Statistical Finance
Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter…
Following the statistical mechanics methodology, firstly introduced in macroeconomics by Aoki [1996,2002], we provide some insights to the well known works of Greenwald and Stiglitz [1990, 1993]. Specifically, we reach analytically a closed…
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold $q$ for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can…
Empirical analysis of the foreign exchange market is conducted based on methods to quantify similarities among multi-dimensional time series with spectral distances introduced in [A.-H. Sato, Physica A, 382 (2007) 258--270]. As a result it…
We investigate how simultaneously recorded long-range power-law correlated multi-variate signals cross-correlate. To this end we introduce a two-component ARFIMA stochastic process and a two-component FIARCH process to generate coupled…
The maximum entropy principle can be used to assign utility values when only partial information is available about the decision maker's preferences. In order to obtain such utility values it is necessary to establish an analogy between…
Here we propose a method, based on detrended covariance which we call detrended cross-correlation analysis (DXA), to investigate power-law cross-correlations between different simultaneously-recorded time series in the presence of…
World currency network constitutes one of the most complex structures that is associated with the contemporary civilization. On a way towards quantifying its characteristics we study the cross correlations in changes of the daily foreign…
This study investigates empirically whether the degree of stock market efficiency is related to the prediction power of future price change using the indices of twenty seven stock markets. Efficiency refers to weak-form efficient market…
In the present work we investigate the multiscale nature of the correlations for high frequency data (1 minute) in different futures markets over a period of two years, starting on the 1st of January 2003 and ending on the 31st of December…
The understanding of complex social or economic systems is an important scientific challenge. Here we present a comprehensive study of the Spanish Stock Exchange showing that most financial firms trading in that market are characterized by…
Adaptive populations such as those in financial markets and distributed control can be modeled by the Minority Game. We consider how their dynamics depends on the agents' initial preferences of strategies, when the agents use linear or…
We report on a study of the Tehran Price Index (TEPIX) from 2001 to 2006 as an emerging market that has been affected by several political crises during the recent years, and analyze the non-Gaussian probability density function (PDF) of…
In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the…
Many systems of different nature exhibit scale free behaviors. Economic systems with power law distribution in the wealth is one of the examples. To better understand the working behind the complexity, we undertook an empirical study…
The stock market has been known to form homogeneous stock groups with a higher correlation among different stocks according to common economic factors that influence individual stocks. We investigate the role of common economic factors in…
The dynamics of many socioeconomic systems is determined by the decision making process of agents. The decision process depends on agent's characteristics, such as preferences, risk aversion, behavioral biases, etc.. In addition, in some…
In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the…
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with…
In this paper we introduce a simple continuous-time asset pricing framework, based on general multi-dimensional diffusion processes, that combines semi-analytic pricing with a nonlinear specification for the market price of risk. Our…