Related papers: Multiscaled Cross-Correlation Dynamics in Financia…
Researchers have studied the first passage time of financial time series and observed that the smallest time interval needed for a stock index to move a given distance is typically shorter for negative than for positive price movements. The…
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…
The assumption of using a static graph to represent multivariate time-varying signals oversimplifies the complexity of modeling their interactions over time. We propose a Dynamic Multi-hop model that captures dynamic interactions among…
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…
The main focus of this article is the study of ergodicity of Interacting Particle Systems (IPS). We present a simple lemma showing that scaling time is equivalent to taking the convex combination of the transition matrix of the IPS with the…
We investigate 17 digital currencies making an analogy with quantum systems and develop the concept of eigenportfolios. We show that the density of states of the correlation matrix of these assets shows a behavior between that of the…
Given two time series, A and B, sampled asynchronously at different times {t_A_i} and {t_B_j}, termed "ticks", how can one best estimate the correlation coefficient \rho between changes in A and B? We derive a natural, minimum-variance…
The dynamical evolution of multiscaling in financial time series is investigated using time-dependent Generalized Hurst Exponents (GHE), $H_q$, for various values of the parameter $q$. Using $H_q$, we introduce a new visual methodology to…
We study the dynamics of the entanglement spectrum, that is the time evolution of the eigenvalues of the reduced density matrices after a bipartition of a one-dimensional spin chain. Starting from the ground state of an initial Hamiltonian,…
We develop a framework especially suited to the autocorrelation properties observed in financial times series, by borrowing from the physical picture of turbulence. The success of our approach as applied to high frequency foreign exchange…
We perform a scaling analysis on NYSE daily returns. We show that volatility correlations are power-laws on a time range from one day to one year and, more important, that they exhibit a multiscale behaviour.
Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high frequency exchange rates of eight major world currencies over 2010-2018 period are used to…
Scaling analysis exploiting timescale separation has been one of the most important techniques in the quantitative analysis of nonlinear dynamical systems in mathematical and theoretical biology. In the case of enzyme catalyzed reactions,…
To investigate the universal structure of interactions in financial dynamics, we analyze the cross-correlation matrix C of price returns of the Chinese stock market, in comparison with those of the American and Indian stock markets. As an…
Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…
We study the time scales associated to diffusion processes that take place on multiplex networks, i.e. on a set of networks linked through interconnected layers. To this end, we propose the construction of a supra-Laplacian matrix, which…
The aim of this work is to build financial crisis indicators based on spectral properties of the dynamics of market data. After choosing an optimal size for a rolling window, the historical market data in this window is seen every trading…
We study spatiotemporal intermittency in a system of coupled sine circle maps. The phase diagram of the system shows parameter regimes where the STI lies in the directed percolation class, as well as regimes which show pure spatial…
We develop a methodology for index tracking and risk exposure control using financial derivatives. Under a continuous-time diffusion framework for price evolution, we present a pathwise approach to construct dynamic portfolios of…
Stock networks, constructed from stock price time series, are a well-established tool for the characterization of complex behavior in stock markets. Following Mantegna's seminal paper, the linear Pearson's correlation coefficient between…