Related papers: Large-volatility dynamics in financial markets
We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by…
With the daily and minutely data of the German DAX and Chinese indices, we investigate how the return-volatility correlation originates in financial dynamics. Based on a retarded volatility model, we may eliminate or generate the…
The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with previous relevant work, we have defined main…
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…
The main focus of this work is to understand the dynamics of non regulated markets. The present model can describe the dynamics of any market where the pricing is based on supply and demand. It will be applied here, as an example, for the…
We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…
The correlation matrix formalism is used to study temporal aspects of the stock market evolution. This formalism allows to decompose the financial dynamics into noise as well as into some coherent repeatable intraday structures. The present…
For many externally driven complex systems neither the noisy driving force, nor the internal dynamics are a priori known. Here we focus on systems for which the time dependent activity of a large number of components can be monitored,…
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 exploit a continuous time random walk description of stock prices to obtain a fast and accurate evaluation of their volatility from intraday data. We show that financial markets are usefully described as open physical systems. Indeed we…
Synchronising a database of stock specific news with 5 years worth of order book data on 300 stocks, we show that abnormal price movements following news releases (exogenous) exhibit markedly different dynamical features from those arising…
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary…
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…
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 present a relatively detailed analysis of the persistence probability distributions in financial dynamics. Compared with the auto-correlation function, the persistence probability distributions describe dynamic correlations non-local in…
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…
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and…
We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and…
Analogies between the price dynamics in the foreign exchange market and 3-dimensional fully developed turbulence were recently presented in Nature vol. 381, 767-769 (1996). Independently, we have carried out a study comparing the parallel…