Related papers: Statistical Regularities of Equity Market Activity
Commonly used limit order book attributes are empirically considered based on NASDAQ ITCH data. It is shown that some of them have the properties drastically different from the ones assumed in many market dynamics study. Because of this…
We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this…
One of the principal statistical features characterizing the activity in financial markets is the distribution of fluctuations in market indicators such as the index. While the developed stock markets, e.g., the New York Stock Exchange…
Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit time…
The study of record statistics of correlated series is gaining momentum. In this work, we study the records statistics of the time series of select stock market data and the geometric random walk, primarily through simulations. We show that…
Publicly traded companies are fundamental units of contemporary economies and markets and are important mechanisms through which humans interact with their environments. Understanding the general properties that underlie the processes of…
A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to…
We study the distribution of fluctuations over a time scale $\Delta t$ (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately 1 million records sampled at 1 min intervals for the…
We consider an ideal closed stock market, in which 100 traders have economic activities. The assets of the traders change through buying and selling stocks. We simulate the assets under conservation of both total currency and total number…
We study the intraday behaviour of the statistical moments of the trading volume of the blue chip equities that composed the Dow Jones Industrial Average index between 2003 and 2014. By splitting that time interval into semesters, we…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
In the preceding paper we presented empirical results describing the growth of publicly-traded United States manufacturing firms within the years 1974--1993. Our results suggest that the data can be described by a scaling approach. Here, we…
Understanding the mutual relationships between information flows and social activity in society today is one of the cornerstones of the social sciences. In financial economics, the key issue in this regard is understanding and quantifying…
In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical properties of the Bitcoin market. This…
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…
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…
We empirically investigated the relationships between the degree of efficiency and the predictability in financial time-series data. The Hurst exponent was used as the measurement of the degree of efficiency, and the hit rate calculated…
We provide an empirical investigation aimed at uncovering the statistical properties of intricate stock trading networks based on the order flow data of a highly liquid stock (Shenzhen Development Bank) listed on Shenzhen Stock Exchange…
We perform non-linear analysis on stock market indices using time-dependent extended Tsallis statistics. Specifically, we evaluate the q-triplet for particular time periods with the purpose of demonstrating the temporal dependence of the…
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…