Related papers: Multifractality in stock indexes: Fact or fiction?
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
The high-frequency cross-correlation existing between pairs of stocks traded in a financial market are investigated in a set of 100 stocks traded in US equity markets. A hierarchical organization of the investigated stocks is obtained by…
Based on the mathematical arguments formulated within the Multifractal Detrended Fluctuation Analysis (MFDFA) approach it is shown that in the uncorrelated time series from the Gaussian basin of attraction the effects resembling…
In order to pursue the issue of the relation between the financial cross-correlations and the conventional Random Matrix Theory we analyse several characteristics of the stock market correlation matrices like the distribution of…
Based on the Multifractal Detrended Fluctuation Analysis (MFDFA) and on the Wavelet Transform Modulus Maxima (WTMM) methods we investigate the origin of multifractality in the time series. Series fluctuating according to a qGaussian…
An empirical algorithm is used here to study the stochastic and multifractal nature of nonlinear time series. A parameter can be defined to quantitatively measure the deviation of the time series from a Wiener process so that the…
In this paper, we provide a simple, ``generic'' interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as observed…
Financial markets worldwide do not have the same working hours. As a consequence, the study of correlation or causality between financial market indices becomes dependent on wether we should consider in computations of correlation matrices…
We analyze the sequence of time intervals between consecutive stock trades of thirty companies representing eight sectors of the U. S. economy over a period of four years. For all companies we find that: (i) the probability density function…
We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets belonging to Daubechies basis. The fact…
We perform a scaling analysis on NYSE daily returns. We show that volatility correlations are power-laws on a time range from one day to one year and, more important, that they exhibit a multiscale behaviour.
Financial markets are well known examples of multi-fractal complex systems that have garnered much interest in their characterization through complex network theory. The recent studies have used correlation based distance metrics for…
In this report, we talked about a new quantitative strategy for choosing the optimal(s) stock(s) to trade. The basic notions are generally very known by the financial community. The key here is to understand 1) the standard score applied to…
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 achieve the multifractal analysis of a class of complex valued statistically self-similar continuous functions. For we use multifractal formalisms associated with pointwise oscillation exponents of all orders. Our study exhibits new…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
The earth's ionosphere is well recognized as a dynamical system and non-linearly coupled with the magnetosphere above and natural atmosphere below.The shape and time variability of the ionosphere indeed shows chaos, pattern formation,…
The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i)…
We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters $p$ and $q$, and…
We perform return interval analysis of 1-min {\em{realized volatility}} defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent stocks of SSEC. The scaling…