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

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