Stock Markets: Emergence, Macroeconomic Factors and Recent Developments

Filippo Petroni, PhD (Editor)
Department of Economics & Business, University of Cagliari, Italy

Flavio Prattico (Editor)
Department of Industrial Engineering, Information and Economy, Italy

Guglielmo D’Amico (Editor)
University “G. d’Annunzio,” Department of Pharmacy, Italy

Series: Economic Issues, Problems and Perspectives
BISAC: BUS070140

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Volume 10

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Special issue: Resilience in breaking the cycle of children’s environmental health disparities
Edited by I Leslie Rubin, Robert J Geller, Abby Mutic, Benjamin A Gitterman, Nathan Mutic, Wayne Garfinkel, Claire D Coles, Kurt Martinuzzi, and Joav Merrick

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Much effort has gone into the study of financial markets and how prices vary with time. The usual approach of random walk is known to be inadequate to fully describe price dynamics. In this book, many different approaches are provided that use alternative and more adequate models.

This book also examines the renewal theory in actuarial science. A simple actuarial model can be simulated well by means of this kind of stochastic process. A method dealing with the numerical solution of the renewal equation is presented. In addition, based on a theoretical model for opinion spreading on a network, through avalanches, the effect of external field is now considered, by using methods from non-equilibrium statistical mechanics.

Furthermore, it is evident that the 2008-US sub-prime mortgage crisis broadly affected international financial markets. The crisis’s magnitude impacted on Asian financial markets has not had much attention. To fill this gap, the authors examine changes in dependence structures between the US market and Asian financial markets before and after the crisis.

The effect of optimal fiscal rules within a stochastic model of Keynesian type in the context of Poole (1970) analysis is derived. The authors extend the original Poole results concerning the output stabilization properties of monetary policy to the case of fiscal policy. Different stochastic models based on a semi-Markov chains approach are used to study the high frequency price dynamics of traded stocks. The authors show that the models are able to reproduce important stylized facts of financial time series as the persistence of volatility. Finally, a new multi-agent model of the stock market is formulated that contains four states in which the agents may be located. (Imprint: Nova)

Preface pp.i-x

Chapter 1. Dynamics of Mean Reversion after Extreme Stock Returns in the Past 125 Years
(Ling T. He, Department of Economics and Finance, University of Central Arkansas, Conway, AR, USA)pp.1-16

Chapter 2. Recent Changes in the Structure of Correlations between CEE and Global Stock Markets
(Jagric Timotej and Zunko Matjaz, Faculty of Economics and Business, University of Maribor, Slovenia)pp.17-40

Chapter 3. Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities
(Giovanni Salvi and Anatoliy V. Swishchuk, Department of Methods and Models for Economics, Territory and Finance MEMOTEF, ‘Sapienza’ University of Rome, Rome, Italy, and others)pp.41-60

Chapter 4. Mean Annual Number of Motorcar Accidents: A Renewal Approach
(G. Di Biase, R. Manca, G. Ventura and Jacques Janssen, Dipartimento di Farmacia, Università "G. D'Annunzio" di Chieti-Pescara, Chieti, Italy, and others)pp.61-82

Chapter 5. Threshold Model for Triggered Avalanches on Networks
(M. Ausloos and F. Petroni, GRAPES, SUPRATECS, Université de Liège,
B5 Sart-Tilman, Liège, Euroland, and others)pp.83-102

Chapter 6. International Dependence Structure: Evidence from Asia amid the US Mortgage Crisis
(Cuong Nguyen, Thang Nguyen, Baiding Hu and Christopher Gan, Department of Accounting, Economics and Finance, Lincoln University, New Zealand, and others)pp.103-128

Chapter 7. Diversification Measures for Portfolio Selection
(Gianni Pola, Quantitative Research, AMUNDI, Paris, France)pp.129-156

Chapter 8. Optimal Fiscal Policy in a Simple Macroeconomic Context
(Luca Correani, Fabio Di Dio and Stefano Patrì, Department of Economics and Management, Tuscia University, Viterbo, Italy, and others)pp.157-174

Chapter 9. Semi-Markov Models in High Frequency Finance: A Review
(Guglielmo D’Amico, Filippo Petroni and Flavio Prattico, Dipartimento di Farmacia, Università "G. D’Annunzio" di Chieti-Pescara, Chieti, Italy, and others)pp.175-192

Chapter 10. Multiagent's Model of Stock Market with p-Adic Description of Prices
(V. Zharkov, Institute of Natural Sciences, Perm State University, Russia)pp.193-218

Chapter 11. A Non-Homogeneous Semi-Markov Approach to Financial Choices
(Gianfranco Corradi, Giovanna De Medici, Jacques Janssen and R. Manca, MEMOTEF, Università di Roma “La Sapienza”, Roma, Italy, and others)pp.219-244

Index pp.245-247

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