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We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large time scales (15 minutes) large price fluctuations are…
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…
We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets belonging to Daubechies basis. The fact…
Stock price prediction is of significant importance in quantitative investment. Existing approaches encounter two primary issues: First, they often overlook the crucial role of capturing short-term stock fluctuations for predicting…
One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a…
The detrending moving average (DMA) algorithm is a widely used technique to quantify the long-term correlations of non-stationary time series and the long-range correlations of fractal surfaces, which contains a parameter $\theta$…
Many fluctuating systems consist of macroscopic structures in addition to noisy signals. Thus, for this class of fluctuating systems, the scaling behaviors are very complicated. Such phenomena are quite commonly observed in Nature, ranging…
It has been long that literature in financial academics focuses mainly on price and return but much less on trading volume. In the past twenty years, it has already linked both price and trading volume to economic fundamentals, and explored…
The large integration of variable energy resources is expected to shift a large part of the energy exchanges closer to real-time, where more accurate forecasts are available. In this context, the short-term electricity markets and in…
We analyze empirical data from the internet auction site Aukro.cz. The time series of activity shows truncated fractal structure on scales from about 1 minute to about 1 day. The distribution of waiting times as well as the distribution of…
We investigate the two components of the total daily return (close-to-close), the overnight return (close-to-open) and the daytime return (open-to-close), as well as the corresponding volatilities of the 2215 NYSE stocks from 1988 to 2007.…
Fluctuation scaling has been observed universally in a wide variety of phenomena. In time series that describe sequences of events, fluctuation scaling is expressed as power function relationships between the mean and variance of either…
Detrended fluctuation analysis (DFA) is a simple but very efficient method for investigating the power-law long-term correlations of non-stationary time series, in which a detrending step is necessary to obtain the local fluctuations at…
Correlations in complex systems are often obscured by nonstationarity, long-range memory, and heavy-tailed fluctuations, which limit the usefulness of traditional covariance-based analyses. To address these challenges, we construct scale…
Trading volume movement prediction is the key in a variety of financial applications. Despite its importance, there is few research on this topic because of its requirement for comprehensive understanding of information from different…
Based on the minute-by-minute data of the Hang Seng Index in Hong Kong and the analysis of probability distribution and autocorrelations, we find that the index fluctuations for the first few minutes of daily opening show behaviors very…
Lead-lag relationships, integral to market dynamics, offer valuable insights into the trading behavior of high-frequency traders (HFTs) and the flow of information at a granular level. This paper investigates the lead-lag relationships…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…
This paper proposes and motivates a dynamical model of the Chinese stock market based on a linear regression in a dual state space connected to the original state space of correlations between the volume-at-price buckets by a Fourier…
Multifractal Detrended Fluctuation Analysis stands out as one of the most reliable methods for unveiling multifractal properties, specially when real-world time series are under analysis. However, little is known about how several aspects,…