Periodicity and Market Interactions

Periodicity and scaling of eigenmodes in an emerging market

We investigate periodic, aperiodic and scaling behaviour of eigenmodes, i.e. daily price fluctuation time-series derived from eigenvectors, of correlation matrices of shares listed on the Johannesburg Stock Exchange (JSE) from January 1993 to December 2002. Periodic, or calendar, components are investigated by spectral analysis. We demonstrate that calendar effects are limited to eigenmodes whi...

Periodicity and Almost-periodicity

The Interactions between the Lending Rates, Deposit Rates and Money Market Rates

T he present paper investigates the impact of the financial crisis on the interaction between the lending rates, deposit rates and money market rates through the process of retail bank interest rate pass-through in the countries of the Euro area. Among our findings is the heterogeneity of bank rate adjustments across sectors, loans and deposits. That was mainly marked during the pre-...

Non-Market Interactions

Poincaré Duality and Periodicity, Ii. James Periodicity

Let K be a connected finite complex. This paper studies the problem of whether one can attach a cell to some iterated suspension ΣK so that the resulting space satisfies Poincaré duality. When this is possible, we say that ΣK is a spine. We introduce the notion of quadratic self duality and show that if K is quadratically self dual, then ΣK is a spine whenever j is a suitable power of two. The ...