IDEAS home Printed from https://ideas.repec.org/a/eee/phsmap/v385y2007i2p609-620.html
   My bibliography  Save this article

A financial indicator for mid-term tendencies

Author

Listed:
  • Leonel Caetano, Marco Antonio
  • Yoneyama, Takashi

Abstract

This work proposes an heuristic indicator for mid-term tendencies of stock prices based on non-linear dynamic equations combined with a graphical method inspired on cell morphology analysis. The model consists of ordinary differential equations with parameters that are fitted by means of the actual data history of stock prices using Extended Kalman Filter. The model structures are to be chosen so as to adequately represent the specific microeconomic condition, such as oligopoly with leader and follower, economic clusters, firms producing complementary products and others. The equations are solved numerically and the trajectories in the phase plane are associated with cell membranes. In an analogy with the increase in the cell volume when its internal pressure rises, the new financial indicator expresses the increase of the stress in a stock market by means of expanding phase portraits.

Suggested Citation

  • Leonel Caetano, Marco Antonio & Yoneyama, Takashi, 2007. "A financial indicator for mid-term tendencies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 385(2), pages 609-620.
  • Handle: RePEc:eee:phsmap:v:385:y:2007:i:2:p:609-620
    DOI: 10.1016/j.physa.2007.05.026
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378437107005390
    Download Restriction: Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

    File URL: https://libkey.io/10.1016/j.physa.2007.05.026?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Caetano, Marco Antonio Leonel & Yoneyama, Takashi, 2011. "A model for the evaluation of systemic risk in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(12), pages 2368-2374.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:385:y:2007:i:2:p:609-620. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.