Related papers: Persistent collective trend in stock markets
We quantitatively investigate the ideas behind the often-expressed adage `it takes volume to move stock prices', and study the statistical properties of the number of shares traded $Q_{\Delta t}$ for a given stock in a fixed time interval…
Large and stable indices of the world wide stock markets such as NYSE and SP 500 together with NASDAQ -- the index representing markets of new trends, and WIG -- the index of the local stock market of Eastern Europe, are considered. Due to…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market…
We analyze the constituents stocks of the Dow Jones Industrial Average (DJIA30) and the Standard & Poor's 100 index (S&P100) of the NYSE stock exchange market. Surprisingly, we discover the data collapse of the histograms of the DJIA30…
Applicability of the concept of financial log-periodicity is discussed and encouragingly verified for various phases of the world stock markets development in the period 2000-2010. In particular, a speculative forecasting scenario designed…
Several authors have noticed the signature of log-periodic oscillations prior to large stock market crashes [cond-mat/9509033, cond-mat/9510036, Vandewalle et al 1998]. Unfortunately good fits of the corresponding equation to stock market…
We present an outlook of the studies on correlations in the price timeseries of stocks, discussing the construction and applications of "asset tree". The topic discussed here should illustrate how the complex economic system (financial…
To understand the relationship between news sentiment and company stock price movements, and to better understand connectivity among companies, we define an algorithm for measuring sentiment-based network risk. The algorithm ranks companies…
In this paper, we investigate the cooling-off effect (opposite to the magnet effect) from two aspects. Firstly, from the viewpoint of dynamics, we study the existence of the cooling-off effect by following the dynamical evolution of some…
We analyse the dependence of stock return cross-correlations on the sampling frequency of the data known as the Epps effect: For high resolution data the cross-correlations are significantly smaller than their asymptotic value as observed…
We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
In this paper, we quantitatively investigate the statistical properties of a statistical ensemble of stock prices. We selected 1200 stocks traded on the Tokyo Stock Exchange, and formed a statistical ensemble of daily stock prices for each…
Using the peer-exposure ratio, we explore the factor exposure heterogeneity in green and brown stocks. By looking at peer groups of S&P 500 index firms over 2014-2020 based on their greenhouse gas emission levels, we find that, on average,…
Starting from the characterization of the past time evolution of market prices in terms of two fundamental indicators, price velocity and price acceleration, we construct a general classification of the possible patterns characterizing the…
Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…
Characterizing temporal evolution of stock markets is a fundamental and challenging problem. The literature on analyzing the dynamics of the markets has focused so far on macro measures with less predictive power. This paper addresses this…
Time series analysis is the process of building a model using statistical techniques to represent characteristics of time series data. Processing and forecasting huge time series data is a challenging task. This paper presents Approximation…
We investigate quantitatively the so-called leverage effect, which corresponds to a negative correlation between past returns and future volatility. For individual stocks, this correlation is moderate and decays exponentially over 50 days,…