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Journal articles on the topic 'Dynamics of financial market cycles'

Author: Grafiati

Published: 3 June 2025

Last updated: 31 July 2025

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1

Lê, Hải Trung. "Measurement of Vietnamese financial cycles: An application of Spectral Analysis." Tạp chí Kinh tế - Luật và Ngân hàng 26, no. 262 (2024): 13–25. http://dx.doi.org/10.59276/jelb.2024.03.2608.

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The article proposes measuring the financial cycles of Vietnam using the spectral analysis method. This method determines financial cycle dynamics based on the simultaneous fluctuations of financial indicators, allowing its frequency and magnitude to vary over time, as opposed to remaining fixed as in traditional methods. The results indicate that Vietnam’s financial cycles from 2010Q1 to 2023Q3 exhibit significant volatility, with both frequency and amplitude of fluctuations increasing over time. The expansion and contraction phases of financial cycles are closely linked to economic fluctuati

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2

Tang, Aidi. "Financial Integration and International Dynamics: The Role of Volatility Shocks." Mathematics 11, no. 23 (2023): 4742. http://dx.doi.org/10.3390/math11234742.

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This study investigates the impact of financial integration on international dynamics from the perspective of volatility shocks. By incorporating time-varying volatilities, recursive preferences, and a global bank into the IRBC model, it illustrates that volatility shocks trigger precautionary saving incentives, but the specific effects vary based on the type of shock. Financial integration facilitates international capital flows and leads to an unequal distribution of international bank loans between two countries, resulting in greater divergence in their business cycles in the presence of pr

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3

Piliang, Aminah. "STRATEGIC TIMING: ANALYZING MARKET TIMING STRATEGIES FOR NON-FINANCIAL COMPANIES' LEVERAGE." American Journal of Management and Economics Innovations 06, no. 04 (2024): 41–46. http://dx.doi.org/10.37547/tajmei/volume06issue04-04.

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This study investigates the impact of market timing strategies on the leverage of non-financial companies. Market timing involves making financial decisions based on expectations of future market movements. Using a sample of non-financial firms, we examine how companies strategically time their debt issuance and repayment activities in response to market conditions. Our analysis considers factors such as interest rate fluctuations, market volatility, and economic cycles. We employ quantitative methods to assess the effectiveness of different market timing strategies in influencing firms' lever

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4

Agarwal, Krishang. "OPTION CHAIN DYNAMICS: ANALYSING OPEN INTEREST, TRADING VOLUME, AND LAST TRADED PRICE RELATIONSHIPS." Turkish Journal of Computer and Mathematics Education (TURCOMAT) 15, no. 2 (2024): 140–46. http://dx.doi.org/10.61841/turcomat.v15i2.14717.

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This paper investigates the dynamic interplay between option chain metrics—specifically open interest (OI), trading volume, and last traded price (LTP)—within financial markets. Utilizing data spanning multiple market cycles, we explore how changes in these metrics influence one another and impact underlying asset prices. Drawing upon existing literature and empirical analysis, we seek to elucidate the predictive power of these indicators on market movements and volatility.

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5

Semmler, Willi, Gabriel R. Padró Rosario, and Levent Koçkesen. "Liquidity and Business Cycles—With Occasional Disruptions." Econometrics 11, no. 4 (2023): 27. http://dx.doi.org/10.3390/econometrics11040027.

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Some financial disruptions that started in California, U.S., in March 2023, resulting in the closure of several medium-size U.S. banks, shed new light on the role of liquidity in business cycle dynamics. In the normal path of the business cycle, liquidity and output mutually interact. Small shocks generally lead to mean reversion through market forces, as a low degree of liquidity dissipation does not significantly disrupt the economic dynamics. However, larger shocks and greater liquidity dissipation arising from runs on financial institutions and contagion effects can trigger tipping points,

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Li, Yanting. "A Test of Fama-French Five-Factor Model in Quantitative Easing." Highlights in Business, Economics and Management 40 (September 1, 2024): 789–93. http://dx.doi.org/10.54097/6722e485.

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In the evolving context of financial markets, the global financial crisis and subsequent quantitative easing policies have reignited scrutiny of the effectiveness of asset pricing models. This study employs the Fama-French methodology to conduct a detailed analysis of data from July 1963 to January 2024, a period encompassing significant economic shifts, to evaluate the robustness of the Fama-French three-factor and five-factor models under different market conditions. By examining five key factors—market excess returns, size premium, value premium, profitability, and investment style—across v

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7

Rosser, J. Barkley. "Econophysics and the Entropic Foundations of Economics." Entropy 23, no. 10 (2021): 1286. http://dx.doi.org/10.3390/e23101286.

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This paper examines relations between econophysics and the law of entropy as foundations of economic phenomena. Ontological entropy, where actual thermodynamic processes are involved in the flow of energy from the Sun through the biosphere and economy, is distinguished from metaphorical entropy, where similar mathematics used for modeling entropy is employed to model economic phenomena. Areas considered include general equilibrium theory, growth theory, business cycles, ecological economics, urban–regional economics, income and wealth distribution, and financial market dynamics. The power-law

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Milovidov, V. "Narrative Cycles: What Drove Postwar Stock Market Dynamic?" World Economy and International Relations 68, no. 8 (2024): 17–27. http://dx.doi.org/10.20542/0131-2227-2024-68-8-17-27.

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The United States is considered the world’s leading center of economic power, which, in particular, is determined by the role played by the U.S. stock market in the world economy. Largely due to the capacity of this market, the U.S. dollar plays the role of the dominant world currency. The state of the U.S. financial market is important for global financial stability. This determines the importance of finding the factors that determine the dynamics of the U.S. stock market. In this article, the author offers his chronology of post-war financial cycles in the United States and analyses them in

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Wu, Yijie, Jingbo Yin, and Pan Sheng. "The Dynamics of Dry Bulk Shipping Market Under the Shipping Cycle Perspective: Market Relationships and Volatility." Transportation Research Record: Journal of the Transportation Research Board 2672, no. 11 (2018): 1–9. http://dx.doi.org/10.1177/0361198118756622.

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The shipping industry plays an essential role in world trade. For shipping companies, having an accurate view of the markets and grasp of the interactions between the freight market, second-hand ship market, and the newbuild ship markets is essential. The shipping market cycles are divided into four periods (trough, recovery, peak, and recession) based upon shipping cycle theory. The current shipping markets have been stuck in the trough period since the financial crisis in 2008. This paper investigates the recovery period and causality relationship between the freight rate, second-hand price,

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10

Lê, Hải Trung. "Spillovers between credit growth and financial assets: Evidence from TVP-VAR connectedness model." Tạp chí Khoa học và Đào tạo Ngân hàng 260+261 (January 2024): 46–60. http://dx.doi.org/10.59276/tckhdt.2024.1.2.2609.

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The article assesses the spillover effects among credit growth, stock, and bond returns through a dynamic network model with time-varying parameters, TVP-VAR, from 2010 to 2023Q2. The findings reveal a dynamic interconnection among credit growth, stock price volatility, and bond prices over time. Notably, credit growth emerges as the primary shock spillover to the system. However, credit growth spillover effects are mainly toward stock returns dynamics, while the connection between credit growth and bond returns is much less clear. Conversely, stock return exhibits spillover effects on bond re

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11

Birley, Lewis Michael. "Cycles and Transformation." Journal of World-Systems Research 29, no. 2 (2023): 505–23. http://dx.doi.org/10.5195/jwsr.2023.1172.

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This article offers a new analysis of China’s politico-economic system from a world-systems perspective. My basic argument is that the novelty of China’s system is not, as McNally (2020) argues, its hybrid fusion of neoliberal market dynamics with strong centralized political control. China’s real historical significance comes from the combination of a centralized, state controlled financial governance structure that is highly insulated from the control of outside actors situated within China’s large extended geo-space. I argue that China’s intense state control of economic reality, and especi

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12

Dr. Puneet Jain, Dr. Anu Gupta. "Capital Market Reactions to the Indian Lok Sabha Elections – An Analysis of 2014, 2019 and 2024." Economic Sciences 21, no. 1 (2025): 205–15. https://doi.org/10.69889/2dx9xq41.

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This paper investigates the impact of the Indian Lok Sabha elections on the capital market, focusing on the three electoral cycles i.e. 2014, 2019, and 2024. The research study employed the market model and event study methodology to analyze the complete dynamics between electoral outcomes, market sentiment, and investor behavior by using Average Abnormal Returns (AAR). The analysis was based on data available from the National Stock Exchange (NSE) and with the NIFTY 50 index as the benchmark of the market. All companies listed on NSE sectoral indices are included in the analysis. The results

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13

Zou, Zhenrong. "Optimal Portfolio Strategies in Chinese Equity Market." Highlights in Business, Economics and Management 40 (September 1, 2024): 840–45. http://dx.doi.org/10.54097/af389y31.

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In the dynamic landscape of financial markets, the strategic construction of investment portfolios is pivotal for investors aiming to maximize returns while managing risk. This research delves into the optimization of portfolios by focusing on two key objectives: maximizing the Sharpe ratio and minimizing volatility. Through the analysis of seven representative Chinese stocks, this study introduces a forward-looking approach to portfolio construction that adapts to current market conditions. By employing a comprehensive set of descriptive statistics and a rigorous out-of-sample testing methodo

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14

Zhang, Weiran, Xinmeng Zhang, and Yixin Chen. "Quantitative Statistical Study of Financial Market Sentiment on Economic Cycles: An Analysis Based on the FinBERT Model and TVP-VAR." Transactions on Economics, Business and Management Research 9 (August 21, 2024): 294–302. http://dx.doi.org/10.62051/c7vskc54.

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Amid global financial market turmoil, the relationship between market sentiment and macroeconomic cycles has garnered significant attention. This study leverages big data from financial markets to quantitatively analyze market sentiment using the FinBERT model and investigates its impact on macroeconomic cycles with the TVP-VAR method. Based on textual data from the Shanghai Stock Exchange Index forums and Baidu Index online engagement metrics, the study employs GIS technology to analyze regional emotional responses to financial market fluctuations and economic activity trends.The research rev

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15

Duran, Hasan. "Dynamics of business cycle synchronization in Turkey." Panoeconomicus 62, no. 5 (2015): 581–606. http://dx.doi.org/10.2298/pan1505581d.

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The aim of the present article is to investigate the economic determinants of the synchronization across regional business cycles in Turkey between 1975 and 2010. The vast majority of studies in this field have concentrated on well-known determinants, such as inter-regional trade, financial integration, and industrial specialization, while largely ignoring spatial and geographical factors, including differences across regions in agglomeration, localization economies, market size, and urbanization. In this article, we incorporate these variables into our analysis and evaluate their roles in the

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16

Wang, Ning, and Maryna Murdock. "A dynamic model of an insurer: loss shocks, capacity constraints and underwriting cycles." Journal of Risk Finance 20, no. 1 (2019): 82–93. http://dx.doi.org/10.1108/jrf-03-2018-0051.

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Purpose This paper aims to revisit the assumption of the cyclicality of the property-liability insurance market and identify a scenario in which the so-called underwriting cycles are unpredictable, according to a dynamic cash flow model which generates non-cyclical output dynamics. Design/methodology/approach This paper is on the intersection of real business cycle models and financial cycles. The authors construct a dynamic model of an insurer’s cash flows with stochastic loss shocks and capacity constraints, in which loss shocks have a dual impact on both underwriting profits and access to e

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17

D'Amato, Maurizio, and Giuseppe Cucuzza. "Cyclical capitalization: basic models." Aestimum 80 (July 13, 2022): 45–54. http://dx.doi.org/10.36253/aestim-12625.

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The relevance of market cycles is known in the financial markets and in the context of real estate valuations it manifests itself in the estimate of the “exit value” of the Discounted Cash Flow Analysis. The hypothesis that the market cycle has a behaviour very similar to what happened in the past introduces some risks and uncertainty in the estimated value. To allow a more extensive use of cyclical capitalization in formulating value judgments, this paper proposes two methodological adaptations to the original model: the first, based on the presence of a regular market trend; the second based

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18

Li, Peijin, Xinyi Peng, Chonghui Zhang, and Tomas Baležentis. "Financial Cycle With Text Information Embedding Based on LDA Measurement and Nowcasting." Journal of Organizational and End User Computing 36, no. 1 (2023): 1–25. http://dx.doi.org/10.4018/joeuc.335082.

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When compared to traditional indicators, text information can capture market sentiment, investor confidence, and public opinion more effectively. Meanwhile, the mixed-frequency dynamic factor model (MF-DFM) can capture current changes. In this study, the authors constructed a financial cycle measurement and nowcasting framework by incorporating text information into factors derived from MF-DFM. The findings reveal that, first, the financial cycle indicator (FCI) provides a more detailed and forward-looking perspective on major events. Second, it can serve as an effective “early warning system”

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19

Ichkitidze, Yuri, Anton Lushkin, Laslo Ungvari, and Sadat Akaeva. "Technological development and income inequality: a role of financial market." SHS Web of Conferences 44 (2018): 00039. http://dx.doi.org/10.1051/shsconf/20184400039.

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In this paper we study the effects of financial markets on an increase in income inequity. The notion, which is employed as a working hypothesis that the market equilibrium around the fair price and unbiased changes in prices has a neutral effect on inequity while the systematic underreaction accompanied by time trends contributes to its growth, has been considered. In order to check this hypothesis we have studied the long-term cycles in dynamics of the US stock index and income inequity and shown that the stock market growth observed in 1980-2017 is correlated to an increase in income inequi

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20

Yalamova, Rossitsa. "Financial Engineering in Complex Dynamic Systems." Financial Engineering 1 (November 28, 2023): 345–52. http://dx.doi.org/10.37394/232032.2023.1.32.

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This paper explores the dynamic nature of financial markets through the lens of complex adaptive systems (CAS) theory, aiming to provide a comprehensive understanding of how financial markets deviate from the Efficient Market Hypothesis in extreme events such as bubbles and crashes. Traditional economic models often struggle to capture the intricate dynamics of 'self-organizing' financial markets, particularly the interaction between supply and demand in the face of evolving risks. CAS theory offers a promising framework for modeling asset prices, emphasizing the interconnectedness and adaptab

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21

Wong, Gary Wai Chung, and Lok Sang Ho. "International Real Estate Review." International Real Estate Review 20, no. 3 (2017): 375–96. http://dx.doi.org/10.53383/100247.

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This paper builds on the literature that shows policy often plays a key role in housing cycles. Using the cointegration approach which focuses on the supply and demand dynamics of the housing market, and with explicit consideration of housing price expectations proxied by the price-earning ratio in financial markets, this paper identifies two cointegrating relations: a long run demand-side relation that involves housing property price, interest rate, price expectation and income; and a supply-side relation that involves private housing completion, property price, interest rate, and building an

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22

Parker, Edgar. "Entropy, the Information Processing Cycle, and the Forecasting of Bull and Bear Market Peaks and Troughs." International Journal of Productivity Management and Assessment Technologies 7, no. 1 (2019): 77–90. http://dx.doi.org/10.4018/ijpmat.2019010105.

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Many econophysics applications have modeled financial systems as if they were pure physical systems devoid of human limitations and errors. On the other hand, traditional financial theory has ignored limits that physics would impose on human interactions, communications, and computational abilities. The entropic yield curve blends the physical and human financial worlds in a new, powerful, and surprisingly simple way. This article uses this information theoretic perspective to provide a new explanation of the dynamics and timing of financial cycles. Additionally, the entropic yield curve offer

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23

Khiui, Nasir M. "Nonlinear Dynamics and Chaos: Application to Financial Markets in Pakistan." Pakistan Development Review 33, no. 4II (1994): 1417–29. http://dx.doi.org/10.30541/v33i4iipp.1417-1429.

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Recently there has been an increased interest in the theory of chaos by macroeconomists and fmancial economists. Originating in the natural sciences, applications of the theory have spread through various fields including brain research, optics, metereology, and economics. The attractiveness of chaotic dynamics is its ability to generate large movements which appear to be random, with greater frequency than linear models. Two of the most striking features of any macro-economic data are its random-like appearance and its seemingly cyclical character. Cycles in economic data have often been noti

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Dr., Kajal Gandhi. "UNDERSTANDING BUSINESS CYCLE AND STOCK MARKET VOLATILITY: A REVIEW." International Journal of Education & Applied Sciences Research 8, no. 1 (2021): 33–41. https://doi.org/10.5281/zenodo.14913588.

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<em>The abstract provides a concise overview of the paper, summarizing the key points, methods, and conclusions drawn. This research paper reviews the relationship between the business cycle and stock market volatility, with a focus on literature published until 2021. The business cycle, marked by periods of expansion and recession, plays a significant role in shaping stock market behavior. Stock market volatility refers to fluctuations in asset prices, often linked to economic indicators such as GDP growth, unemployment, inflation, and consumer confidence. This paper synthesizes findings from

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Liow, Kim Hiang. "Linkages between cross-country business cycles, cross-country stock market cycles and cross-country real estate market cycles." Journal of European Real Estate Research 9, no. 2 (2016): 123–46. http://dx.doi.org/10.1108/jerer-05-2015-0024.

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Purpose This research aims to investigate whether and to what extent the co-movements of cross-country business cycles, cross-country stock market cycles and cross-country real estate market cycles are linked across G7 from February 1990 to June 2014. Design/methodology/approach The empirical approaches include correlation analysis on Hodrick–Prescott (HP) cycles, HP cycle return spillovers effects using Diebold and Yilmaz’s (2012) spillover index methodology, as well as Croux et al.’s (2001) dynamic correlation and cohesion methodology. Findings There are fairly strong cycle-return spillover

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Enow, Samuel Tabot. "Phase distribution and phase correlation: Evidence in international financial markets." International Journal of Business Ecosystem & Strategy (2687-2293) 7, no. 2 (2025): 244–49. https://doi.org/10.36096/ijbes.v7i2.795.

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The aim of this study was to investigate phase distribution and phase correlation dynamics across international financial markets to uncover cyclical patterns, synchronization, and contagion effects. The sample financial markets were the S&P 500, DAX, Nikkei 225, FTSE 100, Shanghai Composite, BSE Sensex with daily closing prices ranging from 2018–2023. Using the Hilbert-Huang Transform complemented by Phase Concentration Index, Kuiper tests, and Granger causality, the results reveal distinct phase clustering in the Shanghai and BSE Sensex. Developed markets exhibit lower volatility cluster

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Szweizer, Moshe. "Characteristic points of Auckland commercial property cycles." Journal of Property Investment & Finance 37, no. 5 (2019): 470–85. http://dx.doi.org/10.1108/jpif-04-2019-0053.

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Purpose The purpose of this paper is to expand our understanding of processes governing commercial property cycles, and to provide tools, which enable identification of property cycles’ turning points’ location. Design/methodology/approach This paper is divided into three parts. The first looks at the demand-supply dynamics and the location of two characteristic cyclic points, the market bottom and the cycle commencement. In the second part a property relevant formula for entropy is derived, and its relation to the cycle overheated stage and the market peak is studied. In the third part, we di

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Chakraborty, Suparna. "REAL ESTATE CYCLES, ASSET REDISTRIBUTION, AND THE DYNAMICS OF A CRISIS." Macroeconomic Dynamics 20, no. 7 (2016): 1873–905. http://dx.doi.org/10.1017/s1365100515000322.

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In this paper, I explore the dynamics of real estate market fluctuations and business cycle co-movements in a neoclassical setting. Applying a dynamic stochastic general equilibrium model of collateral constraints with asset reallocation to Japan, I find that public policy shocks account well for the business cycle dynamics. In particular, taxes on land holdings of households mimic the impact of a housing preference shock, and if volatile enough, can trigger large asset price fluctuations. However, in the absence of volatility, the impact on prices is intrinsically linked to the persistence of

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Qiu, Shiqing, Yang Wang, Zong Ke, et al. "A Generative Adversarial Network-Based Investor Sentiment Indicator: Superior Predictability for the Stock Market." Mathematics 13, no. 9 (2025): 1476. https://doi.org/10.3390/math13091476.

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Investor sentiment has a profound impact on financial market volatility; however, it is difficult to accurately capture the complex nonlinear relationships among sentiment proxies with the existing methods. In this study, we propose a novel investor sentiment indicator, SGAN, which uses generative adversarial networks (GANs) to extract the nonlinear latent structure from eight sentiment proxies from February 2003 to September 2023 in the Chinese A-share market. Unlike traditional linear dimensionality reduction methods, GANs are able to capture complex market dynamics through adversarial train

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Morelli, Juan M., Pablo Ottonello, and Diego J. Perez. "Global Banks and Systemic Debt Crises." Econometrica 90, no. 2 (2022): 749–98. http://dx.doi.org/10.3982/ecta17433.

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We study the role of global financial intermediaries in international lending. We construct a model of the world economy, in which heterogeneous borrowers issue risky securities purchased by financial intermediaries. Aggregate shocks transmit internationally through financial intermediaries' net worth. The strength of this transmission is governed by the degree of frictions intermediaries face in financing their risky investments. We provide direct empirical evidence on this mechanism showing that around Lehman Brothers' bankruptcy, emerging‐market bonds held by more distressed global banks ex

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Baburin, Vyacheslav L. "The resistance of the greater Baltic region states to market cycle changes." Baltic Region 11, no. 1 (2019): 4–13. http://dx.doi.org/10.5922/2079-8555-2019-1-1.

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A non-linear change process is a specific feature of a poorly regulated market economy. However, many researchers have shown that different economic sectors do not respond to market cycles in a similar way. Regional economic systems are a combination of many sectors, therefore a hypothesis about the correlation between the stability of regional economies and market cycles is examined. The study is conducted using the Baltic countries (hereinafter referred to as Greater Baltic Region, GBR) as an example. GBR countries have been classified into highly stable, relatively stable, unstable, and hig

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Afrina, Taskin, Tahrima Haque Beg, Nurul Mohammad Zayed, Md Shakib Hossain, and Shahiduzzaman Khan Shahi. "An Analysis of the Effects of Corona Virus (COVID-19) on International Financial Derivatives Market, 2020." Indian Journal of Finance and Banking 4, no. 2 (2020): 93–98. http://dx.doi.org/10.46281/ijfb.v4i2.757.

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This research article develops a rational framework to comprehend the spatiotemporal structures of epidemic illness (COVID-19) incident, its applicability, and its significances to financial markets action. The article proposes a paradigm shift which is a new multidimensional geometric approach that has to apprehend all proportional and asymmetrical strategic illustrated tendencies. The epidemic impact on economic activity differs in terms of magnitude and intensity: an economy experiences a supply and demand shocks in the short-run with instant effects in output and employment. This has gener

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Bogáth, Emese Melinda, Sándor Gáspár, Gergő Thalmeiner, and Judit Bárczi. "Analysis of the Hungarian investment funds along economic cycles." Economic Annals-ХХI 190, no. 5-6(2) (2021): 48–57. http://dx.doi.org/10.21003/ea.v190-05.

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As a result of the 2008 financial crisis, the international financial system underwent a fundamental change. The crisis has highlighted various weaknesses in the economic system. One of these weaknesses was the unregulated nature of investment markets and their inefficient structural structure. Funds managed by investment fund managers have also been hit hard by the crisis. In the post-crisis period of 2008, there was a dynamic economic boom, which also affected the types of investment funds and their changes. However, the economic crisis caused by the COVID-19 pandemic from 2020 onwards is a

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Eboigbe, Sharlywest Uwabor, and Victor Usunobun Imagbe. "Electoral cycles, stock market volatility and exchange rate: The indissoluble trivet." Journal of Research in Emerging Markets 2, no. 2 (2020): 61–72. http://dx.doi.org/10.30585/jrems.v2i2.385.

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This paper seeks to unravel the connectivity between stock market volatility and exchange rate within the political cycles of sovereign states presidential election years between 2000-2016 using the dynamic system GMM estimation and VECH technique data source from Morgan Stanley Capital International (MSCI). A significant positive relationship between market volatility and exchange rate manifests in the studied countries, more in Nigeria and South Africa. A significant shift in a conditional correlation of the variances of most markets exists except for Kenya, Japan, and Hong Kong. This perhap

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Cohn, Alain, Jan Engelmann, Ernst Fehr, and Michel André Maréchal. "Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals." American Economic Review 105, no. 2 (2015): 860–85. http://dx.doi.org/10.1257/aer.20131314.

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Countercyclical risk aversion can explain major puzzles such as the high volatility of asset prices. Evidence for its existence is, however, scarce because of the host of factors that simultaneously change during financial cycles. We circumvent these problems by priming financial professionals with either a boom or a bust scenario. Subjects primed with a financial bust were substantially more fearful and risk averse than those primed with a boom, suggesting that fear may play an important role in countercyclical risk aversion. The mechanism described here is relevant for theory and may explain

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van der Nest, Matthew, and Gary van Vuuren. "Commodity Prices and the US Business Cycle." Journal of Risk and Financial Management 16, no. 10 (2023): 462. http://dx.doi.org/10.3390/jrfm16100462.

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This article explores the relationship between commodity price cycles and the US business cycle. Commodity price cycles are known to foster capricious macroeconomic activity, and understanding their behaviour offers valuable economic insight. The US business cycle is a key indicator of the broader economic conditions, reflecting changes in economic activity, consumer spending, and overall market conditions. By examining the dynamics and interplay between these two cycles, this study provides insights into the potential synchronisation, lag, or lead between commodity price cycles and the US bus

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Kunieda, Takuma, and Akihisa Shibata. "ENTREPRENEURS, FINANCIERS, AND BOOM–BUST CYCLES." Macroeconomic Dynamics 21, no. 3 (2016): 785–816. http://dx.doi.org/10.1017/s1365100515000681.

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In this paper, a dynamic general equilibrium model with infinitely lived entrepreneurs and financiers is developed to investigate a possible mechanism that explains business cycles and financial crises. The highest growth rate is achievable only if financiers coexist with entrepreneurs, given a certain extent of financial market imperfections. However, if financiers coexist with entrepreneurs, the economy is highly likely to face a financial crisis at certain parameter values. These two-sided implications of the coexistence of entrepreneurs and financiers explain why both instability and high

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Liu, Weimeng. "Comparative Analysis of SVR and LSTM in Stock Price Forecasting Across Market Cycles." Advances in Economics, Management and Political Sciences 95, no. 1 (2024): 40–50. http://dx.doi.org/10.54254/2754-1169/95/2024mur0101.

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This study investigates the predictive capabilities of Support Vector Regression and Long Short-Term Memory networks on stock price trends across different market conditionsbear, bumpy, and bull markets. With the ongoing evolution of machine learning technologies, their application in financial forecasting has shown substantial potential for capturing complex patterns in vast datasets, which traditional models often fail to process efficiently. This study particularly focuses on the performance of these models in forecasting stock prices from the S&P 500 index, evaluated through the lens o

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Pan, Heping. "A BASIC THEORY OF INTELLIGENT FINANCE." New Mathematics and Natural Computation 07, no. 02 (2011): 197–227. http://dx.doi.org/10.1142/s1793005711001895.

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This paper presents a basic theory of intelligent finance as a new paradigm of financial investment. It is assumed that the financial market is always in a state of swing between efficient and inefficient modes on multiple levels of time scale; it is possible to go beyond the efficient market theory to study the dynamic evolving process of the market between equilibrium and far-from-equilibrium; there are robust dynamic patterns in this evolving process, which may be exploitable via intelligent trading systems. On the foundation of the four principles — comprehensive, predictive, dynamic and s

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Jones, Colin, and Harry W. Richardson. "Housing markets and policy in the UK and the USA." International Journal of Housing Markets and Analysis 7, no. 1 (2014): 129–44. http://dx.doi.org/10.1108/ijhma-10-2012-0052.

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Purpose – This paper aims to examine how the exogenous shock of the global financial crisis has had a differential impact on the housing markets of the USA and UK. Design/methodology/approach – The paper begins by examining the nature and dynamics of the global financial crisis. It presents a detailed comparison of institutional and housing market characteristics in each country. A particular focus is the differences in mortgage funding and subprime lending trends over the decade leading up to the financial crisis. Findings – The analysis demonstrates the distinctiveness of the recent housing

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Rutkauskas, Aleksandras Vytautas, Alfredas Lukaševičius, and Julija Šalengaitė. "Impact of the Dynamics of Stock Price Cycle on the Sustainable Development of an Investment Portfolio." Business: Theory and Practice 14, no. (4) (2013): 287–96. https://doi.org/10.3846/btp.2013.30.

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The article examines the possibilities of interpreting stock price dynamics using the methods of technical analysis. The examination has been carried out taking into consideration different viewpoints of multiple scientists. For solving the problem of investment sustainability, the dynamics of financial markets, asset prices in different time periods and the principles of economic cycles have been analyzed. This paper presents a custom mathematical algorithm a unique tool in investment management studies created by the author of the article. The carried out investigation should aid in determin

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Utami, Dinarossi. "DINAMIKA WORKING CAPITAL EFFICIENCY DAN FIRM PERFORMANCE PADA PERUSAHAAN MANUFAKTUR DI INDONESIA." Jurnal Manajemen Kompeten 7, no. 2 (2025): 13. https://doi.org/10.51877/mnjm.v7i2.382.

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ABSTRACT The manufacturing sector plays a critical role in Indonesia’s economic development, requiring financial efficiency to navigate challenges such as globalization, competition, and technological advancements. Despite its importance, inefficiencies in working capital management (WCM) persist, leaving gaps in understanding its impact on firm performance, particularly in emerging markets like Indonesia. This study examines the influence of working capital efficiency (WCE), measured through Net Trade Cycle (NTC) and its components, on Tobin's Q (market-based) and Return on Equity (ROE, accou

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Hiang Liow, Kim. "The dynamics of return co-movements and volatility spillover effects in Greater China public property markets and international linkages." Journal of Property Investment & Finance 32, no. 6 (2014): 610–41. http://dx.doi.org/10.1108/jpif-06-2014-0039.

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Purpose – The purpose of this paper is to examine weekly dynamic conditional correlations (DCC) and vector autoregressive (VAR)-based volatility spillover effects within the three Greater China (GC) public property markets, as well as across the GC property markets, three Asian emerging markets and two developed markets of the USA and Japan over the period from January 1999 through December 2013. Design/methodology/approach – First, the author employ the DCC methodology proposed by Engle (2002) to examine the time-varying nature in return co-movements among the public property markets. Second,

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Ghabban, Marwan, Yazeed Alsughayyi, Marwan Alghanmi, Saeed AlGhamdi, and Eihab owaidhah. "Impact of Cash Conversion Cycle on Firm's Profitability by Applying to Companies Listed on the Saudi Stock Market." Academic Journal of Research and Scientific Publishing 5, no. 57 (2024): 29–50. http://dx.doi.org/10.52132/ajrsp.e.2024.57.2.

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This study examines the complex relationships between Cash Conversion Cycle and firm profitability using a dataset of seven companies. The primary goal is to assess the subtle impact of the Cash Conversion Cycle (CCC) on two key dependent variables: Return on Assets (ROA) and Earnings Per Share (EPS). The focus of this investigation is on four independent variables: leverage ratio, quick ratio, current ratio, and debt to service ratio. In a departure from conventional wisdom, our findings call into question established financial theories by demonstrating the CCC's insignificant impact on ROA.

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Gondauri, Davit, Nino Chedia, and Vakhtang Tsintsadze. "Increasing Systemic Resilience to Socioeconomic Challenges: Modeling the Dynamics of Liquidity Flows and Systemic Risks Using Navier–Stokes Equations." SocioEconomic Challenges 9, no. 2 (2025): 92–113. https://doi.org/10.61093/sec.9(2).92-113.2025.

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Modern economic systems face unprecedented socioeconomic challenges, which make increasing systemic resilience and improving liquidity flow management particularly important. Traditional models (CAPM, VaR, GARCH) often fail to reflect real market fluctuations and extreme events. In the presented study, an innovative mathematical model has been developed, which is based on the interpretation of the Navier-Stokes equations and aims at the quantitative assessment, forecasting, and simulation analysis of liquidity flows and systemic risks. The main hypothesis of the study is that the adapted form

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A. Manickam. "Analyzing SBI Share Price Volatility: A Novel Mathematical Exploration with the Markovian Model." Communications on Applied Nonlinear Analysis 31, no. 8s (2024): 557–64. http://dx.doi.org/10.52783/cana.v31.1548.

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By transferring inactive cash from surplus to deficit units in the economy, the stock market plays a significant part in facilitating financial transactions in developing as well as developed nations. Stock market forecasting is observed as one of the most difficult undertakings in today's financial sector. As a result, much emphasis has been placed on scrutiny and prediction of future standards and performance of the financial time series. Business cycles, interest rates, monetary policy, general economic conditions, traders' expectations, political events, and so on influence the stock marke

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Elvir, Elvir, Sanatbek Yakubov, Khurshid Zaripov, and Rustem Shichiyakh. "Multi-Criteria Decision Support System for Predicting Financial Futures Using Ensemble of Deep Learning Algorithms with Heuristic Search Mechanisms." Fusion: Practice and Applications 18, no. 2 (2025): 66–78. https://doi.org/10.54216/fpa.180206.

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Financial markets are an intricate dynamic system. The difficulty comes from the contact among a market and its applicants, which means, the integrated consequence of the activities of whole applicants decides the market trend, while the market trend disturbs the actions of applicants. These linked interactions make financial markets keep developing. Financial markets are interchange financial instruments like savings certificates, bonds, stocks, and much more. Particularly in stocks, because variations in stock prices are inclined by numerous factors, with economic cycles, financial trends, f

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Markowski, Łukasz. "Synchronization of the business and financial cycle in Poland." Ekonomia i Prawo 24, no. 2 (2025): 115–34. https://doi.org/10.12775/eip.2025.07.

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Motivation: Nowadays, financial factors increasingly determine the functioning of the real sector. The assessment of the synchronization and interdependence of fluctuations in business and financial activity can be a kind of criterion for assessing the balance between the real and financial spheres. Aim: The aim of the research is to assess the degree of synchronization of the business and finan-cial cycle in Poland and the changes in the degree of this synchronization over time. Results: In the adopted research period, financial cyclical fluctuations of the dynamics of the stock market index

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YIN, Kedong, Zhe LIU, and Peide LIU. "TREND ANALYSIS OF GLOBAL STOCK MARKET LINKAGE BASED ON A DYNAMIC CONDITIONAL CORRELATION NETWORK." Journal of Business Economics and Management 18, no. 4 (2017): 779–800. http://dx.doi.org/10.3846/16111699.2017.1341849.

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The paper analyses the trend of global stock market linkages via daily data of 51 stock indices spanning the period 22 July 2005 to 30 June 2016 which covers four regions: America, Europe, Asia Pacific and Africa. A dynamic conditional multivariate generalized autoregressive conditional heteroskedasticity (DCC-MVGARCH) approach was used to calculate dynamic correlation coefficient in order to construct the volatility networks. The methods of minimum spanning tree (MST) and low pass filter were for the first time applied to analyze the variable periodicity of the comovement. The original contri

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Malyarets, Lyudmyla, Oleksandr Dorokhov, Anatoly Voronin, Irina Lebedeva, and Stepan Lebedev. "Models of microeconomic dynamics: Bifurcations and complex system behavior algorithms." Vojnotehnicki glasnik 72, no. 4 (2024): 1552–75. http://dx.doi.org/10.5937/vojtehg72-52213.

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Introduction/purpose: Studying the dynamics of the mutual influence of supply and demand is relevant in connection with the financial losses that arise due to uncertainty in demand and forecast errors. The work aims to build a mathematical model of the dynamics of this interaction for the market of one product. Methods: The paper proposes a mathematical model of the states of the supply-demand system, within the framework of which the processes occurring in this system are considered from the perspective of the methodology of economic synergetics. The mathematical model of dynamics has the for

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