Related papers: Recurrence interval analysis of trading volumes
In this paper, the Kyle model of insider trading is extended by characterizing the trading volume with long memory and allowing the noise trading volatility to follow a general stochastic process. Under this newly revised model, the…
We consider the tail probabilities of stock returns for a general class of stochastic volatility models. In these models, the stochastic differential equation for volatility is autonomous, time-homogeneous and dependent on only a finite…
In this paper, we describe a newly discovered statistical property of time series data for daily price changes. We conducted quantitative investigation of the {\it calm-time intervals} of price changes for 800 companies listed in the Tokyo…
This paper describes asset price and return disturbances as result of relations between transactions and multiple kinds of expectations. We show that disturbances of expectations can cause fluctuations of trade volume, price and return. We…
The asymmetric price impact between the institutional purchases and sales of 32 liquid stocks in Chinese stock markets in year 2003 is carefully studied. We analyze the price impact in both drawup and drawdown trends with consecutive…
The appropriate selection of recurrence thresholds is a key problem in applications of recurrence quantification analysis and related methods across disciplines. Here, we discuss the distribution of pairwise distances between state vectors…
We investigate the spatial and temporal structures of four financial markets in Greater China. In particular, we uncover different characteristics of the four markets by analyzing the sector and subsector structures which are detected…
We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
Econophysics and econometrics agree that there is a correlation between volume and volatility in a time series. Using empirical data and their distributions, we further investigate this correlation and discover new ways that volatility and…
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask…
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,…
We perform a comparative analysis of the Chinese stock market around the occurrence of the 2008 crisis based on the random matrix analysis of high-frequency stock returns of 1228 stocks listed on the Shanghai and Shenzhen stock exchanges.…
We analyze the sequence of time intervals between consecutive stock trades of thirty companies representing eight sectors of the U. S. economy over a period of four years. For all companies we find that: (i) the probability density function…
We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function $\chi_q(s)$ scales as a power law with…
We consider renewal processes where events, which can for instance be the zero crossings of a stochastic process, occur at random epochs of time. The intervals of time between events, $\tau_{1},\tau_{2},...$, are independent and identically…
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…
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…
The stock segment of China's time-honored brand enterprises has an important position in our securities stock market. The holiday effect is one of the market anomalies that occur in the securities market, which refers to the phenomenon that…
We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of…