Fear and its implications for stock markets View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2007-05

AUTHORS

I. Simonsen, P. T.H. Ahlgren, M. H. Jensen, R. Donangelo, K. Sneppen

ABSTRACT

The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend. These empirical asymmetries predict that stock index drops are more common on a relatively short time scale than the corresponding raises. We present several empirical examples of such asymmetries. Furthermore, a simple model featuring occasional short periods of synchronized dropping prices for all stocks constituting the index is introduced with the aim of explaining these facts. The collective negative price movements are imagined triggered by external factors in our society, as well as internal to the economy, that create fear of the future among investors. This is parameterized by a “fear factor” defining the frequency of synchronized events. It is demonstrated that such a simple fear factor model can reproduce several empirical facts concerning index asymmetries. It is also pointed out that in its simplest form, the model has certain shortcomings. More... »

PAGES

153-158

Identifiers

URI

http://scigraph.springernature.com/pub.10.1140/epjb/e2007-00125-4

DOI

http://dx.doi.org/10.1140/epjb/e2007-00125-4

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1028652414


Indexing Status Check whether this publication has been indexed by Scopus and Web Of Science using the SN Indexing Status Tool
Incoming Citations Browse incoming citations for this publication using opencitations.net

JSON-LD is the canonical representation for SciGraph data.

TIP: You can open this SciGraph record using an external JSON-LD service: JSON-LD Playground Google SDTT

[
  {
    "@context": "https://springernature.github.io/scigraph/jsonld/sgcontext.json", 
    "about": [
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/1502", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Banking, Finance and Investment", 
        "type": "DefinedTerm"
      }, 
      {
        "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/15", 
        "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
        "name": "Commerce, Management, Tourism and Services", 
        "type": "DefinedTerm"
      }
    ], 
    "author": [
      {
        "affiliation": {
          "alternateName": "Norwegian University of Science and Technology", 
          "id": "https://www.grid.ac/institutes/grid.5947.f", 
          "name": [
            "Department of physics, Norwegian University of Science and Technology (NTNU), 7491, Trondheim, Norway", 
            "NORDITA, Blegdamsvej 17, 2100, Copenhagen \u00d8, Denmark"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Simonsen", 
        "givenName": "I.", 
        "id": "sg:person.01323430537.25", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.01323430537.25"
        ], 
        "type": "Person"
      }, 
      {
        "affiliation": {
          "alternateName": "University of Copenhagen", 
          "id": "https://www.grid.ac/institutes/grid.5254.6", 
          "name": [
            "The Niels Bohr Institute, Blegdamsvej 17, 2100, Copenhagen, Denmark"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Ahlgren", 
        "givenName": "P. T.H.", 
        "id": "sg:person.012016537173.14", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.012016537173.14"
        ], 
        "type": "Person"
      }, 
      {
        "affiliation": {
          "alternateName": "University of Copenhagen", 
          "id": "https://www.grid.ac/institutes/grid.5254.6", 
          "name": [
            "The Niels Bohr Institute, Blegdamsvej 17, 2100, Copenhagen, Denmark"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Jensen", 
        "givenName": "M. H.", 
        "id": "sg:person.01152213267.83", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.01152213267.83"
        ], 
        "type": "Person"
      }, 
      {
        "affiliation": {
          "alternateName": "Fluminense Federal University", 
          "id": "https://www.grid.ac/institutes/grid.411173.1", 
          "name": [
            "Instituto de Fisica da UFRJ, Caixa Postal 68528, 21941-972, Rio de Janeiro, Brazil"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Donangelo", 
        "givenName": "R.", 
        "id": "sg:person.015014361211.86", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.015014361211.86"
        ], 
        "type": "Person"
      }, 
      {
        "affiliation": {
          "alternateName": "University of Copenhagen", 
          "id": "https://www.grid.ac/institutes/grid.5254.6", 
          "name": [
            "The Niels Bohr Institute, Blegdamsvej 17, 2100, Copenhagen, Denmark"
          ], 
          "type": "Organization"
        }, 
        "familyName": "Sneppen", 
        "givenName": "K.", 
        "id": "sg:person.0755572020.37", 
        "sameAs": [
          "https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.0755572020.37"
        ], 
        "type": "Person"
      }
    ], 
    "citation": [
      {
        "id": "https://doi.org/10.1016/j.physa.2005.02.011", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1011677965"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/s0378-4371(02)01884-8", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1012625284"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/s0378-4371(02)01884-8", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1012625284"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1088/1469-7688/1/2/305", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1013117665"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1103/physrevlett.83.76", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1027694173"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1103/physrevlett.83.76", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1027694173"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1016/j.physa.2004.05.024", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1040604474"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1103/physrevlett.87.228701", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1047125596"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1103/physrevlett.87.228701", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1047125596"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1086/294632", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1058604458"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.1109/5992.906615", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1061195418"
        ], 
        "type": "CreativeWork"
      }, 
      {
        "id": "https://doi.org/10.2307/1912773", 
        "sameAs": [
          "https://app.dimensions.ai/details/publication/pub.1069640314"
        ], 
        "type": "CreativeWork"
      }
    ], 
    "datePublished": "2007-05", 
    "datePublishedReg": "2007-05-01", 
    "description": "The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend. These empirical asymmetries predict that stock index drops are more common on a relatively short time scale than the corresponding raises. We present several empirical examples of such asymmetries. Furthermore, a simple model featuring occasional short periods of synchronized dropping prices for all stocks constituting the index is introduced with the aim of explaining these facts. The collective negative price movements are imagined triggered by external factors in our society, as well as internal to the economy, that create fear of the future among investors. This is parameterized by a \u201cfear factor\u201d defining the frequency of synchronized events. It is demonstrated that such a simple fear factor model can reproduce several empirical facts concerning index asymmetries. It is also pointed out that in its simplest form, the model has certain shortcomings.", 
    "genre": "research_article", 
    "id": "sg:pub.10.1140/epjb/e2007-00125-4", 
    "inLanguage": [
      "en"
    ], 
    "isAccessibleForFree": true, 
    "isPartOf": [
      {
        "id": "sg:journal.1129956", 
        "issn": [
          "1155-4304", 
          "1286-4862"
        ], 
        "name": "The European Physical Journal B", 
        "type": "Periodical"
      }, 
      {
        "issueNumber": "2", 
        "type": "PublicationIssue"
      }, 
      {
        "type": "PublicationVolume", 
        "volumeNumber": "57"
      }
    ], 
    "name": "Fear and its implications for stock markets", 
    "pagination": "153-158", 
    "productId": [
      {
        "name": "readcube_id", 
        "type": "PropertyValue", 
        "value": [
          "887da1a247f07688bb2ce32ad0fb7c123516cce51f09959bae7baa2c7ada10ea"
        ]
      }, 
      {
        "name": "doi", 
        "type": "PropertyValue", 
        "value": [
          "10.1140/epjb/e2007-00125-4"
        ]
      }, 
      {
        "name": "dimensions_id", 
        "type": "PropertyValue", 
        "value": [
          "pub.1028652414"
        ]
      }
    ], 
    "sameAs": [
      "https://doi.org/10.1140/epjb/e2007-00125-4", 
      "https://app.dimensions.ai/details/publication/pub.1028652414"
    ], 
    "sdDataset": "articles", 
    "sdDatePublished": "2019-04-10T14:58", 
    "sdLicense": "https://scigraph.springernature.com/explorer/license/", 
    "sdPublisher": {
      "name": "Springer Nature - SN SciGraph project", 
      "type": "Organization"
    }, 
    "sdSource": "s3://com-uberresearch-data-dimensions-target-20181106-alternative/cleanup/v134/2549eaecd7973599484d7c17b260dba0a4ecb94b/merge/v9/a6c9fde33151104705d4d7ff012ea9563521a3ce/jats-lookup/v90/0000000001_0000000264/records_8663_00000500.jsonl", 
    "type": "ScholarlyArticle", 
    "url": "http://link.springer.com/10.1140/epjb/e2007-00125-4"
  }
]
 

Download the RDF metadata as:  json-ld nt turtle xml License info

HOW TO GET THIS DATA PROGRAMMATICALLY:

JSON-LD is a popular format for linked data which is fully compatible with JSON.

curl -H 'Accept: application/ld+json' 'https://scigraph.springernature.com/pub.10.1140/epjb/e2007-00125-4'

N-Triples is a line-based linked data format ideal for batch operations.

curl -H 'Accept: application/n-triples' 'https://scigraph.springernature.com/pub.10.1140/epjb/e2007-00125-4'

Turtle is a human-readable linked data format.

curl -H 'Accept: text/turtle' 'https://scigraph.springernature.com/pub.10.1140/epjb/e2007-00125-4'

RDF/XML is a standard XML format for linked data.

curl -H 'Accept: application/rdf+xml' 'https://scigraph.springernature.com/pub.10.1140/epjb/e2007-00125-4'


 

This table displays all metadata directly associated to this object as RDF triples.

123 TRIPLES      21 PREDICATES      36 URIs      19 LITERALS      7 BLANK NODES

Subject Predicate Object
1 sg:pub.10.1140/epjb/e2007-00125-4 schema:about anzsrc-for:15
2 anzsrc-for:1502
3 schema:author Na9cd39c5d41848feba7d4642e30a97ad
4 schema:citation https://doi.org/10.1016/j.physa.2004.05.024
5 https://doi.org/10.1016/j.physa.2005.02.011
6 https://doi.org/10.1016/s0378-4371(02)01884-8
7 https://doi.org/10.1086/294632
8 https://doi.org/10.1088/1469-7688/1/2/305
9 https://doi.org/10.1103/physrevlett.83.76
10 https://doi.org/10.1103/physrevlett.87.228701
11 https://doi.org/10.1109/5992.906615
12 https://doi.org/10.2307/1912773
13 schema:datePublished 2007-05
14 schema:datePublishedReg 2007-05-01
15 schema:description The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend. These empirical asymmetries predict that stock index drops are more common on a relatively short time scale than the corresponding raises. We present several empirical examples of such asymmetries. Furthermore, a simple model featuring occasional short periods of synchronized dropping prices for all stocks constituting the index is introduced with the aim of explaining these facts. The collective negative price movements are imagined triggered by external factors in our society, as well as internal to the economy, that create fear of the future among investors. This is parameterized by a “fear factor” defining the frequency of synchronized events. It is demonstrated that such a simple fear factor model can reproduce several empirical facts concerning index asymmetries. It is also pointed out that in its simplest form, the model has certain shortcomings.
16 schema:genre research_article
17 schema:inLanguage en
18 schema:isAccessibleForFree true
19 schema:isPartOf N629b760cc7c84ebb8608961d0de19245
20 N759e013042f34536a7834618b40bbafe
21 sg:journal.1129956
22 schema:name Fear and its implications for stock markets
23 schema:pagination 153-158
24 schema:productId N0423be449caa49869445c4f3031718e1
25 N51907d956a5a41bbb358de8a9d60c30a
26 N69b71adee41b40f4bf08c5741a406775
27 schema:sameAs https://app.dimensions.ai/details/publication/pub.1028652414
28 https://doi.org/10.1140/epjb/e2007-00125-4
29 schema:sdDatePublished 2019-04-10T14:58
30 schema:sdLicense https://scigraph.springernature.com/explorer/license/
31 schema:sdPublisher N40348e71ed264ac58b7431a38fb459c8
32 schema:url http://link.springer.com/10.1140/epjb/e2007-00125-4
33 sgo:license sg:explorer/license/
34 sgo:sdDataset articles
35 rdf:type schema:ScholarlyArticle
36 N0423be449caa49869445c4f3031718e1 schema:name readcube_id
37 schema:value 887da1a247f07688bb2ce32ad0fb7c123516cce51f09959bae7baa2c7ada10ea
38 rdf:type schema:PropertyValue
39 N1693e69d509044039fbadc83c460a7ab rdf:first sg:person.012016537173.14
40 rdf:rest N196d2527daf94e579adc7da95f00a78e
41 N196d2527daf94e579adc7da95f00a78e rdf:first sg:person.01152213267.83
42 rdf:rest N54d81d6b892b4fc9ba60adbe38a55d7e
43 N40348e71ed264ac58b7431a38fb459c8 schema:name Springer Nature - SN SciGraph project
44 rdf:type schema:Organization
45 N51907d956a5a41bbb358de8a9d60c30a schema:name doi
46 schema:value 10.1140/epjb/e2007-00125-4
47 rdf:type schema:PropertyValue
48 N54d81d6b892b4fc9ba60adbe38a55d7e rdf:first sg:person.015014361211.86
49 rdf:rest Nf646f3e962eb4422a58d7a7cfb95d057
50 N629b760cc7c84ebb8608961d0de19245 schema:volumeNumber 57
51 rdf:type schema:PublicationVolume
52 N69b71adee41b40f4bf08c5741a406775 schema:name dimensions_id
53 schema:value pub.1028652414
54 rdf:type schema:PropertyValue
55 N759e013042f34536a7834618b40bbafe schema:issueNumber 2
56 rdf:type schema:PublicationIssue
57 Na9cd39c5d41848feba7d4642e30a97ad rdf:first sg:person.01323430537.25
58 rdf:rest N1693e69d509044039fbadc83c460a7ab
59 Nf646f3e962eb4422a58d7a7cfb95d057 rdf:first sg:person.0755572020.37
60 rdf:rest rdf:nil
61 anzsrc-for:15 schema:inDefinedTermSet anzsrc-for:
62 schema:name Commerce, Management, Tourism and Services
63 rdf:type schema:DefinedTerm
64 anzsrc-for:1502 schema:inDefinedTermSet anzsrc-for:
65 schema:name Banking, Finance and Investment
66 rdf:type schema:DefinedTerm
67 sg:journal.1129956 schema:issn 1155-4304
68 1286-4862
69 schema:name The European Physical Journal B
70 rdf:type schema:Periodical
71 sg:person.01152213267.83 schema:affiliation https://www.grid.ac/institutes/grid.5254.6
72 schema:familyName Jensen
73 schema:givenName M. H.
74 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.01152213267.83
75 rdf:type schema:Person
76 sg:person.012016537173.14 schema:affiliation https://www.grid.ac/institutes/grid.5254.6
77 schema:familyName Ahlgren
78 schema:givenName P. T.H.
79 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.012016537173.14
80 rdf:type schema:Person
81 sg:person.01323430537.25 schema:affiliation https://www.grid.ac/institutes/grid.5947.f
82 schema:familyName Simonsen
83 schema:givenName I.
84 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.01323430537.25
85 rdf:type schema:Person
86 sg:person.015014361211.86 schema:affiliation https://www.grid.ac/institutes/grid.411173.1
87 schema:familyName Donangelo
88 schema:givenName R.
89 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.015014361211.86
90 rdf:type schema:Person
91 sg:person.0755572020.37 schema:affiliation https://www.grid.ac/institutes/grid.5254.6
92 schema:familyName Sneppen
93 schema:givenName K.
94 schema:sameAs https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.0755572020.37
95 rdf:type schema:Person
96 https://doi.org/10.1016/j.physa.2004.05.024 schema:sameAs https://app.dimensions.ai/details/publication/pub.1040604474
97 rdf:type schema:CreativeWork
98 https://doi.org/10.1016/j.physa.2005.02.011 schema:sameAs https://app.dimensions.ai/details/publication/pub.1011677965
99 rdf:type schema:CreativeWork
100 https://doi.org/10.1016/s0378-4371(02)01884-8 schema:sameAs https://app.dimensions.ai/details/publication/pub.1012625284
101 rdf:type schema:CreativeWork
102 https://doi.org/10.1086/294632 schema:sameAs https://app.dimensions.ai/details/publication/pub.1058604458
103 rdf:type schema:CreativeWork
104 https://doi.org/10.1088/1469-7688/1/2/305 schema:sameAs https://app.dimensions.ai/details/publication/pub.1013117665
105 rdf:type schema:CreativeWork
106 https://doi.org/10.1103/physrevlett.83.76 schema:sameAs https://app.dimensions.ai/details/publication/pub.1027694173
107 rdf:type schema:CreativeWork
108 https://doi.org/10.1103/physrevlett.87.228701 schema:sameAs https://app.dimensions.ai/details/publication/pub.1047125596
109 rdf:type schema:CreativeWork
110 https://doi.org/10.1109/5992.906615 schema:sameAs https://app.dimensions.ai/details/publication/pub.1061195418
111 rdf:type schema:CreativeWork
112 https://doi.org/10.2307/1912773 schema:sameAs https://app.dimensions.ai/details/publication/pub.1069640314
113 rdf:type schema:CreativeWork
114 https://www.grid.ac/institutes/grid.411173.1 schema:alternateName Fluminense Federal University
115 schema:name Instituto de Fisica da UFRJ, Caixa Postal 68528, 21941-972, Rio de Janeiro, Brazil
116 rdf:type schema:Organization
117 https://www.grid.ac/institutes/grid.5254.6 schema:alternateName University of Copenhagen
118 schema:name The Niels Bohr Institute, Blegdamsvej 17, 2100, Copenhagen, Denmark
119 rdf:type schema:Organization
120 https://www.grid.ac/institutes/grid.5947.f schema:alternateName Norwegian University of Science and Technology
121 schema:name Department of physics, Norwegian University of Science and Technology (NTNU), 7491, Trondheim, Norway
122 NORDITA, Blegdamsvej 17, 2100, Copenhagen Ø, Denmark
123 rdf:type schema:Organization
 




Preview window. Press ESC to close (or click here)


...