Related papers: Statistical Properties of Fluctuations: A Method t…
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…
The daily volume of transaction on the New York Stock Exchange and its day-to-day fluctuations are analysed with respect to power-law tails as well long-term trends. We also model the transition to a Gaussian distribution for longer time…
Complex systems comprise a large number of interacting elements, whose dynamics is not always a priori known. In these cases -- in order to uncover their key features -- we have to turn to empirical methods, one of which was recently…
We empirically analyze the scaling properties of daily Foreign Exchange rates, Stock Market indices and Bond futures across different financial markets. We study the scaling behaviour of the time series by using a generalized Hurst exponent…
A simple quantum model explains the Levy-unstable distributions for individual stock returns observed by ref.[1]. The probability density function of the returns is written as the squared modulus of an amplitude. For short time intervals…
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using…
The statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is…
By analyzing the movements of quiet standing persons by means of wavelet statistics, we observe multiple scaling regions in the underlying body dynamics. The use of the wavelet-variance function opens the possibility to relate scaling…
Fluctuation theorems show how coarse graining transforms microscopic symmetry into observable irreversibility. Here we ask whether an analogous symmetrybased diagnostic can be constructed for financial markets. At the microscopic level,…
We propose a new method to analyze fluctuations in the strength function phenomena in highly excited nuclei. Extending the method of multifractal analysis to the cases where the strength fluctuations do not obey power scaling laws, we…
In this paper, we contribute to the literature on energy market co-movement by studying its dynamics in the time-frequency domain. The novelty of our approach lies in the application of wavelet tools to commodity market data. A major part…
This paper, for the first time, focuses on the sector-wise analysis of a stock market through multifractal analysis. We have considered Bombay Stock Exchange, India, and identified two time scales, short ($<200$ days) and long time-scale…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading,…
The non-stationary dynamics of a bouncing ball, comprising of both periodic as well as chaotic behavior, is studied through wavelet transform. The multi-scale characterization of the time series displays clear signature of self-similarity,…
Using 1-min returns of Bitcoin prices, we investigate statistical properties and multifractality of a Bitcoin time series. We find that the 1-min return distribution is fat-tailed, and kurtosis largely deviates from the Gaussian…
This paper contributes to the literature on international stock market comovements and contagion. The novelty of our approach lies in application of wavelet tools to high-frequency financial market data, which allows us to understand the…
We perform an extensive empirical analysis of scaling properties of equity returns, suggesting that financial data show time varying multifractal properties. This is obtained by comparing empirical observations of the weighted generalised…
Complex systems are composed of mutually interacting components and the output values of these components are usually long-range cross-correlated. We propose a method to characterize the joint multifractal nature of such long-range cross…
The appropriate weather prediction is a challenging task and it can be feasible with proper wind speed fluctuation analysis. In this current paper daubechies-4 wavelet is used to analyze the winter wind speed fluctuations due to lesser…