Related papers: Detrended fluctuation analysis of intertrade durat…
We study the dynamic evolution of cross-correlations in the Chinese stock market mainly based on the random matrix theory (RMT). The correlation matrices constructed from the return series of 367 A-share stocks traded on the Shanghai Stock…
We investigate how large deviations events cluster in the framework of an infinite moving average process with light-tailed noise and long memory. The long memory makes clusters larger, and the asymptotic behaviour of the size of the…
We develop a novel observation-driven model for high-frequency prices. We account for irregularly spaced observations, simultaneous transactions, discreteness of prices, and market microstructure noise. The relation between trade durations…
Mixed order transitions are those which show a discontinuity of the order parameter as well as a divergent correlation length. We show that the behaviour of the order parameter correlation function along the transition line of mixed order…
While entropy changes are the usual subject of fluctuation theorems, we seek fluctuation relations involving time-symmetric quantities, namely observables that do not change sign if the trajectories are observed backward in time. We find…
We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between…
Cross-sectional signatures of market panic were recently discussed on daily time scales in [1], extended here to a study of cross-sectional properties of stocks on intra-day time scales. We confirm specific intra-day patterns of dispersion…
A novel application of the correlation matrix formalism to study dynamics of the financial evolution is presented. This formalism allows to quantify the memory effects as well as some potential repeatable intradaily structures in the…
We study the return interval $\tau$ between price volatilities that are above a certain threshold $q$ for 31 intraday datasets, including the Standard & Poor's 500 index and the 30 stocks that form the Dow Jones Industrial index. For…
By studying the statistics of recurrence intervals, $\tau$, between volatilities of Internet traffic rate changes exceeding a certain threshold $q$, we find that the probability distribution functions, $P_{q}(\tau)$, for both byte and…
The multifractal behavior for tick data of prices is investigated in Korean financial market. Using the rescaled range analysis(R/S analysis), we show the multifractal nature of returns for the won-dollar exchange rate and the KOSPI. We…
This paper systematically conducts an analysis of the composite index 1-min datasets over the 17-year period (2005-2021) for both the Shanghai and Shenzhen stock exchanges. To reveal the difference between the Chinese and the mature stock…
In this paper we demonstrate a striking regularity in the way people place limit orders in financial markets, using a data set consisting of roughly seven million orders from the London Stock Exchange. We define the relative limit price as…
Detrended fluctuation analysis is used to investigate power law relationship between the monthly averages of the maximum daily temperatures for different locations in the western US. On the map created by the power law exponents, we can…
We conduct modeling of the price dynamics following order flow imbalance in market microstructure and apply the model to the analysis of Chinese CSI 300 Index Futures. There are three findings. The first is that the order flow imbalance is…
The total value of domestic market capitalization of the Mexican Stock Exchange was calculated at 520 billion of dollars by the end of November 2013. To manage this system and make optimum capital investments, its dynamics needs to be…
This paper models stochastic process of price time series of CSI 300 index in Chinese financial market, analyzes volatility characteristics of intraday high-frequency price data. In the new generalized Barndorff-Nielsen and Shephard model,…
The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise…
The multifractal detrended fluctuation analysis of time series is able to reveal the presence of long-range correlations and, at the same time, to characterize the self-similarity of the series. The rich information derivable from the…
We analyze the waiting time distribution of time distances $\tau$ between two nearest-neighbor flares. This analysis is based on the joint use of two distinct techniques. The first is the direct evaluation of the distribution function…