In this paper we develop a financial market model based on continuous time random motions with alternating constant velocities and with jumps occurring when the velocity switches. If jump directions are in the certain correspondence with the velocity directions of the underlying random motion with respect to the interest rate, the model is free of arbitrage and complete. Memory effects of this ...

For an intriguing variety of switching processes in nature, the underlying complex system abruptly changes from one state to another in a highly discontinuous fashion. Financial market fluctuations are characterized by many abrupt switchings creating upward trends and downward trends, on time scales ranging from macroscopic trends persisting for hundreds of days to microscopic trends persisting...

The financial landscape of Europe has been evolving rapidly in the past 20 years. The introduction of the euro and the inception of the single monetary policy on January 1, 1999, accelerated the pace of change. However, it is clear that many driving factors foster transformation in the European financial system, including the Single Market Program, technological developments, financial innovati...

Four tax reforms have been proposed in recent years: BradleyGephardt, Kemp-Kasten, Treasury I and Treasury II. These reforms seek to improve economic efficiency by taxing different capital assets and sources of income more equally. Each reform is purported to be revenueneutral from the perspective of the U.S. Treasury ,and distributionally neutral across households. While this alleged neutralit...

* Prof. Svetlozar T. Rachev (Corresponding Author): Chair of Econometrics, Statistics and Mathematical Finance, University of Karlsruhe (TH) and Karlsruhe Institute of Technology (KIT), Kollegium am Schloss, Bau II, 20.12, R210, Postfach 6980, D-76128, Karlsruhe, Germany & Department of Statistics and Applied Probability, University of California, Santa Barbara, USA & Chief Scientist, FinAnalyt...

With the advent of the EMU and the widespread financial integration many efforts have been undertaken by European financial authorities. In the case of Spain, there are many regulatory and institutional factors that condition a deeper financial integration. This paper analyzes the relationships between corporate performance and the financial sector. The aim of the paper is twofold. Firstly, it ...

In the last years efforts in econophysics have been shifted to study how network theory can facilitate understanding of complex financial markets. Main part of these efforts is the study of correlation-based hierarchical networks. This is somewhat surprising as the underlying assumptions of research looking at financial markets is that they behave chaotically. In fact it's common for econophysi...

This paper uses a dynamic panel-data gravity model to explain the correlations between 40 markets from 1996 to 2010 using four types of market linkages: information capacity, financial integration, economic integration, and similarity in industrial structure. The mechanism of interdependence of developed markets and that of developing markets are heterogeneous: (1) information capacity and indu...

This paper provides a detailed analysis of the difference between Chinese stock market and U.S. under development financial technology. In conclusion, we find that is more dominated by retail investors, but United States owns stocks, mostly held institutional has better mindset. The behavior investors in mainly excessive speculation market. one reasons for many fluctuations Due to speculative n...