Related papers: Activity spectrum from waiting-time distribution
The art of systematic financial trading evolved with an array of approaches, ranging from simple strategies to complex algorithms all relying, primary, on aspects of time-series analysis. Recently, after visiting the trading floor of a…
Statistical static timing analysis deals with the increasing variations in manufacturing processes to reduce the pessimism in the worst case timing analysis. Because of the correlation between delays of circuit components, timing model…
We consider a few quantities that characterize trading on a stock market in a fixed time interval: logarithmic returns, volatility, trading activity (i.e., the number of transactions), and volume traded. We search for the power-law…
It is shown that the asymptotic spectra of finite-time Lyapunov exponents of a variety of fully chaotic dynamical systems can be understood in terms of a statistical analysis. Using random matrix theory we derive numerical and in particular…
We present a detailed study of the performance of a trading rule that uses moving average of past returns to predict future returns on stock indexes. Our main goal is to link performance and the stochastic process of the traded asset. Our…
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…
The switch process alternates independently between 1 and -1, with the first switch to 1 occurring at the origin. The expected value function of this process is defined uniquely by the distribution of switching times. The relation between…
We provide a natural learning process in which a financial trader without a risk receives a gain in case when Stock Market is inefficient. In this process, the trader rationally choose his gambles using a prediction made by a randomized…
We study the problem of forecasting and optimally trading day-ahead versus real-time (DART) price spreads in U.S. wholesale electricity markets. Building on the framework of Galarneau-Vincent et al., we extend spike prediction from a single…
The statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is…
Markets efficiency implies that the stock returns are intrinsically unpredictable, a property that makes markets comparable to random number generators. We present a novel methodology to investigate ultra-high frequency financial data and…
In this paper, the asymptotics of the spectral data (eigenvalues and weight numbers) are obtained for the higher-order differential operators with distribution coefficients and separated boundary conditions. Additionally, we consider the…
We study the volatility functional inference by Fourier transforms. This spectral framework is advantageous in that it harnesses the power of harmonic analysis to handle missing data and asynchronous observations without any artificial time…
The cross spectrum encodes the correlated variability between two time signals. In recent years, the cross spectrum has been used to study astronomical sources, particularly in the field of X-ray timing. In the literature, it has been…
As multi-agent networks grow in size and scale, they become increasingly difficult to synchronize, though agents must work together even when generating and sharing different information at different times. Targeting such cases, this paper…
The term interlacing refers to systematic inequalities between the sequences of eigenvalues of two operators defined on objects related by a specific oper- ation. In particular, knowledge of the spectrum of one of the objects then implies…
The high-frequency cross-correlation existing between pairs of stocks traded in a financial market are investigated in a set of 100 stocks traded in US equity markets. A hierarchical organization of the investigated stocks is obtained by…
In this research the technology of complex Markov chains is applied to predict financial time series. The main distinction of complex or high-order Markov Chains and simple first-order ones is the existing of aftereffect or memory. The…
We analyze a tractable model of a limit order book on short time scales, where the dynamics are driven by stochastic fluctuations between supply and demand. We establish the existence of a limiting distribution for the highest bid, and for…
We investigate spectral properties of quantum graphs in the form of a periodic chain of rings with a connecting link between each adjacent pair, assuming that wave functions at the vertices are matched through conditions manifestly…