Trends, reversion, and critical phenomena in financial markets

Christof Schmidhuber

Physica A: Statistical Mechanics and its Applications, 2021, vol. 566, issue C

Abstract: Financial markets across all asset classes are known to exhibit trends, which have been exploited by traders for decades. However, a closer look at the data reveals that those trends tend to revert when they become too strong. Here, we empirically measure the interplay between trends and reversion in detail, based on 30 years of daily futures prices for equity indices, interest rates, currencies and commodities.

Keywords: Trend following; Mean reversion; Futures markets; Market efficiency; Critical phenomena; Social networks (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437120309407
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:566:y:2021:i:c:s0378437120309407

DOI: 10.1016/j.physa.2020.125642

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().