Related papers: Stock market return distributions: from past to pr…
The presence of log-periodic structures before and after stock market crashes is considered to be an imprint of an intrinsic discrete scale invariance (DSI) in this complex system. The fractal framework of the theory leaves open the…
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by…
The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account…
We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a…
The scaling properties of oil price fluctuations are described as a non-stationary stochastic process realized by a time series of finite length. An original model is used to extract the scaling exponent of the fluctuation functions within…
In this paper we have analyzed scaling properties of time series of stock market indices (SMIs) of developing economies of Western Balkans, and have compared the results we have obtained with the results from more developed economies. We…
At high levels, the asymptotic distribution of a stationary, regularly varying Markov chain is conveniently given by its tail process. The latter takes the form of a geometric random walk, the increment distribution depending on the sign of…
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using…
An empirical study of joint bivariate probability distribution of two consecutive price increments for a set of stocks at time scales ranging from one minute to thirty minutes reveals asymmetric structures with respect to the axes y=0, y=x,…
We discuss several models in order to shed light on the origin of power-law distributions and power-law correlations in financial time series. From an empirical point of view, the exponents describing the tails of the price increments…
We analyze historic S&P500 multi-day returns: from daily returns to those accumulated over up to ten days. Despite symmetry breaking between gains and losses in the distribution of returns, resulting in its positive mean and negative skew,…
We respond to the issues discussed by Farmer and Lillo (FL) related to our proposed approach to understanding the origin of power-law distributions in stock price fluctuations. First, we extend our previous analysis to 1000 US stocks and…
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…
We propose coalescent mechanism of economic grow because of redistribution of external resources. It leads to Zipf distribution of firms over their sizes, turning to stretched exponent because of size-dependent effects, and predicts…
To ensure reliable operation of power grids, their frequency shall stay within strict bounds. Multiple sources of disturbances cause fluctuations of the grid frequency, ranging from changing demand over volatile feed-in to energy trading.…
Stock markets can become inefficient due to calendar anomalies known as day-of-the-week effect. Calendar anomalies are well-known in financial literature, but the phenomena remain to be explored in econophysics. In this paper we use…
Firms having similar business activities are correlated. We analyze two different cross-correlation matrices C constructed from (i) 30-min price fluctuations of 1000 US stocks for the 2-year period 1994-95 and (ii) 1-day price fluctuations…
We study historical dynamics of joint equilibrium distribution of stock returns in the U.S. stock market using the Boltzmann distribution model being parametrized by external fields and pairwise couplings. Within Boltzmann learning…
Permutation approach is suggested as a method to investigate financial time series in micro scales. The method is used to see how high frequency trading in recent years has affected the micro patterns which may be seen in financial time…
This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35…