Matches in SemOpenAlex for { <https://semopenalex.org/work/W3121972521> ?p ?o ?g. }
Showing items 1 to 61 of
61
with 100 items per page.
- W3121972521 abstract "Financial markets across all asset classes are known to exhibit trends. These trends have been exploited by traders for decades. Here, we empirically measure when trends revert, based on 30 years of daily futures prices for equity indices, interest rates, currencies and commodities. We find that trends tend to revert once they reach a critical level of statistical significance. Based on polynomial regression, we carefully measure this critical level. We find that it is universal across asset classes and has a universal scaling behavior, as the trend's time horizon runs from a few days to several years. The corresponding regression coefficients are small, but statistically highly significant, as confirmed by bootstrapping and out-of-sample testing. Our results signal to investors when to exit a trend. They also reveal how markets have become more efficient over the decades. Moreover, they point towards a potential deep analogy between financial markets and critical phenomena: our analysis supports the conjecture that financial markets can be modeled as statistical mechanical ensembles of Buy/Sell orders near critical points. In this analogy, the trend strength plays the role of an order parameter, whose dynamcis is described by a Langevin equation with a quartic potential." @default.
- W3121972521 created "2021-02-01" @default.
- W3121972521 creator A5063028680 @default.
- W3121972521 date "2020-01-01" @default.
- W3121972521 modified "2023-10-02" @default.
- W3121972521 title "Trends, Reversion, and Critical Phenomena in Financial Markets" @default.
- W3121972521 hasPublicationYear "2020" @default.
- W3121972521 type Work @default.
- W3121972521 sameAs 3121972521 @default.
- W3121972521 citedByCount "0" @default.
- W3121972521 crossrefType "posted-content" @default.
- W3121972521 hasAuthorship W3121972521A5063028680 @default.
- W3121972521 hasConcept C10138342 @default.
- W3121972521 hasConcept C106159729 @default.
- W3121972521 hasConcept C106306483 @default.
- W3121972521 hasConcept C149782125 @default.
- W3121972521 hasConcept C162324750 @default.
- W3121972521 hasConcept C19244329 @default.
- W3121972521 hasConcept C207609745 @default.
- W3121972521 hasConcept C2778705799 @default.
- W3121972521 hasConcept C38652104 @default.
- W3121972521 hasConcept C41008148 @default.
- W3121972521 hasConcept C76178495 @default.
- W3121972521 hasConceptScore W3121972521C10138342 @default.
- W3121972521 hasConceptScore W3121972521C106159729 @default.
- W3121972521 hasConceptScore W3121972521C106306483 @default.
- W3121972521 hasConceptScore W3121972521C149782125 @default.
- W3121972521 hasConceptScore W3121972521C162324750 @default.
- W3121972521 hasConceptScore W3121972521C19244329 @default.
- W3121972521 hasConceptScore W3121972521C207609745 @default.
- W3121972521 hasConceptScore W3121972521C2778705799 @default.
- W3121972521 hasConceptScore W3121972521C38652104 @default.
- W3121972521 hasConceptScore W3121972521C41008148 @default.
- W3121972521 hasConceptScore W3121972521C76178495 @default.
- W3121972521 hasLocation W31219725211 @default.
- W3121972521 hasOpenAccess W3121972521 @default.
- W3121972521 hasPrimaryLocation W31219725211 @default.
- W3121972521 hasRelatedWork W155332023 @default.
- W3121972521 hasRelatedWork W1830053462 @default.
- W3121972521 hasRelatedWork W1992525535 @default.
- W3121972521 hasRelatedWork W2041155043 @default.
- W3121972521 hasRelatedWork W2092796650 @default.
- W3121972521 hasRelatedWork W2138760124 @default.
- W3121972521 hasRelatedWork W2158595275 @default.
- W3121972521 hasRelatedWork W2255982721 @default.
- W3121972521 hasRelatedWork W2258463161 @default.
- W3121972521 hasRelatedWork W2330509028 @default.
- W3121972521 hasRelatedWork W2407976328 @default.
- W3121972521 hasRelatedWork W2584434726 @default.
- W3121972521 hasRelatedWork W2999797453 @default.
- W3121972521 hasRelatedWork W3034373639 @default.
- W3121972521 hasRelatedWork W3100280058 @default.
- W3121972521 hasRelatedWork W3107519650 @default.
- W3121972521 hasRelatedWork W3124406917 @default.
- W3121972521 hasRelatedWork W3125377260 @default.
- W3121972521 hasRelatedWork W3171323077 @default.
- W3121972521 hasRelatedWork W985360121 @default.
- W3121972521 isParatext "false" @default.
- W3121972521 isRetracted "false" @default.
- W3121972521 magId "3121972521" @default.
- W3121972521 workType "article" @default.