Scale of Market Movements for US stock market

• Thesis title in Czech: Škála pohybu pro americký akciový trh
• Thesis title in English: Scale of Market Movements for US stock market
• Key words: akciové trhy, šok, škála pohybu pro akciový trh, škála pohybu pro americký akciový trh, ekonofyzika, volatilita, Analýza hlavních komponentů
• English key words: econophysics, financial crises, magnitude, scale of market shocks, financial markets, financial shocks, stock market crashes,
• Academic year of topic announcement: 2016/2017
• Thesis type: Bachelor's thesis
• Thesis language: angličtina
• Department: Institute of Economic Studies (23-IES)
• Supervisor: prof. PhDr. Ladislav Krištoufek, Ph.D.
• Author: hidden - assigned by the advisor
• Date of registration: 09.11.2016
• Date of assignment: 09.11.2016
• Date and time of defence: 13.06.2017 09:00
• Venue of defence: Opletalova - Opletalova 26, O314, Opletalova - místn. č. 314
• Date of electronic submission: 17.05.2017
• Date of proceeded defence: 13.06.2017
• Opponents: Mgr. Ing. Šarlota Smutná, M.Sc.

References

[1] GABAIX, Xavier, Parameswaran GOPIKRISHNAN, Vasiliki PLEROU a H. Eugene STANLEY. A theory of power-law distributions in financial market fluctuations. Nature [online]. 2003, 423(6937), 267-270 [cit. 2016-05-19]. ISSN 00280836. Dostupné z: http://search.ebscohost.com/login.aspx?direct=true&db=a9h&an=9750793&scope=site
[2] JOHANSEN, A. a D. SORNETTE. Stock market crashes are outliers. The European Physical Journal B [online]. 1998, 1(2), 141-143 [cit. 2016-05-19]. DOI: 10.1007/s100510050163. ISSN 14346028. Dostupné z: http://link.springer.com/10.1007/s100510050163
[3] NEGREA, Bogdan. A statistical measure of financial crises magnitude. Physica A: Statistical Mechanics and its Applications [online]. 2014, 397, 54-75 [cit. 2016-05-19]. DOI: 10.1016/j.physa.2013.11.030. ISSN 03784371. Dostupné z: http://linkinghub.elsevier.com/retrieve/pii/S0378437113010972
[4] APOSTOL, Bogdan-Felix. A model of seismic focus and related statistical distributions of earthquakes. Physics Letters A [online]. 2006, 357(6), 462-466 [cit. 2016-05-19]. DOI: 10.1016/j.physleta.2006.04.080. ISSN 03759601. Dostupné z: http://linkinghub.elsevier.com/retrieve/pii/S0375960106006566
[5] MAILLET, Bertrand a Thierry MICHEL. An index of market shocks based on multiscale analysis*. Quantitative Finance [online]. 2003, 3(2), 88-97 [cit. 2016-05-21]. ISSN 14697688. Dostupné z: http://search.ebscohost.com/login.aspx?direct=true&db=bth&an=20348530&scope=site

Preliminary scope of work in English

I aim to create a comparison of a few used measurement methods of financial crises and describe how they differ, how would these methods rank major financial earthquakes of the last century and whether their measures of financial shocks magnitude would follow power laws used in seismology.

In 2003 Gabaix et al. proposed a theory of power-law distributions of stock markets fluctuations. Since then, there has been a number of papers concerning this topic and I believe that further research in this area would bring better insight into financial markets crises and theoretical background for policies aiming to minimize the losses caused by these.

However, there are several measurement methods of financial crisis magnitude which leads to some difficulties when linking research done by different researchers.
The desired output of my thesis would be a comparison of different approaches to expressing financial shocks magnitude.

In this thesis I’d like to take a look at the measurement methods of financial crises and their impacts on stock markets. I’d like to compare their performance and asses whether their provide a useful tool to work with when using power laws from seismology to describe developments on stock markets.