Related papers: Multifractal analysis of Chinese stock volatilitie…
We study the statistical properties of the recurrence intervals $\tau$ between successive trading volumes exceeding a certain threshold $q$. The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period…
Publicly traded companies are fundamental units of contemporary economies and markets and are important mechanisms through which humans interact with their environments. Understanding the general properties that underlie the processes of…
The total value of domestic market capitalization of the Mexican Stock Exchange was calculated at 520 billion of dollars by the end of November 2013. To manage this system and make optimum capital investments, its dynamics needs to be…
Under the formalism of annealed averaging of the partition function, a type of random multifractal measures with their multipliers satisfying exponentially distributed is investigated in detail. Branching emerges in the curve of generalized…
We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters $p$ and $q$, and…
While quantum multifractality has been widely studied in the physics literature and is by now well understood from the point of view of physics, there is little work on this subject in the mathematical literature. I will report on a proof…
In this paper, we determine the almost sure multifractal spectrum of a class of random functions constructed as sums of pulses with random dilations and translations. In addition, the continuity modulii of these functions is investigated.
We generalize the recently proposed quantum model for the stock market by Zhang and Huang to make it consistent with the discrete nature of the stock price. In this formalism, the price of the stock and its trend satisfy the generalized…
Multiplicative cascades have been introduced in turbulence to generate random or deterministic fields having intermittent values and long-range power-law correlations. Generally this is done using discrete construction rules leading to…
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…
This paper is an attempt at understanding the quantum-like dynamics of financial markets in terms of non-differentiable price-time continuum having fractal properties. The main steps of this development are the statistical scaling, the…
Based on the commentary data of the Shenzhen Stock Index bar on the EastMoney website from January 1, 2018 to December 31, 2019. This paper extracts the embedded investor sentiment by using a deep learning BERT model and investigates the…
We define a large class of continuous time multifractal random measures and processes with arbitrary log-infinitely divisible exact or asymptotic scaling law. These processes generalize within a unified framework both the recently defined…
A new concept, called balanced estimator of diffusion entropy, is proposed to detect scalings in short time series. The effectiveness of the method is verified by means of a large number of artificial fractional Brownian motions. It is used…
Understanding the structure of financial markets deals with suitably determining the functional relation between financial variables. In this respect, important variables are the trading activity, defined here as the number of trades $N$,…
The probability density function of velocity fluctuations of {\em glanulence} observed by Radjai and Roux in their two-dimensional simulation of a slow granular flow under homogeneous quasistatic shearing is studied by the multifractal…
We investigate the general problem of how to model the kinematics of stock prices without considering the dynamical causes of motion. We propose a stochastic process with long-range correlated absolute returns. We find that the model is…
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…
This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily…
We present a comprehensive study of the destruction of quantum multifractality in the presence of perturbations. We study diverse representative models displaying multifractality, including a pseudointegrable system, the Anderson model and…