Related papers: Universality in the stock exchange
We find a remarkable time persistence of various proxies for the kurtosis (p-kurtosis) of the intraday returns distribution for the S&P500 index and this permits a significant measure of their evolution from 1983 to 2004. There appears a…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
There may be structural principles pertaining to the general behavior of systems that lead to similarities in a variety of different contexts. Classic examples include the descriptive power of fractals, the importance of surface area to…
We discuss a non-equilibrium statistical system on a graph or network. Identical particles are injected, interact with each other, traverse, and leave the graph in a stochastic manner described in terms of Poisson rates, possibly dependent…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…
In the Cont-Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations. Rather than fixing the concentration controlling each…
In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the…
We study the distribution of particle number in extended subsystems of a one-dimensional non-interacting Fermi gas confined in a potential well at zero temperature. Universal features are identified in the scaled bulk and edge regions of…
In this paper, we quantitatively investigate the properties of a statistical ensemble of stock prices. We focus attention on the relative price defined as $ X(t) = S(t)/S(0) $, where $ S(0) $ is the initial price. We selected approximately…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
We apply two non-parametric methods to test further the hypothesis that log-periodicity characterizes the detrended price trajectory of large financial indices prior to financial crashes or strong corrections. The analysis using the…
We show power-scaling behaviors for fluctuations in share volume, which no other studies have so far done. After analyzing a database of the daily transactions for all securities listed on the Tokyo Stock Exchange, we selected 1050 large…
A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…
Using intraday data for the cross-section of individual stocks, we show that both transitory and persistent fluctuations in realized market and average idiosyncratic volatility, skewness and kurtosis are differentially priced in the…
Through a novel approach, this paper shows that substantial change in stock market behavior has a statistically and economically significant impact on equity risk premium predictability both on in-sample and out-of-sample cases. In line…
The concept of multifractality offers a powerful formal tool to filter out multitude of the most relevant characteristics of complex time series. The related studies thus far presented in the scientific literature typically limit themselves…
The state price density of a basket, even under uncorrelated Black-Scholes dynamics, does not allow for a closed from density. (This may be rephrased as statement on the sum of lognormals and is especially annoying for such are used most…
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…
More than one billion data sampled with different frequencies from several financial instruments were investigated with the aim of testing whether they involve power law. As a result, a known power law with the power exponent around -4 was…