Related papers: Statistical causes for the Epps effect in microstr…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
This paper examines empirical methods for estimating the response of aggregated electricity demand to high-frequency price signals, the short-term elasticity of electricity demand. We investigate how the endogeneity of prices and the…
Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them.…
We study the activity, i.e., the number of transactions per unit time, of financial markets. Using the diffusion entropy technique we show that the autocorrelation of the activity is caused by the presence of peaks whose time distances are…
The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appears to be rough, that is, best captured by a continuous-time…
This paper describes a compound Poisson-based random effects structure for modeling zero-inflated data. Data with large proportion of zeros are found in many fields of applied statistics, for example in ecology when trying to model and…
Analyzing historical data of price indices we find an extraordinary growth phenomenon in several examples of hyper-inflation in which price changes are approximated nicely by double-exponential functions of time. In order to explain such…
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…
With the increasing penetration of high-frequency sensors across a number of biological and physical systems, the abundance of the resulting observations offers opportunities for higher statistical accuracy of down-stream estimates, but…
We find a novel correlation structure in the residual noise of stock market returns that is remarkably linked to the composition and stability of the top few significant factors driving the returns, and moreover indicates that the noise…
Technical trading represents a class of investment strategies for Financial Markets based on the analysis of trends and recurrent patterns of price time series. According standard economical theories these strategies should not be used…
Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both of those analyses are concentrated only on…
We study the effect of a weak random additive noise in a linear chain of N locally-coupled logistic maps at the edge of chaos. Maps tend to synchronize for a strong enough coupling, but if a weak noise is added, very intermittent…
We compare the Malliavin-Mancino and Cuchiero-Teichmann Fourier instantaneous estimators to investigate the impact of the Epps effect arising from asynchrony in the instantaneous estimates. We demonstrate the instantaneous Epps effect under…
We construct a price impact model between stocks in a correlated market. For the price change of a given stock induced by the short-run liquidity of this stock itself and of the information about other stocks, we introduce a self- and a…
While Indices, Index tracking funds and ETFs have grown in popularity during then last ten years, there are many structural problems inherent in Index calculation methodologies and the legal/economic structure of ETFs. These problems raise…
The association between log-price increments of exchange-traded equities, as measured by their spot correlation estimated from high-frequency data, exhibits a pronounced upward-sloping and almost piecewise linear relationship at the…
Negative serial correlations in single spike trains are an effective method to reduce the variability of spike counts. One of the factors contributing to the development of negative correlations between successive interspike intervals is…
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…
Recent calculations further supports the premise that large-scale synchronous firings of neurons may affect molecular processes. The context is scalp electroencephalography (EEG) during short-term memory (STM) tasks. The mechanism…