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Measuring Financial Cash Flow and Term Structure Dynamics

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  • CORNELIS A. LOS

    (Kent State University)

Abstract

Financial turbulence is a phenomenon occurring in anti - persistent markets. In contrast, financial crises occur in persistent markets. A relationship can be established between these two extreme phenomena of long term market dependence and the older financial concept of financial (il-)liquidity. The measurement of the degree of market persistence and the measurement of the degree of market liquidity are related. To accomplish the two research objectives of measurement and simulation of different degrees of financial liquidity, I propose to boldly reformulate and reinterpret the classical laws of fluid mechanics into cash flow mechanics. At first this approach may appear contrived and artificial, but the end results of these reformulations and reinterpretations are useful quantifiable financial quantities, which will assist us with the measurement, analysis and proper characterization of modern dynamic financial markets in ways that classical comparative static financial - \ economic analyses do not allow.

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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0409046.

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Date of creation: 18 Sep 2004
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Handle: RePEc:wpa:wuwpfi:0409046

Note: Type of Document - pdf. Los, Cornelis A., 'Measuring Financial Cash Flow and Term Structure Dynamics' (November 30, 2001). Kent State GSM Dept. of Finance Working Paper.
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Keywords: Financial Cash Flow; Term Structure;

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References

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  1. Cornelis A. Los, 2000. "Visualization of Chaos for Finance Majors," School of Economics Working Papers 2000-07, University of Adelaide, School of Economics.
  2. Cornelis A. Los & Jeyanthi Karuppiah, 2004. "Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997," Finance 0409037, EconWPA.
  3. Graciela Chichilnisky & Geoffrey Heal, 1993. "Global Environmental Risks," Journal of Economic Perspectives, American Economic Association, vol. 7(4), pages 65-86, Fall.
  4. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
  5. Cornelis A. Los, 1991. "A Scientific View of Economic Data Analysis," Eastern Economic Journal, Eastern Economic Association, vol. 17(1), pages 61-71, Jan-Mar.
  6. Kirill Ilinski, 1997. "Physics of Finance," Papers hep-th/9710148, arXiv.org.
  7. Los, Cornelis A., 1998. "Optimal multi-currency investment strategies with exact attribution in three Asian countries," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 169-198, September.
  8. Chichilnisky, Graciela, 1996. "Markets with endogenous uncertainty: theory and policy," MPRA Paper 8612, University Library of Munich, Germany.
  9. Xu, Xinzhong & Taylor, Stephen J., 1994. "The Term Structure of Volatility Implied by Foreign Exchange Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(01), pages 57-74, March.
  10. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
  11. R.E. Kalman & C.A. Los, 1987. "The prejudices of least squares, principal components and common factor schemes," Research Paper 8701, Federal Reserve Bank of New York.
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