An Analysis of the Repeated Financial Earthquakes
Journal Title: Communications in Nonlinear Analysis - Year 2019, Vol 4, Issue 3
Abstract
Since the seismic behavior of the earth’s energy (which follows from the power law distribution) can be similarly seen in the energy realized by the stock markets, in this paper we consider a statistical study for comparing the financial crises and the earthquakes. For this end, the TP statistic, proposed by Pisarenko and et al. (2004), is employed for estimating the critical point or the lower threshold, i.e. the point beyond that the market energy follows from the power law (Pareto) distribution. The results confirm the deviation of the energy from the Pareto distribution in the high quantiles of the energy data. The upper threshold that the energy's distribution is changed from the Pareto to another distribution is also estimated by TP statistic. A simulation study is employed for checking out the statistical behavior of the estimated thresholds. Finally, the magnitude of the financial earthquakes is studied. The results indicate that the domestic and the international events have caused the financial earthquakes in Tehran Stock Exchange. Also, the positive relation between the daily energy released and the daily magnitude of the shocks that was connected by Gutenberg and Richter (1956) is confirmed.
Authors and Affiliations
Fateme Taleghani, Mahdi Salehi, Alireza Shakibaiee
Keywords
Related Articles
- EP ID EP648861
- DOI 10.22034/AMFA.2019.1870256.1236
- Views 79
- Downloads 0
Confidence Interval for Solutions of the Black-Scholes Model
The forecast is very complex in financial markets. The reasons for this are the fluctuation of financial data, Such as Stock index data over time. The determining a model for forecasting fluctuations, can play a signific...
Management Demographic Characteristics, Auditor Choice and Earnings Quality: Empirical Evidence from Iran
Recent accounting and management literature shows that demographic character-istics of top management and corporate performance are related. Accordingly, using a two-stage least squares regression model (2SLS), this stud...
Comparison of Public Investment Approaches on Social Welfare Function: A Case Study of Iran
The use of natural resource revenues for achievement of development has been a challenging issue for resource abundant countries. These challenges stem from the fact that incomes from natural resources are non-durable, u...
Opaque Information, Deviation from Target Leverage and Speed of Adjustment
Information opacity leads to information asymmetry. In this situation, in providing their own financial needs, firms face limitations and inevitably provide their financial needs from the debt market by signalling privat...
Improving Stock Return Forecasting by Deep Learning Algorithm
Improving return forecasting is very important for both investors and researchers in financial markets. In this study we try to aim this object by two new methods. First, instead of using traditional variable, gold price...