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    Financial Market Analysis Using a Kinetics Model

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    Author
    Brown, Frank R., Jr.
    Abstract
    Over the past several decades physicists have used   models and techniques that were developed in the  sciences in order to analyze the price and volume behavior of financial markets.   These models and techniques include  the application of nonextensive thermodynamic statistics, information entropy, and  detrended fluctuation analysis.   This thesis extends the aforementioned approaches to   include the use of chemical kinetics concepts.  We create two-state models of stock market trading records -   models where the stock is treated as being in either an increasing (I) state  or a decreasing (D) state.  We then treat the transition from one state to the other   using standard reaction kinetic methodologies.  We supplement the kinetic analysis with analysis of the autocorrelation function.  We apply this approach to both closing prices and to trading volumes.  In both the closing price and the volume models,   we find that that the processes are not strictly Markovian   but instead exhibit some perturbation due to memory effects.  The closing price model shows evidence of momentum effects in stock pricing  while the volume model captures autocorrelations centered around  the quarterly earnings report cycle.  
    URI
    http://hdl.handle.net/10342/1762
    Subject
     Applied mathematics; Finance; Econophysics; Financial markets; Kinetics; Stochastic processes; Weibull 
    Date
    2013
    Citation:
    APA:
    Brown, Frank R., Jr.. (January 2013). Financial Market Analysis Using a Kinetics Model (Master's Thesis, East Carolina University). Retrieved from the Scholarship. (http://hdl.handle.net/10342/1762.)

    Display/Hide MLA, Chicago and APA citation formats.

    MLA:
    Brown, Frank R., Jr.. Financial Market Analysis Using a Kinetics Model. Master's Thesis. East Carolina University, January 2013. The Scholarship. http://hdl.handle.net/10342/1762. April 19, 2021.
    Chicago:
    Brown, Frank R., Jr., “Financial Market Analysis Using a Kinetics Model” (Master's Thesis., East Carolina University, January 2013).
    AMA:
    Brown, Frank R., Jr.. Financial Market Analysis Using a Kinetics Model [Master's Thesis]. Greenville, NC: East Carolina University; January 2013.
    Collections
    • Master's Theses
    • Mathematics
    Publisher
    East Carolina University

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