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Modeling the net flows of U.S. mutual funds with stochastic catastrophe theory

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  • A. Clark

Abstract

Using the recent work of Hartelman, van der Maas, and Wagenmakers, we demonstrate the use of invariant stochastic catastrophe models in finance for modeling net flows (the difference between purchases and redemptions of fund shares) of U.S. mutual funds. We validate Goetzmann et al. and others' work concerning the importance of sentiment variables on stock fund flows. We also answer some of the questions Goetzmann et al. and Brown et al. pose at the end of their respective papers. We end with possible experiments for experimental economists and sociophysicists. Copyright EDP Sciences/Società Italiana di Fisica/Springer-Verlag 2006

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  • A. Clark, 2006. "Modeling the net flows of U.S. mutual funds with stochastic catastrophe theory," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 50(4), pages 659-669, April.
    • Handle: RePEc:spr:eurphb:v:50:y:2006:i:4:p:659-669
    DOI: 10.1140/epjb/e2006-00169-x
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    References listed on IDEAS

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    1. William N. Goetzmann & Massimo Massa & K. Geert Rouwenhorst, 2000. "Behavioral Factors in Mutual Fund Flows," Yale School of Management Working Papers ysm135, Yale School of Management.
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    Cited by:

    1. Mohamed M. Mostafa, 2020. "Catastrophe Theory Predicts International Concern for Global Warming," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 709-731, September.
    2. Jiri Kukacka & Ladislav Kristoufek, 2023. "Fundamental and speculative components of the cryptocurrency pricing dynamics," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
    3. Xiao-jun Wang & Jian-yun Zhang & Xue-wei Tong & Shahid Shamsuddin & Rui-min He & Xing-hui Xia, 2014. "Mechanism and comprehensive countermeasure for drought management from the view of catastrophe theory," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 71(1), pages 823-835, March.
    4. Mostafa, Mohamed M., 2022. "Five decades of catastrophe theory research: Geographical atlas, knowledge structure and historical roots," Chaos, Solitons & Fractals, Elsevier, vol. 159(C).

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