Understanding the complex nature of financial markets remains a great challenge, especially in light of the most recent financial crisis. Recent studies have investigated large data-sets of financial markets, and have analysed and modelled the static and dynamic behaviour of this very complex system (Fama 1965, Lo and Craig MacKinlay 1990, Campbell et al. 1997, Lux and Marchesi 1999, Cont and B...

This paper presents new evidence on international financial market integration using stock analyst earnings forecasts from 37 countries around the world. By examining cash flow and discount rate news co-movements, we find that the financial and economic aspects of global market integration have diverged over time as financial integration has developed particularly more rapidly than economic int...

This paper discusses contagious effects of expectation in financial markets. We first review developments of Japanese financial markets towards the end of 1997 when a number of financial institutions collapsed. We then consider a simple model and study conditions under which contagious expectation triggers a financial crisis. Finally, based upon these, we derive some policy implications regardi...

a r t i c l e i n f o JEL classification: F30 G14 G15 Keywords: Hurst exponent Financial crisis Financial contagion Efficiency Stock markets MFDMA algorithm Copula models This study analyzes how the 2008 and 2010 financial crises, which began in the US and Greece respectively, affected the Hurst exponents of index returns of the stock markets of Belgium, France, Greece, Japan, the Netherlands, ...

Gordon Clark is surely right when he declares that ‘people are often unable to conceptualize immediate circumstances against market forces that operate beyond the boundaries of current experience and at levels or scales that appear abstract rather than material to the interests of those involved’. In this commentary, I claim that the description of the interactions between behavioral predisposi...

although capital inflows affect positively economies in long-run, it is possible to generate somehow destructive effects if there is no any control on financial markets. this study tries to explore main determinants of large capital inflows episodes to emerging markets. it is also investigated whether the large capital inflows episodes lead to financial crises in forms of sudden stop phenomenon...

In this paper we study the scarcity of replication of options in the two period model of financial markets with a finite set of states. Especially we study this problem in financial markets without binary vectors and in strongly resolving markets. We start our study by proving that a financial market does not have binary vectors if and only if for any portfolio, at lest one non trivial option i...

This chapter examines a new class of markets at the intersection of trad· itional betting and traditional financial markets. We call these 'prediction markets'. Like both financial and betting markets, prediction markets focus on uncertain outcomes and involve trading in risks. Prices from these markets establish forecasts about the probabilities, mean and median outcomes, and correlations amon...

the recent turmoil in global financial markets, associated with the u.S. subprime mortgage crisis, has raised important questions about the stability and integrity of the new international financial structure. these events represent the first real stress test of the world’s financial system since the late 1990s when the asian financial crisis, Russian debt default, and long-term capital Managem...

Market-makers have been used by global stock exchanges as well as prediction markets to maintain liquidity and orderly price transitions in the financial markets. We use an agent-based model of the financial markets to analyze the behavior of market-makers employing various strategies. We empirically evaluate the performance of the market-makers in the financial market to demonstrate the streng...