Related papers: Statistical causes for the Epps effect in microstr…
The existence of forbidden patterns, i.e., certain missing sequences in a given time series, is a recently proposed instrument of potential application in the study of time series. Forbidden patterns are related to the permutation entropy,…
The distortion of the regular motion in a quantum system by its coupling to the continuum of decay channels is investigated. The regular motion is described by means of a Poissonian ensemble. We focus on the case of only few channels K<10.…
We introduce a framework to infer lead-lag networks between the states of elements of complex systems, determined at different timescales. As such networks encode the causal structure of a system, infering lead-lag networks for many pairs…
Lead/lag relationships are an important stylized fact at high frequency. Some assets follow the path of others with a small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric…
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations…
This paper develops a deep learning-based econometric methodology to determine the causality of the financial time series. This method is applied to the imbalances in daily transactions in individual stocks, as well as the ETFs reported to…
The statistical properties of the increments x(t+T) - x(t) of a financial time series depend on the time resolution T on which the increments are considered. A non-parametric approach is used to study the scale dependence of the empirical…
In order to investigate the origin of large price fluctuations, we analyze stock price changes of ten frequently traded NASDAQ stocks in the year 2002. Though the influence of the trading frequency on the aggregate return in a certain time…
In February 2018, the VIX index has seen its largest ever increase and has lead to significant losses for some major volatility related products. Despite many efforts, the precise underlying reasons are yet to be discovered. We study the…
We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirically, and which have often been regarded as a consequence of…
Modelling accurately financial price variations is an essential step underlying portfolio allocation optimization, derivative pricing and hedging, fund management and trading. The observed complex price fluctuations guide and constraint our…
We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times…
Electro-optic (EO) effects relate the change of optical constants by low-frequency electric fields. Thanks to the advent of Density Functional Perturbation Theory (DFPT), the EO properties of bulk three-dimensional (3D) materials can now be…
Unlike macroscopic multistable mechanical systems such as snap bracelets or elastic shells that must be physically manipulated into various conformations, microscopic systems can undergo spontaneous conformation switching between…
The performance of standard learning procedures has been observed to differ widely across groups. Recent studies usually attribute this loss discrepancy to an information deficiency for one group (e.g., one group has less data). In this…
We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible…
High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now accounts for nearly one-half of all trades. Although evidence…
According to behavioral finance, stock market returns are influenced by emotional, social and psychological factors. Several recent works support this theory by providing evidence of correlation between stock market prices and collective…
To date, it is still impossible to sample the entire mammalian brain with single-neuron precision. This forces one to either use spikes (focusing on few neurons) or to use coarse-sampled activity (averaging over many neurons, e.g. LFP).…
We use the statistical properties of Shannon entropy estimator and Kullback-Leibler divergence to study the predictability of ultra-high frequency financial data. We develop a statistical test for the predictability of a sequence based on…