scholarly journals Structural and temporal patterns of the first global trading market

2018 ◽  
Vol 5 (8) ◽  
pp. 180577 ◽  
Author(s):  
Ana Sofia Ribeiro ◽  
Flávio L. Pinheiro ◽  
Francisco C. Santos ◽  
Amélia Polónia ◽  
Jorge M. Pacheco
Keyword(s):  
Sixteenth Century ◽  
Financial Markets ◽  
Power Law ◽  
Temporal Analysis ◽  
Financial Networks ◽  
Temporal Network ◽  
Online Database ◽  
Structural Patterns ◽  
Trading Market ◽  
Fast Adaptation

Little is known about the structural patterns and dynamics of the first global trading market (FGTM), which emerged during the sixteenth century as a result of the Iberian expansion, let alone how it compares to today's global financial markets. Here we build a representative network of the FGTM using information contained in 8725 (handwritten) Bills of Exchange from that time—which were (human) interpreted and digitalized into an online database. We show that the resulting temporal network exhibits a hierarchical, highly clustered and disassortative structure, with a power-law dependence on the connectivity that remains remarkably robust throughout the entire period investigated. Temporal analysis shows that, despite major turnovers in the number and nature of the links—suggesting fast adaptation in response to the geopolitical and financial turmoil experienced at the time—the overall characteristics of the FGTM remain robust and virtually unchanged. The methodology developed here demonstrates the possibility of building and analysing complex trading and finance networks originating from pre-statistical eras, enabling us to highlight the striking similarities between the structural patterns of financial networks separated by centuries in time.

DYNAMICAL ANALYSES USING VISIBILITIES IN FINANCIAL MARKETS

Fractals ◽  
2016 ◽  
Vol 24 (02) ◽  
pp. 1650016 ◽  
Author(s):  
SEUNGSIK MIN ◽  
KYUSEONG LIM ◽  
KI-HO CHANG ◽  
IL-HWAN PARK ◽  
KYUNGSIK KIM
Keyword(s):  
Time Series ◽  
Financial Markets ◽  
Statistical Method ◽  
Poisson Distribution ◽  
Power Law ◽  
Graph Algorithm ◽  
Visibility Graph ◽  
Financial Networks ◽  
Topological Properties ◽  
Network Metrics

In this paper, the network metrics are studied in a time series of the KOSPI and the KOSDAQ indices converting by the visibility graph algorithm. The degree distributions for the KOSPI and the KOSDAQ are proportional to a power law rather than the Poisson distribution. Since we mainly simulate and analyze the network metrics from the nodes and its links, our result cannot be found unambiguously to have universal and characteristic properties of statistical quantities via financial networks. Particularly, these topological properties may improve by implementing the statistical method and its technique from altered data of financial networks.

“Una fiera senza luogo”: Was Bisenzone an International Capital Market in Sixteenth-Century Italy?

2008 ◽  
Vol 68 (4) ◽  
pp. 1098-1122 ◽  
Author(s):  
LUCIANO PEZZOLO ◽  
GIUSEPPE TATTARA
Keyword(s):  
Seventeenth Century ◽  
Sixteenth Century ◽  
Financial Markets ◽  
Capital Market ◽  
International Capital ◽  
Short Term ◽  
Financial Network ◽  
International Capital Market ◽  
International Scale

From the mid-sixteenth to the early seventeenth century, Genoese bankers collected money from a variety of sources and lent it to the king of Spain. It was all made possible by the Bisenzone exchange fairs, which created an efficient financial network under Genoese control and permitted arbitrage among northern Italian financial markets. At Bisenzone, Genoese bankers raised money for these loans from a variety of sources, which reduced the risks of lending and funded the king's long-term obligations via short term loans. Bisenzone was in many ways an offshore capital market which operated on an international scale, or, in the language of the sixteenth century, a fair without a place—una fiera senza luogo.

scholarly journals Spatial-Temporal Analysis the Dynamics of Changes on the Foreign Exchange Market: an Empirical Estimates from Ukraine

2020 ◽  
Vol 1 (2) ◽  
pp. 1-6
Author(s):  
Oleg Vasiurenko ◽  
Vyacheslav Lyashenko ◽  
Valeria Baranova ◽  
Zhanna Deineko
Keyword(s):  
Financial Markets ◽  
Foreign Exchange ◽  
Emerging Economies ◽  
Foreign Exchange Market ◽  
Temporal Analysis ◽  
Wavelet Coherence ◽  
Exchange Market ◽  
Empirical Estimates ◽  
Market Trends ◽  
Spatial Temporal Analysis

The foreign exchange market plays an important role in the formation and development of financial markets. This market is of particular importance for emerging economies. To understand market trends (to understand and develop a strategy for its development), it is necessary to analyze historical data. It is also important to use different methods to carry out this analysis. Based on this, the paper analyzes the foreign exchange market in Ukraine for the period 2014-2018. For this analysis, the wavelet coherence methodology is used. This made it possible to assess the development of the foreign exchange market in Ukraine.

scholarly journals High‑Frequency Trading in the Modern Market Microstructure: Opportunities and Threats

2019 ◽  
Vol 7 (3) ◽  
pp. 25-36
Author(s):  
M. Zharikov
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Market Microstructure ◽  
High Frequency ◽  
Financial Engineering ◽  
Market Design ◽  
High Frequency Trading ◽  
Optimal Trading ◽  
Trading Market ◽  
Long Run

The article covers some ideas about the research on high-frequency trading and financial market design. The topic is time-relevant because today there exists a need to convince traders that there is a simple structural floor in the way that the financial markets are designed. The article reveals the significance of trading on the floor that the foremost fundamental constraint is limited time. The author proves that time on the financial market feels, to some extent, infinite when someone counts it in millions of seconds, but time is nevertheless finite. The author then gets into the actual research on high-frequency trading in the financial market design. The motivation for this project is to analyse activity among high-frequency trading firms by which investments of substantial sums of money are understood as economically trivial speed improvements. The theoretical significance of the research’s outcomes lies in outlaying the systemic approach to dealing with stochastic control problems in the context of financial engineering. The practical relevance of the paper lies in the mechanism that allows solving problems surrounding optimal trading, market microstructure, high-frequency trading, etc. The article concludes by talking about the issues in the modern electronic markets and by giving lessons to dealing with them in the long run.

Production of Investment Returns

2017 ◽  
Author(s):  
Gordon L. Clark ◽  
Ashby H. B. Monk
Keyword(s):  
Financial Markets ◽  
Financial Institutions ◽  
Theory Of The Firm ◽  
Building Blocks ◽  
Influential Factors ◽  
Financial Networks ◽  
Senior Managers ◽  
Investment Returns ◽  
Goals And Objectives ◽  
Over Time

Chapter 4 introduces the ways in which institutional investors produce investment returns over time and space. In doing so, the chapter considers the 1937 theory of the firm by Coase and reviews the theory’s relevance in today’s environment. It then outlines the three building blocks underpinning the ways in which financial institutions produce investment returns in the context of spatially extensive financial markets: ecology of finance, managers and workers, and coordination. The chapter also demonstrates the distinctive attributes of financial institutions, especially vis-à-vis the power and authority of senior managers in relation to the institution’s goals and objectives. The chapter explores other influential factors, such as the ways in which location, particularly in large urban centres with extensive financial networks, can make a difference.

Temporal analysis of power law liquid jets

2010 ◽  
Vol 39 (5) ◽  
pp. 820-828 ◽  
Author(s):  
Zhanjun Gao ◽  
Kam Ng
Keyword(s):  
Power Law ◽  
Temporal Analysis ◽  
Liquid Jets

scholarly journals Impact of Bursty Human Activity Patterns on the Popularity of Online Content

2012 ◽  
Vol 2012 ◽  
pp. 1-11 ◽  
Author(s):  
Qiang Yan ◽  
Lianren Wu
Keyword(s):  
Power Law ◽  
Activity Patterns ◽  
Temporal Analysis ◽  
Time Interval ◽  
Online Content ◽  
Power Law Decay ◽  
Content Popularity ◽  
Human Activity Patterns ◽  
The Impact ◽  
Statistical Results

The dynamics of online content popularity has attracted more and more researches in recent years. In this paper, we provide a quantitative, temporal analysis about the dynamics of online content popularity in a massive system: Sina Microblog. We use time-stamped data to investigate the impact of bursty human comment patterns on the popularity of online microblog news. Statistical results indicate that the number of news and comments exhibits an exponential growth. The strength of forwarding and comment is characterized by bursts, displaying fat-tailed distribution. In order to characterize the dynamics of popularity, we explore the distribution of the time intervalΔtbetween consecutive comment bursts and find that it also follows a power-law. Bursty patterns of human comment are responsible for the power-law decay of popularity. These results are well supported by both the theoretical analysis and empirical data.

scholarly journals Knowing and doing in the sixteenth century: what were instruments for?

2003 ◽  
Vol 36 (2) ◽  
pp. 129-150 ◽  
Author(s):  
JIM BENNETT
Keyword(s):  
Sixteenth Century ◽  
Natural World ◽  
History Of Astronomy ◽  
Scientific Instruments ◽  
Online Database ◽  
The Earth ◽  
History Of ◽  
Practical Mathematics ◽  
The Relationship

Despite recent work on scientific instruments by historians of science, the meeting ground between historians and curators of collections has been disappointingly narrow. This study offers, first, a characterization of sixteenth-century mathematical instruments, drawing on the work of curators, as represented by the online database Epact. An examination of the relationship between these instruments and the natural world suggests that the ‘theoric’, familiar from studies of the history of astronomy, has a wider relevance to the domain of practical mathematics. This outcome from a study of collections is then used in re-examining an established question in the history of science, the position of William Gilbert on the motion of the Earth.

scholarly journals Network Approaches to Analyze the Dynamics of Financial Markets

2018 ◽  
Vol 20 (1) ◽  
Author(s):  
Miranda Rose Lochner
Keyword(s):  
Financial Markets ◽  
Power Law ◽  
Stock Prices ◽  
Spanning Tree ◽  
Minimum Spanning Tree ◽  
Threshold Value ◽  
Exponential Relationship ◽  
Market Graph ◽  
Data Points ◽  
Network Approaches

Analyzing financial markets requires gathering large amounts of data and determining appropriate methods so that accurate and appropriate conclusions can be drawn. The purpose of this paper is to investigate network approaches to understand large amounts of financial data and the implications of different approaches. Creating a market graph has been used to analyze financial instruments, and prices fluctuations of stocks over a large time period. A market graph is constructed with nodes and edges; nodes represent the quantity of interest, or specific data points, such as stock prices at an instance of time. Edges represent a relationship between one node and another. Creating edges can be accomplished through many different approaches including correlation coefficients, power law, and minimum spanning tree. Pearson’s correlation coefficient can be used to relate a set of two data points and can be further filtered through a minimum threshold value. The power law graph is another unique way to relate data points to one another. The power law graph creates edges among nodes by considering a probability and the binomial distribution. The power law graph has powerful implications on network analysis because it concludes that the degree distribution, the number of connections a node has to other nodes, is represented as an exponential relationship. A minimum spanning tree is a hierarchical method used to analyze market graphs. A minimum spanning tree clusters data by partitioning data appropriately. Overall, many methods are defined to establish a market graph depending on the purpose of the analysis and the parameter of interest.

Evolution of Complex Systems and 1/f Noise: from Physics to Financial Markets

2004 ◽  
Vol 97-98 ◽  
pp. 65-70 ◽  
Author(s):  
V. Gontis ◽  
B. Kaulakys ◽  
M. Alaburda ◽  
J. Ruseckas
Keyword(s):  
Power Spectrum ◽  
Complex Systems ◽  
Spectral Density ◽  
Financial Markets ◽  
Power Law ◽  
Model System ◽  
Multiplicative Model ◽  
Self Organization ◽  
Specific Interest ◽  
Time Intervals

We introduce the stochastic multiplicative model of time intervals between the events, defining a multiplicative point process and analyze the statistical properties of the signal. Such a model system exhibits power-law spectral density S(f)~1/fβ, scaled as power of frequency for various values of β between 0.5 and 2. We derive explicit expressions for the power spectrum and other statistics and analyze the model system numerically. The specific interest of our analysis is related with the theoretical modeling of the nonlinear complex systems exhibiting fractal behavior and self-organization.

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