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Davor Horvatic

  1. Cross-correlations between volume change and price change.

    Fri, 11/12/2010 - 16:01 — SomNambul
    Authors: H. Eugene Stanley, Alexander M. Petersen, Boris Podobnik, Davor Horvatic
    Subjects: Statistical Finance
    Abstract

    In finance, one usually deals not with prices but with growth rates $R$,
    defined as the difference in logarithm between two consecutive prices. Here we
    consider not the trading volume, but rather the volume growth rate $\tilde R$,
    the difference in logarithm between two consecutive values of trading volume.
    To this end, we use several methods to analyze the properties of volume changes
    $|\tilde R|$, and their relationship to price changes $|R|$.

  2. Bankruptcy risk model and empirical tests.

    Fri, 11/12/2010 - 16:01 — SomNambul
    Authors: H. Eugene Stanley, Alexander M. Petersen, Boris Podobnik, Davor Horvatic, Branko Urošević
    Subjects: Risk Management
    Abstract

    We analyze the size dependence and temporal stability of firm bankruptcy risk
    in the US economy by applying Zipf scaling techniques. We focus on a single
    risk factor-the debt-to-asset ratio R-in order to study the stability of the
    Zipf distribution of R over time. We find that the Zipf exponent increases
    during market crashes, implying that firms go bankrupt with larger values of R.
    Based on the Zipf analysis, we employ Bayes's theorem and relate the
    conditional probability that a bankrupt firm has a ratio R with the conditional
    probability of bankruptcy for a firm with a given R value.

  3. Scale invariant properties of public debt growth.

    Tue, 02/16/2010 - 16:02 — SomNambul
    Authors: H. Eugene Stanley, Alexander M. Petersen, Boris Podobnik, Davor Horvatic
    Subjects: General Finance
    Abstract

    Public debt is one of the important economic variables that quantitatively
    describes a nation's economy. Because bankruptcy is a risk faced even by
    institutions as large as governments (e.g. Iceland), national debt should be
    strictly controlled with respect to national wealth. Also, the problem of
    eliminating extreme poverty in the world is closely connected to the study of
    extremely poor debtor nations. We analyze the time evolution of national public
    debt and find "convergence": initially less-indebted countries increase their
    debt more quickly than initially more-indebted countries.

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