Dataset Information

Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights.

ABSTRACT: Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical studies suggest that large price jumps cannot be explained by news and are the result of endogenous feedback loops. Although plausible, a clear-cut empirical evidence for such a scenario is still lacking. Here we show how crashes are conditioned by the market liquidity, for which we propose a new measure inspired by recent theories of market impact and based on readily available, public information. Our results open the possibility of a dynamical evaluation of liquidity risk and early warning signs of market instabilities, and could lead to a quantitative description of the mechanisms leading to market crashes.

SUBMITTER: Donier J

PROVIDER: S-EPMC4598099 | biostudies-literature | 2015

REPOSITORIES: biostudies-literature

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Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights.

Donier Jonathan J Bouchaud Jean-Philippe JP

PloS one 20151008 10

Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical studies suggest that large price jumps cannot be explained by news and are the result of endogenous feedback loops. Although plausible, a clear-cut empirical evidence for such a scenario is still lacking. Here we show how crashes are conditioned by the market ...[more]

PMID: 26448333

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Project description:BackgroundObtaining phylogenomic data for enigmatic taxa is essential to achieve a better understanding of animal evolution. Dicyemids have long fascinated biologists because of their highly simplified body organization, but their life-cycles remain poorly known. Based on the discovery of the dicyemid DoxC gene, which encodes a spiralian peptide, it has been proposed that dicyemids are members of the Spiralia. Other studies have suggested that dicyemids may have closer affinities to mollusks and annelids. However, the phylogenetic position of dicyemids has remained a matter of debate, leading to an ambiguous picture of spiralian evolution.ResultsIn the present study, newly sequenced transcriptomic data from Dicyema japonicum were complemented with published transcriptomic data or predicted gene models from 29 spiralian, ecdysozoan, and deuterostome species, generating a dataset (Dataset 1) for phylogenomic analyses, which contains 348 orthologs and 58,124 amino acids. In addition to this dataset, to eliminate systematic errors, two additional sub-datasets were created by removing compositionally heterogeneous or rapidly evolving sites and orthologs from Dataset 1, which may cause compositional heterogeneity and long-branch attraction artifacts. Maximum likelihood and Bayesian inference analyses both placed Dicyema japonicum (Dicyemida) in a clade with Intoshia linei (Orthonectida) with strong statistical support. Furthermore, maximum likelihood analyses placed the Dicyemida + Orthonectida clade within the Gastrotricha, while in Bayesian inference analyses, this clade is sister group to the clade of Gastrotricha + Platyhelminthes.ConclusionsWhichever the case, in all analyses, Dicyemida, Orthonectida, Gastrotricha, and Platyhelminthes constitute a monophyletic group that is a sister group to the clade of Mollusca + Annelida. Based on present phylogenomic analyses, dicyemids display close affinity to orthonectids, and they may share a common ancestor with gastrotrichs and platyhelminths, rather than with mollusks and annelids. Regarding spiralian phylogeny, the Gnathifera forms the sister group to the Rouphozoa and Lophotrochozoa, as has been suggested by previous studies; thus our analysis supports the traditional acoeloid-planuloid hypothesis of a nearly microscopic, non-coelomate common ancestor of spiralians.

Dataset Information

Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights.

Publications

Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights.

Similar Datasets

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