Related papers: Recurrence interval analysis of trading volumes
The paper tackles the problem of deriving a topological structure among stock prices from high frequency historical values. Similar studies using low frequency data have already provided valuable insights. However, in those cases data need…
This paper derives the expressions of correlations between prices of two assets, returns of two assets, and price-return correlations of two assets that depend on statistical moments and correlations of the current values, past values, and…
This research presents a comprehensive framework for analyzing liquidity in financial markets, particularly in the context of high-frequency trading. By leveraging advanced machine learning classification techniques, including Logistic…
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…
The informational context is regularly questioned in a transitional economic regime like the one implemented in China or Vietnam. This article investigates this issue and the predictive power of fundamental analysis in such context and more…
The persistence over space and time of flash flood disasters -- flash floods that have caused either economical or life losses, or both -- is a diagnostic measure of areas subjected to hydrological risk. The concept of persistence can be…
We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were considered in the analysis of Korean, the Japanese, the Taiwanese,…
This paper describes the probabilistic behaviour of a random Sturmian word. It performs the probabilistic analysis of the recurrence function which can be viewed as a waiting time to discover all the factors of length $n$ of the Sturmian…
We investigate the recently introduced variety of a set of stock returns traded in a financial market. This investigation is done by considering daily and intraday time horizons in a 15-day time period centered at the August 31st, 1998…
This manuscript reports a stochastic dynamical scenario whose associated stationary probability density function is exactly a previously proposed one to adjust high-frequency traded volume distributions. This dynamical conjecture,…
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…
We develop a methodology which replicates in great accuracy the FTSE Russell indexes reconstitutions, including the quarterly rebalancings due to new initial public offerings (IPOs). While using only data available in the CRSP US Stock…
We test a regime-conditional functional-form restriction on aggregate risk-exposure dynamics implied by VaR-constrained intermediary models: exposures contract multiplicatively when capital constraints bind and grow additively…
Because of the theoretical challenges posed by the Efficient Market Hypothesis to technical analysis, the effectiveness of technical indicators in high-frequency trading remains inadequately explored, particularly at the minute-level…
We empirically analyze the reversion of financial market trends with time horizons ranging from minutes to decades. The analysis covers equities, interest rates, currencies and commodities and combines 14 years of futures tick data, 30…
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 the stochastic structure of cryptocurrency rates of returns as compared to stock returns by focusing on the associated cross-sectional distributions. We build two datasets. The first comprises forty-six major cryptocurrencies, and…
We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company…
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…
In this paper we describe three stochastic models based on a semi-Markov chains approach and its generalizations to study the high frequency price dynamics of traded stocks. The three models are: a simple semi-Markov chain model, an indexed…