Related papers: Recurrence interval analysis of trading volumes
Recurrence is a fundamental property of dynamical systems, which can be exploited to characterise the system's behaviour in phase space. A powerful tool for their visualisation and analysis called recurrence plot was introduced in the late…
We analyze cross-correlations between price fluctuations of different stocks using methods of random matrix theory (RMT). Using two large databases, we calculate cross-correlation matrices C of returns constructed from (i) 30-min returns of…
The appropriate selection of recurrence thresholds is a key problem in applications of recurrence quantification analysis (RQA) and related methods across disciplines. Here, we discuss the distribution of pairwise distances between state…
We present a detailed study of the performance of a trading rule that uses moving average of past returns to predict future returns on stock indexes. Our main goal is to link performance and the stochastic process of the traded asset. Our…
For a probability measure preserving dynamical system $(\mathcal{X},f,\mu)$, the Poincar\'e Recurrence Theorem asserts that $\mu$-almost every orbit is recurrent with respect to its initial condition. This motivates study of the statistics…
We compute confidence intervals for recursive impact factors, that take into account that some citations are more prestigious than others, as well as for the associated ranks of journals, applying the methods to the population of economics…
Trading volume movement prediction is the key in a variety of financial applications. Despite its importance, there is few research on this topic because of its requirement for comprehensive understanding of information from different…
We conclude from an analysis of high resolution NYSE data that the distribution of the traded value $f_i$ (or volume) has a finite variance $\sigma_i$ for the very large majority of stocks $i$, and the distribution itself is non-universal…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…
Hypothesis of Market Efficiency is an important concept for the investors across the globe holding diversified portfolios. With the world economy getting more integrated day by day, more people are investing in global emerging markets. This…
The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the scientific production in this field, we still cannot find a…
Recently, large language models (LLMs) have demonstrated outstanding reasoning capabilities on mathematical and coding tasks. However, their application to financial tasks-especially the most fundamental task of stock movement…
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing Model and the French-Fama three factor…
The study of order volumes in financial markets has shown that these display several non-trivial statistical properties. Most studies have been focused on the bulk properties of volume of incoming orders or of realized transactions rather…
The statistics of return distributions on various time scales constitutes one of the most informative characteristics of the financial dynamics. Here we present a systematic study of such characteristics for the Polish stock market index…
Although technical trading rules have been widely used by practitioners in financial markets, their profitability still remains controversial. We here investigate the profitability of moving average (MA) and trading range break (TRB) rules…
We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock…
Recurrence plots provide a graphical representation of the recurrent patterns in a timeseries, the quantification of which is a relatively new field. Here we derive analytical expressions which relate the values of key statistics, notably…
Statistical fluctuation problems are faced by all quantum key distribution (QKD) protocols under finite-key condition. Most of the current statistical fluctuation analysis methods work based on independent random samples, however, the…
Recurring auctions are ubiquitous for selling durable assets like artworks and homes, with follow-up auctions held for unsold items. We investigate such auctions theoretically and empirically. Theoretical analysis demonstrates that…