550 research outputs found
The statistical relationship between product life cycle and repeat purchase behavior in convenience stores
The density function of product life cycles in convenience stores is found to
follow the Weibull distribution. To clarify the parameters that determine these
life cycles, we introduce the conditional market share-defined as the
probability that a product is selected by customers only if it had been
previously purchased-and the market share without any conditions. The product
life cycle is more strongly correlated with the conditional market share of the
product than with the latter type of market share.Comment: 9 pages, 5 figures, 3 tables. Progress of Theoretical Physics, in
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Novel and topical business news and their impact on stock market activities
We propose an indicator to measure the degree to which a particular news
article is novel, as well as an indicator to measure the degree to which a
particular news item attracts attention from investors. The novelty measure is
obtained by comparing the extent to which a particular news article is similar
to earlier news articles, and an article is regarded as novel if there was no
similar article before it. On the other hand, we say a news item receives a lot
of attention and thus is highly topical if it is simultaneously reported by
many news agencies and read by many investors who receive news from those
agencies. The topicality measure for a news item is obtained by counting the
number of news articles whose content is similar to an original news article
but which are delivered by other news agencies. To check the performance of the
indicators, we empirically examine how these indicators are correlated with
intraday financial market indicators such as the number of transactions and
price volatility. Specifically, we use a dataset consisting of over 90 million
business news articles reported in English and a dataset consisting of
minute-by-minute stock prices on the New York Stock Exchange and the NASDAQ
Stock Market from 2003 to 2014, and show that stock prices and transaction
volumes exhibited a significant response to a news article when it is novel and
topical.Comment: 8 pages, 6 figures, 2 table
Shape of Growth Rate Distribution Determines the Type of Non-Gibrat's Property
In this study, the authors examine exhaustive business data on Japanese firms, which cover nearly all companies in the mid- and large-scale ranges in terms of firm size, to reach several key findings on profits/sales distribution and business growth trends. First, detailed balance is observed not only in profits data but also in sales data. Furthermore, the growth-rate distribution of sales has wider tails than the linear growth-rate distribution of profits in log-log scale. On the one hand, in the mid-scale range of profits, the probability of positive growth decreases and the probability of negative growth increases symmetrically as the initial value increases. This is called Non-Gibrat's First Property. On the other hand, in the mid-scale range of sales, the probability of positive growth decreases as the initial value increases, while the probability of negative growth hardly changes. This is called Non-Gibrat's Second Property. Under detailed balance, Non-Gibrat's First and Second Properties are analytically derived from the linear and quadratic growth-rate distributions in log-log scale, respectively. In both cases, the log-normal distribution is inferred from Non-Gibrat's Properties and detailed balance. These analytic results are verified by empirical data. Consequently, this clarifies the notion that the difference in shapes between growth-rate distributions of sales and profits is closely related to the difference between the two Non-Gibrat's Properties in the mid-scale range.
Analysis of price diffusion in financial markets using PUCK model
Based on the new type of random walk process called the Potentials of
Unbalanced Complex Kinetics (PUCK) model, we theoretically show that the price
diffusion in large scales is amplified 2/(2 + b) times, where b is the
coefficient of quadratic term of the potential. In short time scales the price
diffusion depends on the size M of the super moving average. Both numerical
simulations and real data analysis of Yen-Dollar rates are consistent with
theoretical analysis.Comment: 8 pages, 4 figures, Proceedings of APFA
Traders' strategy with price feedbacks in financial market
We introduce an autoregressive-type model of prices in financial market
taking into account the self-modulation effect. We find that traders are mainly
using strategies with weighted feedbacks of past prices. These feedbacks are
responsible for the slow diffusion in short times, apparent trends and power
law distribution of price changes.Comment: 4 pages, 5 figures, submitted to Physica
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