Related papers: Note on two phase phenomena in financial markets
A methodology is developed to identify, as units of study, each decrease in the value of a stock from a given maximum price level. A critical level in the amount of price declines is found to separate a segment operating under a random walk…
We consider models of financial markets in which all parties involved find incentives to participate. Strategies are evaluated directly by their virtual wealths. By tuning the price sensitivity and market impact, a phase diagram with…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
In this paper the diffusion entropy technique is applied to investigate the scaling behavior of financial markets. The scaling behaviors of four representative stock markets, Dow Jones Industrial Average, Standard&Poor 500, Heng Seng Index,…
Firm growth process in the developing economies is known to produce divergence in their growth path giving rise to bimodality in the size distribution. Similar bimodality has been observed in wealth distribution as well. Here, we introduce…
We study properties of the cross-sectional distribution of returns. A significant anti-correlation between dispersion and cross-sectional kurtosis is found such that dispersion is high but kurtosis is low in panic times, and the opposite in…
The state of a stochastic process evolving over a time $t$ is typically assumed to lie on a normal distribution whose width scales like $t^{1/2}$. However, processes where the probability distribution is not normal and the scaling exponent…
Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the…
Increased day-trading activity and the subsequent jump in intraday volatility and trading volume fluctuations has raised considerable interest in models for financial market microstructure. We investigate the random transitions between two…
The rich-get-richer mechanism (agents increase their ``wealth'' randomly at a rate proportional to their holdings) is often invoked to explain the Pareto power-law distribution observed in many physical situations, such as the degree…
In this paper, we present the possibility of using the Ising like models to explain by Statistical Physics means the connection between the financial discontinuities (herd behavior, bubbles, crashes) and "critical points" in physical of…
Sudden transitions in the state of a system are often undesirable in natural and human-made systems. Such transitions under fast variation of system parameters are called rate-induced tipping. We experimentally demonstrate rate-induced…
Based on the new type of random walk process called the Potentials of Unbalanced Complex Kinetics (PUCK) model, we theoretically show that the price diffusion in large scales is amplified 2/(2 + b) times, where b is the coefficient of…
A model is developed in which the inflaton potential experiences a sudden small change in its second derivative (the effective mass of the inflaton). An exact treatment demonstrates that the resulting density perturbation has a quasi-flat…
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive…
A stochastic analysis of financial data is presented. In particular we investigate how the statistics of log returns change with different time delays $\tau$. The scale dependent behaviour of financial data can be divided into two regions.…
Using frequency distributions of daily closing price time series of several financial market indexes, we investigate whether the bias away from an equiprobable sequence distribution found in the data, predicted by algorithmic information…
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio depends on market characteristics, which…
We investigate possible origins of trends using a deterministic threshold model, where we refer to long-term variabilities of price changes (price movements) in financial markets as trends. From the investigation we find two phenomena. One…
Motivated by empirical observations on the interplay of trends and reversion, a lattice gas model of financial markets is presented. The shares of an asset are modeled by gas molecules that are distributed across a hidden social network of…