A Heuristic for Approximating Extreme Negative Price Returns in Financial Markets

J.T. Manhirea aTexas A&M University, 1249 TAMU, College Station, TX 77843-1249, U.S.A.

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The paper describes the behavior of financial markets as functions of the variables ``price return'' and ``time'' based on the net difference between ask and bid volumes over a unit period, thereby suggesting that at least a negative non-trivial price return extreme exists for a unit period. This admittedly heuristic approach also offers a method for approximating these negative price return extremes for a specific unit period. Limitations and applications are discussed.

DOI:10.12693/APhysPolA.133.1408 PACS numbers: 02.70.-c, 05.10.-a, 89.65.Gh