A Heuristic for Approximating Extreme Negative Price Returns in Financial Markets

133 Acta Physica Polonica A 1408 (2018)

21 Pages Posted: 30 Jan 2017 Last revised: 4 Aug 2018

See all articles by Jack Manhire

Jack Manhire

Texas A&M University School of Innovation; Bush School of Government & Public Service

Date Written: May 11, 2018

Abstract

Describes the behavior of financial markets as functions of the variables 'price return' and 'time' based on the net difference between ask and bid volumes over a unit period, thereby suggesting that at least a negative non-trivial price return extreme exists for a unit period. This admittedly heuristic approach also offers a method for approximating these negative price return extremes for a specific unit period. Limitations and applications are discussed.

Keywords: econophysics; asset prices; market model; probability; principle of least action; stock market; statistical finance; predictability

JEL Classification: C02; C63; C65; C1; C55; D4; G1; G12; L1; C25

Suggested Citation

Manhire, Jack, A Heuristic for Approximating Extreme Negative Price Returns in Financial Markets (May 11, 2018). 133 Acta Physica Polonica A 1408 (2018), Available at SSRN: https://ssrn.com/abstract=2907459 or http://dx.doi.org/10.2139/ssrn.2907459

Jack Manhire (Contact Author)

Texas A&M University School of Innovation

1249 TAMU
College Station, TX 77843-1249
United States

Bush School of Government & Public Service ( email )

4220 TAMU
College Station, TX 76845
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
706
Abstract Views
3,881
Rank
67,135
PlumX Metrics