Financial Market Dynamics: A Synergetic Perspective
An interdisciplinary research field where theories and methods originally developed by physicists are used to model financial markets and economic systems.
- Market panic
A state in which correlations among stock returns are very high together with highly elevated levels of the VIX Index.
- Market volatility
Market volatility is the uncertainty of price moves of a given market (rather than a single stock), such as the US stock market, which is well represented by the S&P 500 Index.
- Stock returns
The relative change in value of the price of a stock over a particular time horizon (e.g., 1 day or 1 year).
- Stylized facts
Statistical characteristics of financial time series that appear to be somewhat universal across asset classes and geographies. These include volatility clustering, long-range memory in absolute price returns, and the fat-tailed distribution of price returns that persist over horizons ranging from intraday to weeks.
- The VIX Index
Also known as the “fear”...
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