A Heuristic for Approximating Extreme Negative Price Returns in Financial Markets

Describes the behavior of financial markets as functions of the variables 'price return' and 'time' based on the net difference between ask and bid volumes over a unit period, thereby suggesting that at least a negative non-trivial price return extreme exists for a unit period. This admittedly heuristic approach also offers a method for approximating these negative price return extremes for a specific unit period. Limitations and applications are discussed

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Year of publication:	2018
Authors:	Manhire, Jack
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Heuristik \| Heuristics \| Theorie \| Theory \| Finanzmarkt \| Financial market

Extent:	1 Online-Ressource (21 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: 133 Acta Physica Polonica A 1408 (2018) Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 11, 2018 erstellt
Other identifiers:	10.2139/ssrn.2907459 [DOI]
Classification:	C02 - Mathematical Methods ; C63 - Computational Techniques ; C65 - Miscellaneous Mathematical Tools ; C1 - Econometric and Statistical Methods: General ; c55 ; D4 - Market Structure and Pricing ; G1 - General Financial Markets ; G12 - Asset Pricing ; L1 - Market Structure, Firm Strategy, and Market Performance ; C25 - Discrete Regression and Qualitative Choice Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012934807