Related papers: Time reversal invariance in finance
The concept of time mostly plays a subordinate role in finance and economics. The assumption is that time flows continuously and that time series data should be analyzed at regular, equidistant intervals. Nonetheless, already nearly 60…
The dynamics of time-reversible systems are statistically indistinguishable when observed forward or backward in time. A rich literature of statistical methods to distinguish irreversible dynamics from the reversible dynamics of linear,…
Fluctuations of observables as functions of time, or "fluctuation patterns", are studied in a chaotic microscopically reversible system that has irreversibly reached a nonequilibrium stationary state. Supposing that during a certain, long…
Financial time series exhibit multiscale behavior, with interaction between multiple processes operating on different timescales. This paper introduces a method for separating these processes using variance and tail stationarity criteria,…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
In this paper, non-linear time series models are used to describe volatility in financial time series data. To describe volatility, two of the non-linear time series are combined into form TAR (Threshold Auto-Regressive Model) with AARCH…
We establish convergence to an invariant measure as time tends to infinity, for a large class of (possibly non-Markovian) stochastic volatility models. Our arguments are based on a novel coupling idea for Markov chains which also extends to…
Researchers have studied the first passage time of financial time series and observed that the smallest time interval needed for a stock index to move a given distance is typically shorter for negative than for positive price movements. The…
The following note proves that conditional entropy of a sequence is almost time-reversal invariant, specifically they only differ by a small constant factor dependent only upon the forward and backward models that the entropies are being…
A broken time-reversal symmetry, i.e. broken detailed balance, is central to non-equilibrium physics and is a prerequisite for life. However, it turns out to be quite challenging to unambiguously define and quantify time-reversal symmetry…
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,…
This paper proposes a novel model of financial prices where: (i) prices are discrete; (ii) prices change in continuous time; (iii) a high proportion of price changes are reversed in a fraction of a second. Our model is analytically…
Integer-valued time series exist widely in economics, finance, biology, computer science, medicine, insurance, and many other fields. In recent years, many types of models have been proposed to model integer-valued time series data, in…
Intrinsic time is an example of an event-based conception of time, used to analyze financial time series. Here, for the first time, we reveal the connection between intrinsic time and physical time. In detail, we present an analytic…
Inferring causal interactions from observed data is a challenging problem, especially in the presence of measurement noise. To alleviate the problem of spurious causality, Haufe et al. (2013) proposed to contrast measures of information…
We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of…
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…
In contrast to the symmetries of translation in space, rotation in space, and translation in time, the known laws of physics are not universally invariant under transformation of scale. However, the action can be invariant under change of…
The ARCH process (R. F. Engle, 1982) constitutes a paradigmatic generator of stochastic time series with time-dependent variance like it appears on a wide broad of systems besides economics in which ARCH was born. Although the ARCH process…
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock…