Related papers: Time reversal invariance in finance
We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between…
It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American…
In one-dimensional random walks, the waiting time for each direction transitions is the same, even in the presence of bias, as a consequence of the microscopic-reversibility. We study the symmetry breaking of forward/ backward transition…
We introduce a continuous time-reversal operation which connects the time-forward and time-reversed trajectories in the steady state of an irreversible Markovian dynamics via a continuous family of stochastic dynamics. This continuous…
We discuss the origin of multiscaling in financial time-series and investigate how to best quantify it. Our methodology consists in separating the different sources of measured multifractality by analysing the multi/uni-scaling behaviour of…
In multivariate time series, the estimation of the covariance matrix of the observation innovations plays an important role in forecasting as it enables the computation of the standardized forecast error vectors as well as it enables the…
We show that univariate and symmetric multivariate Hawkes processes are only weakly causal: the true log-likelihoods of real and reversed event time vectors are almost equal, thus parameter estimation via maximum likelihood only weakly…
It is demonstrated how to generate time series with tailored nonlinearities by inducing well- defined constraints on the Fourier phases. Correlations between the phase information of adjacent phases and (static and dynamic) measures of…
Using high frequency data, we have studied empirically the change of volatility, also called volatility derivative, for various time horizons. In particular, the correlation between the volatility derivative and the volatility realized in…
The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise…
Irreversibility is a fundamental concept with important implications at many levels. It pinpoints the fundamental difference between the intrinsically reversible microscopic equations of motion and the unidirectional arrow of time that…
We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by…
The concept of time series irreversibility -- the degree by which the statistics of signals are not invariant under time reversal -- naturally appears in non-equilibrium physics in stationary systems which operate away from equilibrium and…
The multifractal behavior for tick data of prices is investigated in Korean financial market. Using the rescaled range analysis(R/S analysis), we show the multifractal nature of returns for the won-dollar exchange rate and the KOSPI. We…
It is well known that unitary symmetries can be `gauged', i.e. defined to act in a local way, which leads to a corresponding gauge field. Gauging, for example, the charge conservation symmetry leads to electromagnetic gauge fields. It is an…
Trading styles can be classified into either trend-following or mean-reverting. If the net trading style is trend-following the traded asset is more likely to move in the same direction it moved previously (the opposite is true if the net…
We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today's volatility can be expressed as a general quadratic form of the past daily…
In the econometrics of financial time series, it is customary to take some parametric model for the data, and then estimate the parameters from historical data. This approach suffers from several problems. Firstly, how is estimation error…
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…
On a probability space $(\Omega,\mathcal{A},\mathbb{Q})$ we consider two filtrations $\mathbb{F}\subset \mathbb{G}$ and a $\mathbb{G}$ stopping time $\theta$ such that the $\mathbb{G}$ predictable processes coincide with $\mathbb{F}$…