Related papers: Multifractal analysis of Chinese stock volatilitie…
Traffic networks have been proved to be fractal systems. However, previous studies mainly focused on monofractal networks, while complex systems are of multifractal structure. This paper is devoted to exploring the general regularities of…
The imbalance of buying and selling functions profoundly in the formation of market trends, however, a fine-granularity investigation of the imbalance is still missing. This paper investigates a unique transaction dataset that enables us to…
The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole…
The so-called partition function is a sample moment statistic based on blocks of data and it is often used in the context of multifractal processes. It will be shown that its behaviour is strongly influenced by the tail of the distribution…
It is believed by the majority today that the efficient market hypothesis is imperfect because of market irrationality. Using the physical concepts and mathematical structures of quantum mechanics, we construct an econophysics framework for…
Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking…
The analysis of the linearization effect in multifractal analysis, and hence of the estimation of moments for multifractal processes, is revisited borrowing concepts from the statistical physics of disordered systems, notably from the…
In this pre-print we explore the multi-fractal properties of 1 minute traded volume of the equities which compose the Dow Jones 30. We also evaluate the weights of linear and non-linear dependences in the multi-fractal structure of the…
Multifractal scaling has been extensively studied for real-valued stochastic processes, but a systematic integer-valued analogue has remained largely unexplored. In this work, we introduce a multifractal framework for integer-valued…
The price of financial assets are, since Bachelier, considered to be described by a (discrete or continuous) time sequence of random variables, i.e a stochastic process. Sharp scaling exponents or unifractal behavior of such processes has…
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…
We investigate the probability distribution of the return intervals $\tau$ between successive 1-min volatilities of two Chinese indices exceeding a certain threshold $q$. The Kolmogorov-Smirnov (KS) tests show that the two indices exhibit…
Many financial variables are found to exhibit multifractal nature, which is usually attributed to the influence of temporal correlations and fat-tailedness in the probability distribution (PDF). Based on the partition function approach of…
We study the daily trading volume volatility of 17,197 stocks in the U.S. stock markets during the period 1989--2008 and analyze the time return intervals $\tau$ between volume volatilities above a given threshold q. For different…
Within framework of the quantum calculus, we represent the partition function and the mass exponent of a multifractal, as well as the average of random variables distributed over self-similar set, on the basis of the deformed expansion in…
We consider the hierarchic tree Random Energy Model with continuous branching and calculate the moments of the corresponding partition function. We establish the multifractal properties of those moments. We derive formulas for the normal…
The diagonal effect of orders is well documented in different markets, which states that orders are more likely to be followed by orders of the same aggressiveness and implies the presence of short-term correlations in order flows. Based on…
We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble returns and varieties defined respectively as the mean and the standard deviation of the ensemble daily price returns of…
Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariate joint probability density functions that accounts for the…
We present a comparative analysis of multifractal properties of financial time series built on stock indices from developing (WIG) and developed (S&P500) financial markets. It is shown how the multifractal image of the market is altered…