Related papers: Estimating correlation from high, low, opening and…
Several authors have noticed the signature of log-periodic oscillations prior to large stock market crashes [cond-mat/9509033, cond-mat/9510036, Vandewalle et al 1998]. Unfortunately good fits of the corresponding equation to stock market…
We suggest that one individual holds multiple degrees of belief about an outcome, given the evidence. We then investigate the implications of such noisy probabilities for a buyer and a seller of binary options and find the odds agreed upon…
This study presents a generalization for a method examining the correlation function of an arbitrary system with interactions in an Ising model to obtain a value of correlation between two arbitrary points on a network. The establishment of…
Electricity is traded on various markets with different time horizons and regulations. Short-term intraday trading becomes increasingly important due to the higher penetration of renewables. In Germany, the intraday electricity price…
We investigated distributions of short term price trends for high frequency stock market data. A number of trends as a function of their lengths was measured. We found that such a distribution does not fit to results following from an…
We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model was already described in the literature. We present a new approach to the problem, based on partial…
Precise estimation of cross-correlation or similarity between two random variables lies at the heart of signal detection, hyperdimensional computing, associative memories, and neural networks. Although a vast literature exists on different…
In empirical research, when we have multiple estimators for the same parameter of interest, a central question arises: how do we combine unbiased but less precise estimators with biased but more precise ones to improve the inference? Under…
A common assumption in financial engineering is that the market price for any derivative coincides with an objectively defined risk-neutral price - a plausible assumption only if traders collectively possess objective knowledge about the…
The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility and returns depending on random factors, has attracted a lot of attention. The problem of maximizing a power utility at a…
Pairwise similarities and dissimilarities between data points might be easier to obtain than fully labeled data in real-world classification problems, e.g., in privacy-aware situations. To handle such pairwise information, an empirical risk…
Using a maximum-likelihood criterion, we derive optimal correlation strategies for signals with and without digitization. We assume that the signals are drawn from zero-mean Gaussian distributions, as is expected in radio-astronomical…
We use Fourier analysis to access risk in financial products. With it we analyze price changes of e.g. stocks. Via Fourier analysis we scrutinize quantitatively whether the frequency of change is higher than a change in (conserved) company…
The aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to understand the "seasonalities" and market evolution. Using the intraday data of the CAC40, we begin by reasserting the…
We discuss a new approach to data clustering. We find that maximum likelyhood leads naturally to an Hamiltonian of Potts variables which depends on the correlation matrix and whose low temperature behavior describes the correlation…
The usage of a spot volatility estimate based on a volatility decomposition in a time-changed price-model according to the trading times is investigated. In this model clock-time volatility splits up into the product of tick-time volatility…
The leverage effect-- the correlation between an asset's return and its volatility-- has played a key role in forecasting and understanding volatility and risk. While it is a long standing consensus that leverage effects exist and improve…
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market…
Many applications collect a large number of time series, for example, the financial data of companies quoted in a stock exchange, the health care data of all patients that visit the emergency room of a hospital, or the temperature sequences…
Modeling price risks is crucial for economic decision making in energy markets. Besides the risk of a single price, the dependence structure of multiple prices is often relevant. We therefore propose a generic and easy-to-implement method…