Related papers: Multifractal analysis of Chinese stock volatilitie…
This article applies natural language processing (NLP) to extract and quantify textual information to predict stock performance. Using an extensive dataset of Chinese analyst reports and employing a customized BERT deep learning model for…
In this paper, we study the dynamics of absolute return, trading volume and bid-ask spread after the trading halts using high-frequency data from the Shanghai Stock Exchange. We deal with all three types of trading halts, namely intraday…
The critical dynamics of conformal field theories on random surfaces is investigated beyond the previously studied dynamics of the overall area and the genus. It is found that the evolution of the order parameter in physical time performs a…
The dynamics of prices in financial markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, a complete stochastic characterization of volatility is still lacking. What it is well…
Multifractals arise in various systems across nature whose scaling behavior is characterized by a continuous spectrum of multifractal exponents $\Delta_q$. In the context of Anderson transitions, the multifractality of critical wave…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
There is more and more empirical evidence that multifractality constitutes another and perhaps the most significant financial stylized fact. A realistic model of the financial dynamics should therefore incorporate this effect. The most…
Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…
In this paper we study BSE Index financial time series for fractal and multifractal behaviour. We show that Bombay stock Exchange (BSE)Index time series is mono-fractal and can be represented by a fractional Brownian motion.
This paper presents a sophisticated multi-day turnover quantitative trading algorithm that integrates advanced deep learning techniques with comprehensive cross-sectional stock prediction for the Chinese A-share market. Our framework…
A multifractal analysis to study the multiparticle dynamics in 60A and 200A GeV/c 16O-AgBr collisions has been performed in the pseudorapidity phase space. Multifractal moments Gq as the function of pseudorapidity bin size for different…
We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a…
Market liquidity plays a vital role in the field of market micro-structure, because it is the vigor of the financial market. This paper uses a variable called convexity to measure the potential liquidity provided by order-book. Based on the…
Data series generated by complex systems exhibit fluctuations on many time scales and/or broad distributions of the values. In both equilibrium and non-equilibrium situations, the natural fluctuations are often found to follow a scaling…
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…
The distribution function of local amplitudes of eigenstates of a two-dimensional disordered metal is calculated. Although the distribution of comparatively small amplitudes is governed by laws similar to those known from the random matrix…
Many popular random partition models, such as the Chinese restaurant process and its two-parameter extension, fall in the class of exchangeable random partitions, and have found wide applicability in model-based clustering, population…
In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many well-known aspects, such as the L\'evy scaling form, follow as particular cases of the theory. The theory fully takes into…
Recent works have shown that social media platforms are able to influence the trends of stock price movements. However, existing works have majorly focused on the U.S. stock market and lacked attention to certain emerging countries such as…
This paper is devoted to problem of detecting critical events at finiacial markets using methods of multifractal analysis. Namely, the local regularity of time-series is studied. As a result, one can find out a special behavior or signal of…