A Heuristic for Approximating Extreme Negative Price Returns in Financial Markets
133 Acta Physica Polonica A, 2018, Forthcoming
21 Pages Posted: 30 Jan 2017 Last revised: 20 May 2018
Date Written: May 11, 2018
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: Suggested Citation