Financial Markets and Nonlinear Dynamics

In the aftermath of the 2008/2009 global financial crisis, several international capital markets experienced severe losses. Further, since March 2020 and within the coronavirus crisis (COVID-19), the financial markets have been again impacted significantly in particular because of the lockdown decisions in different developed and emerging countries, the slowdown of major economies, etc. Indeed, these recent events -induced basically by a COVID-19 shock - have generated an economic shock, increased uncertainty, and impacted investor’s anxiety and therefore financial market dynamics. This volatility of financial markets has recently increased because of the inflation tension, the uncertainty about the new central banking, commodity markets and the geopolitical tensions. In order to limit these losses, ensure investors and improve risk control, governments and central banks have proposed different solidarity programs and aids and have conducted new on-going policies. The financial market authorities adopted always regulatory measures to strengthen the financial systems, control algorithms and flash trading, improve market organization, and advance risk management. The availability of high frequency market data and the development of recent econometric models are of real interest in assessing the efficiency of these new regulatory measures, to test their appropriateness and to assess the effects of these shocks on the financial markets. Moreover, this can also help identify the main characteristics of the financial market data, resolve the issues raised by high frequency data, improve the understanding of price formation, and assess the risk dynamics.

The aim of this Collection/Special Issue of the journal Computational Economics, in conjunction with the 7th Workshop on "Financial Markets and Nonlinear Dynamics" held in Paris in June 2023, is to discuss innovative econometric modeling approaches that can serve as valuable frameworks to deal with these issues, with a particular interest for nonlinear time series models and recent econometrics modeling. This Collection/Special Issue on Financial Markets and Nonlinear Dynamics will also serve as a valuable platform for discussing innovative and thought-provoking ideas on nonlinear high frequency data modeling. We are looking for papers that might include (but are not restricted to) theoretical, experimental and empirical research in finance and/or econometrics with a strong computational basis.