Related papers: Statistical Regularities of Equity Market Activity
Statistical and dynamical characters of stock markets have been extensively studied, which now is providing the firm basis for econophysics and its application as ``stylized facts''. However, most of those studies are for markets under the…
In this paper, three approaches to calculate the self-similarity exponent of a time series are compared in order to determine which one performs best to identify the transition from random efficient market behavior (EM) to herding behavior…
We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent based model in which all components of the model are…
We study theoretical and empirical aspects of the mean exit time of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a…
Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are…
Using the most comprehensive, commercially-available dataset of trading activity in U.S. equity markets, we catalog and analyze quote dislocations between the SIP National Best Bid and Offer (NBBO) and a synthetic BBO constructed from…
Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in log normalized returns, the…
It is suggested to consider long term trends of financial markets as a growth phenomenon. The question that is asked is what conditions are needed for a long term sustainable growth or contraction in a financial market? The paper discuss…
We show that power-law analyses of financial commentaries from newspaper web-sites can be used to identify stock market bubbles, supplementing traditional volatility analyses. Using a four-year corpus of 17,713 online, finance-related…
Price fluctuations in financial markets can be characterized by L\'evy's stable distribution, which is supported by the generalized central limit system. When the stable parameters were estimated from four different stock markets in long…
We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…
In many physical, social or economical phenomena we observe changes of a studied quantity only in discrete, irregularly distributed points in time. The stochastic process used by physicists to describe this kind of variables is the…
The multifractal structure of the temporal dependence of the Deutsche Aktienindex (DAX) is analyzed. The $q$-th order moments of the structure functions and the singular measures are calculated. The generalized Hurst exponent $H(q)$ and the…
Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using…
Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultra-high frequency order book data from NASDAQ Nordic over a period of…
The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i)…
This study measures the long memory of investor-segregated cash flows within the Korean equity market from 2015 to 2024. Applying detrended fluctuation analysis (DFA) to BUY, SELL, and NET aggregates, we estimate the Hurst exponent ($H$)…
Using the Generalised Lotka Volterra (GLV) model adapted to deal with muti agent systems we can investigate economic systems from a general viewpoint and obtain generic features common to most economies. Assuming only weak generic…
To understand the emergence of Ultrafast Extreme Events (UEEs), the influence of algorithmic trading or high-frequency traders is of major interest as they make it extremely difficult to intervene and to stabilize financial markets. In an…
Many human-related activities show power-law decaying interevent time distribution with exponents usually varying between 1 and 2. We study a simple task-queuing model, which produces bursty time series due to the nontrivial dynamics of the…