in the course of time for
a given market. This relationship suggests that the higher the stakes the more
"bullish" the market becomes. Possible mechanisms of this "risk affinity"
effect are discussed.Comment: 7 pages, one figure (4 graphics); to appear in European Physical
Journal
Determining bottom price-levels after a speculative peak
During a stock market peak the price of a given stock () jumps from an
initial level to a peak level before falling back to a
bottom level . The ratios and are referred to as the peak- and bottom-amplitude respectively.
The paper shows that for a sample of stocks there is a linear relationship
between and of the form: . In words, this means
that the higher the price of a stock climbs during a bull market the better it
resists during the subsequent bear market. That rule, which we call the
resilience pattern, also applies to other speculative markets. It provides a
useful guiding line for Monte Carlo simulations.Comment: 6 pages 5 figures To appear in European Physical Journal
"Thermometers" of Speculative Frenzy
Establishing unambiguously the existence of speculative bubbles is an
on-going controversy complicated by the need of defining a model of fundamental
prices. Here, we present a novel empirical method which bypasses all the
difficulties of the previous approaches by monitoring external indicators of an
anomalously growing interest in the public at times of bubbles. From the
definition of a bubble as a self-fulfilling reinforcing price change, we
identify indicators of a possible self-reinforcing imitation between agents in
the market. We show that during the build-up phase of a bubble, there is a
growing interest in the public for the commodity in question, whether it
consists in stocks, diamonds or coins. That interest can be estimated through
different indicators: increase in the number of books published on the topic,
increase in the subscriptions to specialized journals. Moreover, the well-known
empirical rule according to which the volume of sales is growing during a bull
market finds a natural interpretation in this framework: sales increases in
fact reveal and pinpoint the progress of the bubble's diffusion throughout
society. We also present a simple model of rational expectation which maps
exactly onto the Ising model on a random graph. The indicators are then
interpreted as ``thermometers'', measuring the balance between idiosyncratic
information (noise temperature) and imitation (coupling) strength. In this
context, bubbles are interpreted as low or critical temperature phases, where
the imitation strength carries market prices up essentially independently of
fundamentals. Contrary to the naive conception of a bubble and a crash as times
of disorder, on the contrary, we show that bubbles and crashes are times where
the concensus is too strong.Comment: 15 pages + 10 figure
The sharp peak-flat trough pattern and critical speculation
We find empirically a characteristic sharp peak-flat trough pattern in a
large set of commodity prices. We argue that the sharp peak structure reflects
an endogenous inter-market organization, and that peaks may be seen as local
``singularities'' resulting from imitation and herding. These findings impose a
novel stringent constraint on the construction of models. Intermittent
amplification is not sufficient and nonlinear effects seem necessary to account
for the observations.Comment: 20 pages, 6 figures (only fig.4 and 6 available in ps format), 3
tables, European Physical Journal B (in press
To sell or not to sell? Behavior of shareholders during price collapses
It is a common belief that the behavior of shareholders depends upon the
direction of price fluctuations: if prices increase they buy, if prices
decrease they sell. That belief, however, is more based on ``common sense''
than on facts. In this paper we present evidence for a specific class of
shareholders which shows that the actual behavior of shareholders can be
markedly different.Comment: 9 pages, 1 figure. To appear in International Journal of Modern
Physics
Response Functions to Critical Shocks in Social Sciences: An Empirical and Numerical Study
We show that, provided one focuses on properly selected episodes, one can
apply to the social sciences the same observational strategy that has proved
successful in natural sciences such as astrophysics or geodynamics. For
instance, in order to probe the cohesion of a policy, one can, in different
countries, study the reactions to some huge and sudden exogenous shocks, which
we call Dirac shocks. This approach naturally leads to the notion of structural
(as opposed or complementary to temporal) forecast. Although structural
predictions are by far the most common way to test theories in the natural
sciences, they have been much less used in the social sciences. The Dirac shock
approach opens the way to testing structural predictions in the social
sciences. The examples reported here suggest that critical events are able to
reveal pre-existing ``cracks'' because they probe the social cohesion which is
an indicator and predictor of future evolution of the system, and in some cases
foreshadows a bifurcation. We complement our empirical work with numerical
simulations of the response function (``damage spreading'') to Dirac shocks in
the Sznajd model of consensus build-up. We quantify the slow relaxation of the
difference between perturbed and unperturbed systems, the conditions under
which the consensus is modified by the shock and the large variability from one
realization to another
Three-state herding model of the financial markets
We propose a Markov jump process with the three-state herding interaction. We
see our approach as an agent-based model for the financial markets. Under
certain assumptions this agent-based model can be related to the stochastic
description exhibiting sophisticated statistical features. Along with power-law
probability density function of the absolute returns we are able to reproduce
the fractured power spectral density, which is observed in the high-frequency
financial market data. Given example of consistent agent-based and stochastic
modeling will provide background for the further developments in the research
of complex social systems.Comment: 11 pages, 3 figure
Synthetic Biology Open Language Visual (SBOL Visual) Version 2.0
People who are engineering biological organisms often find it useful to communicate in diagrams, both about the structure of the nucleic acid sequences that they are engineering and about the functional relationships between sequence features and other molecular species. Some typical practices and conventions have begun to emerge for such diagrams. The Synthetic Biology Open Language Visual (SBOL Visual) has been developed as a standard for organizing and systematizing such conventions in order to produce a coherent language for expressing the structure and function of genetic designs. This document details version 2.0 of SBOL Visual, which builds on the prior SBOL Visual 1.0 standard by expanding diagram syntax to include functional interactions and molecular species, making the relationship between diagrams and the SBOL data model explicit, supporting families of symbol variants, clarifying a number of requirements and best practices, and significantly expanding the collection of diagram glyphs
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