LEADER 03142cam  2200517Ii 4500001    ocn847755805
003    OCoLC
005    20141212054337.0
006    m     o  d        
007    cr bn|||||||||
008    130612s2013    ncua    obm   000 0 eng d
035    (Sirsi) o847755805
035    (OCoLC)847755805
040    ERE |beng |cERE |dOCLCO |dOCLCQ |dOCLCO |dERE |dUtOrBLW
049    EREE
090    QA300
100 1  Brown, Frank R., |cJr. |?UNAUTHORIZED
245 10 Financial market analysis using a kinetics model / |cby Frank R. Brown, Jr.
260    [Greenville, N.C.] : |bEast Carolina University, |c2013.
300    87 pages : |billustrations (color), digital, PDF file
336    text |btxt |2rdacontent
337    computer |bc |2rdamedia
338    online resource |bcr |2rdacarrier
538    System requirements: Adobe Reader.
538    Mode of access: World Wide Web.
502     |bM.A. |cEast Carolina University |d2013.
500    Presented to the faculty of the Department of Mathematics.
500    Advisor: David Pravica.
500    Title from PDF t.p. (viewed , 2013).
520 3  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.
504    Includes bibliographical references.
650  0 Mathematical analysis. |=^A18530
650  0 Capital market. |=^A117498
650  0 Chemical kinetics. |=^A85449
650  0 Stock exchanges. |=^A358225
653    Applied mathematics
653    Finance
700 1  Pravica, David W. |=^A1103962
710 2  East Carolina University. |bDepartment of Mathematics. |?UNAUTHORIZED
856 40  |zAccess via ScholarShip |uhttp://hdl.handle.net/10342/1762
949     |ojgml
994    C0 |bERE
596    1 4
998    3321480