Related papers: Hierarchical structure in phonographic market
We present an agent based model of a single asset financial market that is capable of replicating several non-trivial statistical properties observed in real financial markets, generically referred to as stylized facts. While previous…
This paper develops new mathematical techniques to identify temporal shifts among a collection of US equities partitioned into a new and more detailed set of market sectors. Although conceptually related, our three analyses reveal distinct…
The monography considers the problem of constructing a Hamiltonian cycle in a complete graph. A rule for constructing a Hamiltonian cycle based on isometric cycles of a graph is established. An algorithm for constructing a Hamiltonian cycle…
In this paper, we consider the problem of probabilistically modelling symbolic music data. We introduce a representation which reduces polyphonic music to a univariate categorical sequence. In this way, we are able to apply state of the art…
The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as…
Building on a prominent agent-based model, we present a new structural stochastic volatility asset pricing model of fundamentalists vs. chartists where the prices are determined based on excess demand. Specifically, this allows for…
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 and fundamental analysis are traditional tools used to analyze individual stocks; however, the finance literature has shown that the price movement of each individual stock correlates heavily with other stocks, especially those…
During a stock market peak the price of a given stock ($ i $) jumps from an initial level $ p_1(i) $ to a peak level $ p_2(i) $ before falling back to a bottom level $ p_3(i) $. The ratios $ A(i) = p_2(i)/p_1(i) $ and $ B(i)= p_3(i)/p_1(i)…
Designing topological materials with specific topological indices is a complex inverse problem, traditionally tackled through manual, intuition-driven methods that are neither scalable nor efficient for exploring the vast space of possible…
We propose improved methods to identify stock groups using the correlation matrix of stock price changes. By filtering out the marketwide effect and the random noise, we construct the correlation matrix of stock groups in which nontrivial…
The abstraction of musical structures (notes, melodies, chords, harmonic or rhythmic progressions, etc.) as mathematical objects in a geometrical space is one of the great accomplishments of contemporary music theory. Building on this…
In this paper, we examine the price dynamics of on-line art auctions of modern Indian art using functional data analysis. The purpose here is not just to understand what determines the final prices of art objects, but also the price…
Networks of companies can be constructed by using return correlations. A crucial issue in this approach is to select the relevant correlations from the correlation matrix. In order to study this problem, we start from an empty graph with no…
Using a portfolio of stocks from the London Stock Exchange FTSE100 index (FTSE), we study both the time dependence of their correlations and the normalized tree length of the associated minimal spanning tree (MST). The first four moments of…
Data analysis and data mining are concerned with unsupervised pattern finding and structure determination in data sets. The data sets themselves are explicitly linked as a form of representation to an observational or otherwise empirical…
Money flow models are essential tools to understand different economical phenomena, like saving propensities and wealth distributions. In spite of their importance, most of them are based on synthetic transaction networks with simple…
The monomial basis for polynomials in N variables is labeled by compositions. To each composition there is associated a hook-length product, which is a product of linear functions of a parameter. The zeroes of this product are related to…
A prototype model of stock market is introduced and studied numerically. In this self-organized system, we consider only the interaction among traders without external influences. Agents trade according to their own strategy, to accumulate…
Crypto-assets are a main segment of electronic markets, with growing trade volume and market share, yet there's no unified and comprehensive asset level taxonomy framework. This paper develops a multidimensional taxonomy for crypto-assets…