Related papers: Universality in the stock exchange
While the use of volatilities is pervasive throughout finance, our ability to determine the instantaneous volatility of stocks is nascent. Here, we present a method for measuring the temporal behavior of stocks, and show that stock prices…
The aim of this study is to investigate quantitatively whether share prices deviated from company fundamentals in the stock market crash of 2008. For this purpose, we use a large database containing the balance sheets and share prices of…
We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and…
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…
We consider a Hamiltonian $ H = H_0+ V $, in which $ H_0$ is a given non-random Hermitian matrix,and $V$ is an $N \times N$ Hermitian random matrix with a Gaussian probability distribution.We had shown before that Dyson's universality of…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…
In this paper we implement a combination of data-science and fuzzy theory to improve the classical Barndorff-Nielsen and Shephard model, and implement this to analyze the S&P 500 index. We pre-process the index data based on fuzzy theory.…
A new method, based on the original theory of conservation of sum of kinetic and potential energy defined for prices is proposed and applied on Dow Jones Industrials Average (DJIA). The general trends averaged over months or years gave a…
We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…
We describe the statistical properties of two large river systems: the Danube and the Mississippi. The properties of the two rivers are compared qualitatively to the general properties of a critical steady state system. Specifically, we…
Several problems arising in Economics and Finance are analyzed using concepts and quantitative methods from Physics. Here is the abridged abstact: Chapter 1: By analogy with energy, the equilibrium probability distribution of money must…
We study the price dynamics of stocks traded in the NASDAQ market by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of our database, we study the ensemble return distribution by…
We study the average price impact of a single trade executed in the NYSE. After appropriate averaging and rescaling, the data for the 1000 most highly capitalized stocks collapse onto a single function, giving average price shift as a…
Given financial data from popular sites like Yahoo and the London Exchange, the presented paper attempts to model and predict stocks that can be considered "good investments". Stocks are characterized by 125 features ranging from gross…
Over the past two decades, some scholars have noticed the correlation between quantum mechanics and finance/economy, making some novel attempts to introduce the theoretical framework of quantum mechanics into financial and economic…
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock…
Black hole entropy appears to be ``universal''--many independent calculations, involving models with very different microscopic degrees of freedom, all yield the same density of states. I discuss the proposal that this universality comes…
We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble returns and varieties defined respectively as the mean and the standard deviation of the ensemble daily price returns of…
A surprising image of the stock market arises if the price time series of all Dow Jones Industrial Average stock components are represented in one chart at once. The chart evolves into a braid representation of the stock market by taking…
We propose a flexible stochastic framework for modeling the market share dynamics over time in a multiple markets setting, where firms interact within and between markets. Firms undergo stochastic idiosyncratic shocks, which contract their…