Related papers: Multifractal analysis of Chinese stock volatilitie…
Multifractal analysis has been used to diagnoze cracked and healthy rotors. Is has been shown that the complexity and regularity criteria of the dynamical systems defined by the multiple scaling of the time series can indicate the damages…
This study seeks to advance the understanding and prediction of stock market return uncertainty through the application of advanced deep learning techniques. We introduce a novel deep learning model that utilizes a Gaussian mixture…
Power-law sensitivity to initial conditions at the edge of chaos provides a natural relation between the scaling properties of the dynamics attractor and its degree of nonextensivity as prescribed in the generalized statistics recently…
The detection of community structure in stock market is of theoretical and practical significance for the study of financial dynamics and portfolio risk estimation. We here study the community structures in Chinese stock markets from the…
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.
To investigate the universal structure of interactions in financial dynamics, we analyze the cross-correlation matrix C of price returns of the Chinese stock market, in comparison with those of the American and Indian stock markets. As an…
Fractal dimensions of eigenfunctions for various critical random matrix ensembles are investigated in perturbation series in the regimes of strong and weak multifractality. In both regimes we obtain expressions similar to those of the…
This article is the term paper of the course Investments. We mainly focus on modeling long-term investment decisions of a typical utility-maximizing individual, with features of Chinese stock market in perspective. We adopt an OR based…
Market making plays a crucial role in providing liquidity and maintaining stability in financial markets, making it an essential component of well-functioning capital markets. Despite its importance, there is limited research on market…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
We have analyzed the statistical probabilities of limit-order book (LOB) shape through building the book using the ultra-high-frequency data from 23 liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the averaged LOB…
We introduce a general class of stochastic processes driven by a multifractional Brownian motion (mBm) and study the estimation problems of their pointwise H\"older exponents (PHE) based on a new localized generalized quadratic variation…
A random field composed by Poisson distributed Brownian vortex filaments is constructed. The filament have a random thickness, length and intensity, governed by a measure $\gamma$. Under appropriate assumptions on $\gamma$ we compute the…
Statistical and multiscaling characteristics of WTI Crude Oil prices expressed in US dollar in relation to the most traded currencies as well as to gold futures and to the E-mini S$\&$P500 futures prices on 5 min intra-day recordings in the…
A method for extracting the Levy stability index $\mu$ from the multi-fractal spectrum $f(\alpha)$ in high energy multiparticle production is proposed. This index is an important parameter, characterizing the non-linear behaviour of…
We investigate the probability distributions of the recurrence intervals $\tau$ between consecutive 1-min returns above a positive threshold $q>0$ or below a negative threshold $q<0$ of two indices and 20 individual stocks in China's stock…
This paper addresses the challenges faced in large-volume trading, where executing substantial orders can result in significant market impact and slippage. To mitigate these effects, this study proposes a volatility-volume-based order…
We consider two models (A and B) which can describe both two dimensional fragmentation and stochastic fractals. Model A exhibits multifractality on a unique support when describing a fragmentation process and on one of infinitely many…
The multifractal theory of turbulence uses a saddle-point evaluation in determining the power-law behaviour of structure functions. Without suitable precautions, this could lead to the presence of logarithmic corrections, thereby violating…
This paper concentrates on the time series momentum or contrarian effects in the Chinese stock market. We evaluate the performance of the time series momentum strategy applied to major stock indices in mainland China and explore the…