The recent Asian financial crisis has emphasized the volatility of modern financial markets. This crisis, and other recent financial shocks, suggest that returns may switch regimes: that is, randomly change from one distribution to another. This paper analyzes regime shifts in real estate and equity markets in ten Far Eastern countries, focusing on the period 1994 1998. We find little evidence ...

The ultimate value of theories describing the fundamental mechanisms behind asset prices in financial systems is reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidence from the fields of finance, mathematics, and even physics, previous theories that attempt to address the complex...

We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling framework, which may provide qualitative and quantitative understanding of the financial markets, is very ambiguous emphasizes the exceptional value of well defined ...

Contemporary financial depression of the financial markets proves high fluctuations of the prices of the stocks. These fluctuations have considerable impact on the values of the financial portfolios. Classical approaches to modeling of the behavior of the prices of the stocks may produce wrong predictions of their future values. That is the reason why we introduce in this paper the fractal mark...

The quantitative study of financial markets is more and more widespread due to their growing importance in the economy and everyday life. Financial markets can be viewed as real-world complex dynamical systems which are continually evolving, have significant practical importance and produce an enormous amount of data recording the aggregate action of many participants. In recent years, the quan...

Financial markets represent one of the most complex environments for business and there are a lot of types of external factors which impact their dynamics. The recent financial turbulence materialized by the global financial crisis 2008-2009 and the European sovereign debt crisis (2010-2012) made serious pressure on financial markets that proved their fragility and sensitivity in a different ma...