Related papers: Activity spectrum from waiting-time distribution
We review the exact results for microscopic Dirac operator spectra based on either Random Matrix Theory, or, equivalently, chiral Lagrangians. Implications for lattice calculations are discussed.
Stochastic point processes relevant to the theory of long-range aperiodic order are considered that display diffraction spectra of mixed type, with special emphasis on explicitly computable cases together with a unified approach of…
The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as…
Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the interevent statistics observed in these contexts differs from the…
This study examine the theoretical and empirical perspectives of the symmetric Hawkes model of the price tick structure. Combined with the maximum likelihood estimation, the model provides a proper method of volatility estimation…
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high frequency trading, by embedding a robust trading algorithm that describe portfolio manager market timing behavior, in a canonical…
Correlation matrices inferred from stock return time series contain information on the behaviour of the market, especially on clusters of highly correlating stocks. Here we study a subset of New York Stock Exchange (NYSE) traded stocks and…
We address the challenges of modeling high-frequency integer price changes in financial markets using continuous distributions, particularly the Student's t-distribution. We demonstrate that traditional GARCH models, which rely on…
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…
We observe returns of a simple random walk on a finite graph to a fixed node, and would like to infer properties of the graph, in particular properties of the spectrum of the transition matrix. This is not possible in general, but at least…
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…
The Hawkes model is suitable for describing self and mutually exciting random events. In addition, the exponential decay in the Hawkes process allows us to calculate the moment properties in the model. However, due to the complexity of the…
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…
This paper provides a holistic study of how stock prices vary in their response to financial disclosures across different topics. Thereby, we specifically shed light into the extensive amount of filings for which no a priori categorization…
Nowadays, with the availability of massive amount of trade data collected, the dynamics of the financial markets pose both a challenge and an opportunity for high frequency traders. In order to take advantage of the rapid, subtle movement…
Financial markets change their behaviours abruptly. The mean, variance and correlation patterns of stocks can vary dramatically, triggered by fundamental changes in macroeconomic variables, policies or regulations. A trader needs to adapt…
The most general exclusion single species reaction-diffusion models with nearest-neighbor interactions one a one dimensional lattice are investigated, for which the evolution of full intervals are closed. Using a generating function method,…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…
The subject of time-band-limiting, originating in signal processing, is dominated by the miracle that a naturally appearing integral operator admits a commuting differential one allowing for a numerically efficient way to compute its…