Related papers: Multi-scale correlations in different futures mark…
We report an empirical study of the Ibovespa index of the Sao Paulo Stock Exchange in which we detect the existence of long-range correlations. To analyze our data we introduce a rescaled variant of the usual Detrended Fluctuation Analysis…
We present evidence, that if a large enough set of high resolution stock market data is analyzed, certain analogies with physics -- such as scaling and universality -- fail to capture the full complexity of such data. Despite earlier…
This topic review communicates working experiences regarding interaction of a multiplicity of processes. Our experiences come from climate change modelling, materials science, cell physiology and public health, and macroeconomic modelling.…
The multifractal structure of the temporal dependence of the Deutsche Aktienindex (DAX) is analyzed. The $q$-th order moments of the structure functions and the singular measures are calculated. The generalized Hurst exponent $H(q)$ and the…
Using a large dataset on major FX rates, we test the robustness of the rough fractional volatility model over different time scales, by including smoothing and measurement errors into the analysis. Our findings lead to new stylized facts in…
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,…
Using a two-point correlation technique, we study emergence of market efficiency in the emergent Russian futures market by focusing on lagged correlations. The correlation strength of leader-follower effects in the lagged inter-market…
Hurst Exponent has been widely used in different fields as a measure of long range dependence in time series. It has been studied in hydrology and geophysics, economics and finance, and recently, it is still a hot topic in the different…
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…
We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of…
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process, in the presence of market microstructure noise (observation error). The multiscale structure of the observed process is represented…
In this paper we analyzed dependencies in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 - 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The…
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…
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…
The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 to examine the relationship…
Cryptocurrencies fluctuate in markets with high price volatility, posing significant challenges for investors. To aid in informed decision-making, systems predicting cryptocurrency market movements have been developed, typically focusing on…
We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is…
The paper presents the comparative study of the nature of stock markets in short-term and long-term time scales with and without structural break in the stock data. Structural break point has been identified by applying Zivot and Andrews…
Several models of stock trading [P. Bak et al, Physica A {\bf 246}, 430 (1997)] are analyzed in analogy with one-dimensional, two-species reaction-diffusion-branching processes. Using heuristic and scaling arguments, we show that the…
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…