scholarly journals Trade clustering and power laws in financial markets

2020 ◽  
Vol 15 (4) ◽  
pp. 1365-1398
Author(s):  
Makoto Nirei ◽  
John Stachurski ◽  
Tsutomu Watanabe
Keyword(s):  
Financial Markets ◽  
Trading Volume ◽  
Power Laws ◽  
State Model ◽  
Equilibrium Volume ◽  
Private Signals ◽  
Asset Value ◽  
Asset Trading ◽  
Stock Volume ◽  
Two State Model

This study provides an explanation for the emergence of power laws in asset trading volume and returns. We consider a two‐state model with binary actions, where traders infer other traders' private signals regarding the value of an asset from their actions and adjust their own behavior accordingly. We prove that this leads to power laws for equilibrium volume and returns whenever the number of traders is large and the signals for asset value are sufficiently noisy. We also provide numerical results showing that the model reproduces observed distributions of daily stock volume and returns.

scholarly journals SIMULATIONS OF FINANCIAL MARKETS IN A POTTS-LIKE MODEL

2005 ◽  
Vol 16 (08) ◽  
pp. 1311-1317 ◽  
Author(s):  
TETSUYA TAKAISHI
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Potts Model ◽  
State Model ◽  
Exponential Distributions ◽  
Stylized Facts ◽  
Time Correlations ◽  
Long Time ◽  
Three State Model ◽  
Two State Model

A three-state model based on the Potts model is proposed to simulate financial markets. The three states are assigned to "buy", "sell" and "inactive" states. The model shows the main stylized facts observed in the financial market: fat-tailed distributions of returns and long time correlations in the absolute returns. At low inactivity rate, the model effectively reduces to the two-state model of Bornholdt and shows similar results to the Bornholdt model. As the inactivity increases, we observe the exponential distributions of returns.

scholarly journals Heterogeneous Beliefs, Wealth Distribution, and Asset Markets with Risk of Default

2012 ◽  
Vol 102 (3) ◽  
pp. 156-160 ◽  
Author(s):  
Viktor Tsyrennikov
Keyword(s):  
Financial Markets ◽  
Trading Volume ◽  
Wealth Distribution ◽  
Asset Returns ◽  
Heterogeneous Beliefs ◽  
Asset Markets ◽  
Financial Assets ◽  
Asset Trading ◽  
Arrow Securities ◽  
The Rich

We study asset markets and wealth dynamics in the economy with heterogeneous beliefs and risk of default. Agents can trade a full set of Arrow securities but are allowed to default on their delivery promises. Financial markets rationally subject agents to the endogenous “no-default” borrowing limits. Because of the rich menu of financial assets traded in the market speculation opportunities are plentiful. Financial wealth is volatile and the endogenous borrowing limits are always active. Variance of the asset returns is amplified. The asset trading volume is substantial and volatile.

Polarographic studies on renaturation of urea-denatured human serum albumin

1989 ◽  
Vol 54 (2) ◽  
pp. 536-543 ◽  
Author(s):  
Josef Chmelík ◽  
Pavel Anzenbacher ◽  
Vítěz Kalous
Keyword(s):  
Human Serum Albumin ◽  
Serum Albumin ◽  
Human Serum ◽  
Irreversible Process ◽  
State Model ◽  
Native Protein ◽  
Main Components ◽  
Two State Model ◽  
Kinetics Of

The renaturation of the two main components of human serum albumin, i.e. of mercaptalbumin and nonmercaptalbumin, was studied polarographically. It has been demonstrated that renaturation of both proteins after 1-min denaturation in 8M urea is reversible. By contrast, renaturation after 200 min denaturation in 8M urea is an irreversible process; the characteristics of renatured mercaptalbumin differ more from the properties of the native protein than the characteristics of nonmercaptalbumin. The studies of the kinetics of renaturation of both proteins have shown that the renaturation can be represented by a two-state model. This means that the existence of stable intermediary products during the renaturation process was not determined polarographically.

Two-state model for bacterial chemoreceptor proteins

1984 ◽  
Vol 176 (3) ◽  
pp. 349-367 ◽  
Author(s):  
Sho Asakura ◽  
Hajime Honda
Keyword(s):  
State Model ◽  
Two State Model

Worklife and Unemployment: A New Consideration

2021 ◽  
Author(s):  
David I. Rosenbaum ◽  
Kalana Jayanetti
Keyword(s):  
Initial Data ◽  
State Model ◽  
Inactive State ◽  
Three State Model ◽  
Good Proxy ◽  
Two State Model

Abstract Do traditional two-state worklife estimates need adjustment for unemployment? To answer, an augmented three-state model classifies individuals as either 1) employed; 2) unemployed; or 3) inactive but not marginally attached. Periods of unemployment may reduce worklives; however, removal of those marginally attached or discouraged from the inactive state raises worklives. The three-state model results are compared to worklife estimates from the same initial data using the traditional two-state model. Results show that in many cases, the two-state model results are a good proxy for the three-state results that control for unemployment.

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