Related papers: Large-volatility dynamics in financial markets
Intermittent large amplitude events are seen in the temporal evolution of a state variable of many dynamical systems. Such intermittent large events suddenly start appearing in dynamical systems at a critical value of a system parameter and…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…
These notes give a summary of techniques used in large deviation theory to study the fluctuations of time-additive quantities, called dynamical observables, defined in the context of Langevin-type equations, which model equilibrium and…
The shape and tails of partial distribution functions (PDF) for a financial signal, i.e. the S&P500 and the turbulent nature of the markets are linked through a model encompassing Tsallis nonextensive statistics and leading to evolution…
It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained within a simple non-Gaussian one-factor description with time…
In this letter we present a stochastic dynamic model which can explain economic cycles. We show that the macroscopic description yields a complex dynamical landscape consisting of multiple stable fixed points, each corresponding to a split…
A time series model for the FX dynamics is presented which takes into account structural peculiarities of the market, namely its heterogeneity and an information flow from long to short time horizons. The model emerges from an analogy…
We present a simple two-dimensional dynamical system where two nonlinear terms, exerting respectively positive feedback and reversal, compete to create a singularity in finite time decorated by accelerating oscillations. The power law…
Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter…
Turbulence exhibits significant velocity fluctuations even if the scale is much larger than the scale of the energy supply. Since any spatial correlation is negligible, these large-scale fluctuations have many degrees of freedom and are…
The fundamental theorem behind financial markets is that stock prices are intrinsically complex and stochastic. One of the complexities is the volatility associated with stock prices. Volatility is a tendency for prices to change…
This paper develops a dynamic factor model in which common level and volatility factors evolve jointly, allowing conditional means and variances to interact endogenously within a large-information setting. The joint evolution of these…
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic law. It supports the possibility that…
A mass ejection model in a time-dependent random environment with both temporal and spatial correlations is introduced. When the environment has a finite correlation length, individual particle trajectories are found to diffuse at large…
Self-organized criticality has been claimed to play an important role in many natural and social systems. In the present work we empirically investigate the relevance of this theory to stock-market dynamics. Avalanches in stock-market…
We study the statistics of turbulent velocity fluctuations in the neighbourhood of a strong large scale vortex at very large Reynolds number. At each distance from the vortex core, we observe that the velocity spectrum has a power law…
Financial time series exhibit two different type of non linear correlations: (i) volatility autocorrelations that have a very long range memory, on the order of years, and (ii) asymmetric return-volatility (or `leverage') correlations that…
In this paper, we establish sample path large and moderate deviation principles for log-price processes in Gaussian stochastic volatility models, and study the asymptotic behavior of exit probabilities, call pricing functions, and the…
Financial market resilience reflects the ability of a financial market to withstand external shocks and to recover from them, while its measurement has yet to be standardized. Accordingly, this paper quantifies the adaptability and…
This paper systematically conducts an analysis of the composite index 1-min datasets over the 17-year period (2005-2021) for both the Shanghai and Shenzhen stock exchanges. To reveal the difference between the Chinese and the mature stock…