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Trends, reversion, and critical phenomena in financial markets

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  • Schmidhuber, Christof

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.

Suggested Citation

  • Schmidhuber, Christof, 2021. "Trends, reversion, and critical phenomena in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
    • Handle: RePEc:eee:phsmap:v:566:y:2021:i:c:s0378437120309407
    DOI: 10.1016/j.physa.2020.125642
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    References listed on IDEAS

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    4. Zitis, Pavlos I. & Contoyiannis, Yiannis & Potirakis, Stelios M., 2022. "Critical dynamics related to a recent Bitcoin crash," International Review of Financial Analysis, Elsevier, vol. 84(C).

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