Firms having similar business activities are correlated. We analyze two different cross-correlation matrices C constructed from (i) 30-min price fluctuations of 1000 US stocks for the two-year period 1994-95 and (ii) one-day price fluctuations of 422 US stocks for the 35-year period 1962-96. We find that the eigenvectors of C corresponding to the largest eigenvalues allow us to partition the se...

Financial markets are one of the most fundamental markets in any country. In the financial markets, the securities market and the foreign exchange market are sensitive sectors. These two markets are affected by fluctuations and economic cycles so reflect economic changes rapidly. Changes in the returns of one market due to arbitrage conditions during time lead to changes in the returns of other...

We examine how non-competitiveness in financial markets affects the choice of asset portfolios and the determination of equilibrium prices. We apply a model of economic equilibrium, based on [12], in which individual traders recognize and estimate the impact of their trades on financial prices, and in which these effects are determined endogenously as part of the equilibrium concept. For the ca...

In this research, we employ Agent-Based Modeling to analyze how asset prices are affected by investors’ Behavior. We construct a virtual financial markets that contains several types of investors: fundamentalists and non-fudamentalists. In this analysis, we place focus on the influence of overconfident investors on financial markets. As a result of intensive analysis, we find that overconfident...

T his study is the second in a two-part analysis of the mutual fund industry. The first part (Fortune 1997, referred to here as " Part I ") examined the basic structure of the industry and discussed the historical relationship between mutual fund flows and returns on both short-term and long-term financial instruments. That study ended with a discussion of the role that momentum investing by mu...

Financial markets can be described on several time scales. We use data from the limit order book of the London Stock Exchange (LSE) to compare how the fluctuation dominated microstructure crosses over to a more systematic global behavior.

Money-Laundering causes a higher prevalence of crime and reduces the desire tending to invest in productive activities. Also, it leads to weaken the integrity of financial markets and decrease government control over economic policy. Banks are able to prevent theft, fraud, money laundering conducted by customers through identification of their clients’ behavioral characteristics. This leads to ...

Previous research indicated that the performance of interorganizational processes in electronic markets and hierarchies is influenced by eight factors: stakeholders, competition, information technology, market network (re)design, risk, process (re)design, information, and trust. This paper focuses on the inter-organizational processes related to the settlement (clearing) of cross border Euro pa...