Related papers: Quantitative law describing market dynamics before…
We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a…
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…
There is bountiful evidence that political uncertainty stemming from presidential elections or doubt about the direction of future policy make financial markets significantly volatile, especially in proximity to close elections or elections…
We report an empirical determination of the probability density functions P(r) of the number r of earthquakes in finite space-time windows for the California catalog, over fixed spatial boxes 5 x 5 km^2 and time intervals dt =1, 10, 100 and…
This paper contains a phenomenological description of the whole U.S. forward rate curve (FRC), based on an data in the period 1990-1996. We find that the average FRC (measured from the spot rate) grows as the square-root of the maturity,…
In this work, we aim to reconcile several apparently contradictory observations in market microstructure: is the famous "square-root law" of metaorder impact, which decays with time, compatible with the random-walk nature of prices and the…
This paper introduces a non-parametric framework to statistically examine how news events, such as company or macroeconomic announcements, contribute to the pre- and post-event jump dynamics of stock prices under the intraday seasonality of…
Here we focus on a basic statistical measure of earthquake catalogs that has not been studied before, the asymmetry of interevent time series (e.g., reflecting the tendency to have more aftershocks than spontaneous earthquakes). We define…
This paper introduces a novel multi-moment connectedness network approach for analyzing the interconnectedness of green financial market. Focusing on the impact of monetary policy shocks, our study reveals that connectedness within the…
One important effect of price shocks in the United States has been increased political attention paid to the structure and performance of oil and natural gas markets, along with some governmental support for energy conservation. This paper…
This paper is devoted to the theory of aftershocks. The history of discovery of the Omori law is briefly described, the initial formulation of the law is given in the form of an algebraic formula describing the decrease in the frequency of…
We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times…
News media coverage of monetary policy is not a passive transcript of central-bank communication: it filters announcements, macroeconomic news, and editorial choices into narratives that move expectations and policy decisions. We embed…
Specialized topics on financial data analysis from a numerical and physical point of view are discussed. They pertain to the analysis of crash prediction in stock market indices and to the persistence or not of coherent and random sequences…
The deactivation coefficient has been introduced for the source that cools down after the mainshock of the earthquake. The deactivation coefficient satisfies two conditions. First, it can be computed from observed aftershock frequency data…
Observations indicate that the distributions of stock returns in financial markets usually do not conform to normal distributions, but rather exhibit characteristics of high peaks, fat tails and biases. In this work, we assume that the…
In a financial exchange, market impact is a measure of the price change of an asset following a transaction. This is an important element of market microstructure, which determines the behaviour of the market following a trade. In this…
We study the statistical properties of volatility---a measure of how much the market is likely to fluctuate. We estimate the volatility by the local average of the absolute price changes. We analyze (a) the S&P 500 stock index for the…
This paper investigates the impact of monetary policy surprises on U.S. Treasury bond yields and the implications for portfolio managers. Based on the supply and demand model, traditional economic theories suggest that Federal Reserve bond…
We present a simple model of earthquakes on a pre-existing hierarchical fault network. The system self-organizes on long time scales in a stationary state with a power law Gutenberg-Richter distribution of earthquake sizes. The largest…