Patterns of speculation: a study in observational econophysics
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York
Cambridge University Press
2002
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| Schlagworte: | |
| Online-Zugang: | Sample text Publisher description Table of contents Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | XVII, 230 S. graph. Darst. |
| ISBN: | 0521802636 |
Internformat
MARC
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| 245 | 1 | 0 | |a Patterns of speculation |b a study in observational econophysics |c Bertrand M. Roehner |
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| 300 | |a XVII, 230 S. |b graph. Darst. | ||
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| 500 | |a Includes bibliographical references and index | ||
| 650 | 4 | |a Investments | |
| 650 | 4 | |a Speculation | |
| 650 | 4 | |a Speculation | |
| 650 | 4 | |a Investments | |
| 650 | 0 | 7 | |a Spekulation |g Wirtschaft |0 (DE-588)4056142-2 |2 gnd |9 rswk-swf |
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| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009940100&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
Preface page xi
I Econophysics 1
1 WHY ECONOPHYSICS? 3
1 Newton s apple paradigm revisited 4
1.1 Newton s apple 5
1.2 An economic parallel 7
2 Simple phenomena first 8
2.1 Two body problems 9
2.2 Complexity classification 10
2.3 The role of time: Simon s bowl metaphor 11
2.4 Simple aspects of complex systems 12
3 From plausible reasons to regularities 14
3.1 The pot of yoghurt paradigm 15
3.2 Plausible causes versus scientific explanations 17
3.3 Regularities 20
3.4 Circumstantial causes versus structural factors 21
3.5 Models need accurate empirical targets 21
4 Conclusion 22
4.1 The primacy of observation 22
4.2 Modest goals 23
4.3 Clusters of events and comparative analysis 23
2 THE BEGINNINGS OF ECONOPHYSICS 25
1 Pre econophysics 26
1.1 Pre econophysicists 27
1.2 Assessment of pre econophysics 28
v
vi Contents
2 Institutional econophysics 29
2.1 Idiosyncrasies of economic journals 29
2.2 The beginnings of econophysics 30
2.3 Neurophysics 31
2.4 The fractal revolution 33
2.5 Formation of an econophysical community 33
2.6 A personal note 34
2.7 The future of econophysics 35
II How do markets work? 37
3 SOCIAL MAN VERSUS HOMO ECONOMICUS 39
1 The social man and the Zeitgeist 40
1.1 Connection between fast growth sectors and Zeitgeist 41
1.2 Quantitative measure of the role of the Zeitgeist 45
1.3 Ways and means of the Zeitgeist 47
2 Regularities 48
2.1 The search for uniformities and regularities 48
2.2 Examples of speculative peaks 49
4 ORGANIZATION OF SPECULATIVE MARKETS 55
1 Trends 56
1.1 Concentration 56
1.2 The thorny question of commission rates 60
2 Trading techniques 62
2.1 Short selling, futures, options 63
2.2 How to create a successful financial product? 66
2.3 Protection against market crashes 68
2.4 Sources of instability: the boomerang effect 70
3 Organization of the banking system 72
3.1 The United States 73
3.2 Canada versus the United States 73
4 Time series for stock prices and bankruptcies 74
4.1 Stock prices 74
4.2 Downgrades, failure rate, and suspensions 78
III Regularities in speculative episodes 81
5 COLLECTIVE BEHAVIOR OF INVESTORS 83
1 High tech booms 84
1.1 The high tech boom of the automobile industry 84
Contents vii
1.2 The phase of natural selection 85
1.3 High tech booms backed by venture capital 87
2 Flight to safety 89
2.1 Grain panics 91
2.2 Nineteenth century banking panics 91
2.3 Relationship with grain crisis 92
2.4 Deliver us from inflation 93
2.5 Flight to quality in equity markets 97
3 To sell or not to sell? 103
3.1 Formulation of the problem 104
3.2 Some methodological points 108
3.3 Short term response (weekly fluctuations) 108
3.4 Long term response (yearly fluctuations) 109
3.5 Effect of mutual funds purchases on stock prices 112
3.6 Conclusion 114
4 Connection between property and stock markets 115
4.1 Impact of property crashes on economic growth 115
4.2 Delay in the response of real estate markets 117
4.3 The connection between property and stock bubbles 118
6 SPECULATIVE PEAKS: STATISTICAL
REGULARITIES 122
1 A thermometer of speculative frenzy 122
1.1 Real estate 124
1.2 Bonds 125
2 Shape of price peaks 126
2.1 Empirical evidence for asymmetry parameters 128
2.2 Mathematical description of the shape of peaks 130
2.3 Empirical evidence for shape parameters 131
3 Stock market crashes 133
3.1 When? 134
3.2 How? 135
3.3 Overnight crashes 137
3.4 Lawsuits in the wake of market crashes 139
4 Trading volume 140
4.1 Volume at the level of individual stocks 140
4.2 Volume movements at market level 141
5 Economic consequences of stock market collapses 143
5.1 Consumer confidence 144
viii Contents
5.2 Relationship between stock price levels and
commission rates 149
5.3 Effect on the distribution of income 151
IV Theoretical framework 155
7 TWO CLASSES OF SPECULATIVE PEAKS 157
1 Speculative peaks: two illustrative examples 158
1.1 Wheat price peaks 158
1.2 Real estate prices 158
2 The price multiplier criterion 160
3 The ensemble dispersion criterion 163
4 Two classes 167
5 Bond market 172
6 Differences in response times 175
6.1 Dispersion of peak times 175
6.2 Relationship between amplitude and response time 176
8 DYNAMICS OF SPECULATIVE PEAKS:
THEORETICAL FRAMEWORK 177
1 Main ideas 178
1.1 A comparative perspective 178
1.2 Shock versus permanent monitoring 179
1.3 Users and speculators 179
1.4 Transaction friction 180
1.5 Agents and markets form a compound 182
2 Implementation 183
2.1 Recapitulation of empirical regularities 183
2.2 Dynamic equations: first order 183
2.3 Dynamic equations: second order 184
2.4 Dynamic equations: higher orders 185
2.5 Light or heavy damping? 186
3 Implications 188
3.1 Amplitude versus duration of the ascending phase 188
3.2 Peak amplitude and proportion of investors 190
3.3 Synchronization effects 193
Appendix A: Green s function for a fourth order equation 195
9 THEORETICAL FRAMEWORK: IMPLICATIONS 198
1 The resilience effect 199
1.1 Description 199
Contents ix
1.2 Interpretation 200
1.3 Statistical evidence 202
2 Breakdown of scaling 203
2.1 First order process 204
2.2 Second order process 207
3 Ensemble coefficient of variation 208
4 The stochastic spatial arbitrage model for U class goods 211
5 Perspectives 214
Main data sources 216
References 219
Index 227
|
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| discipline | Wirtschaftswissenschaften |
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| spelling | Roehner, Bertrand M. 1946- Verfasser (DE-588)115122621 aut Patterns of speculation a study in observational econophysics Bertrand M. Roehner New York Cambridge University Press 2002 XVII, 230 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Includes bibliographical references and index Investments Speculation Spekulation Wirtschaft (DE-588)4056142-2 gnd rswk-swf Spekulation Wirtschaft (DE-588)4056142-2 s DE-604 http://www.loc.gov/catdir/samples/cam033/2001043217.html Sample text http://www.loc.gov/catdir/description/cam022/2001043217.html Publisher description http://www.loc.gov/catdir/toc/cam021/2001043217.html Table of contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009940100&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| subject_GND | (DE-588)4056142-2 |
| title | Patterns of speculation a study in observational econophysics |
| title_auth | Patterns of speculation a study in observational econophysics |
| title_exact_search | Patterns of speculation a study in observational econophysics |
| title_full | Patterns of speculation a study in observational econophysics Bertrand M. Roehner |
| title_fullStr | Patterns of speculation a study in observational econophysics Bertrand M. Roehner |
| title_full_unstemmed | Patterns of speculation a study in observational econophysics Bertrand M. Roehner |
| title_short | Patterns of speculation |
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