Measuring Financial Cash Flow and Term Structure Dynamics
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.
|Date of creation:||18 Sep 2004|
|Date of revision:|
|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.|
|Contact details of provider:|| Web page: http://18.104.22.168|
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- 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.
- Graciela Chichilnisky & Geoffrey Heal, 1993.
"Global Environmental Risks,"
Journal of Economic Perspectives,
American Economic Association, vol. 7(4), pages 65-86, Fall.
- Cornelis A. Los & Jeyanthi Karuppiah, 2004.
"Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997,"
- Karuppiah, Jeyanthi & Los, Cornelis A., 2005. "Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 211-246.
- Kirill Ilinski, 1997. "Physics of Finance," Papers hep-th/9710148, arXiv.org.
- 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.
- Cornelis A. Los, 2004. "Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries," Finance 0409047, EconWPA.
- Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Cornelis A. Los, 2004.
"Visualization of Chaos for Finance Majors,"
- 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.
- Chichilnisky, Graciela, 1996. "Markets with endogenous uncertainty: theory and policy," MPRA Paper 8612, University Library of Munich, Germany.
- 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.
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