Related papers: High Frequency Lead/lag Relationships - Empirical …

Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are…

Although higher-order interactions are known to affect the typical state of dynamical processes giving rise to new collective behavior, how they drive the emergence of rare events and fluctuations is still an open problem. We investigate…

We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this…

Conventional static knowledge graphs model entities in relational data as nodes, connected by edges of specific relation types. However, information and knowledge evolve continuously, and temporal dynamics emerge, which are expected to…

Many social, biological, and technological systems are recorded as sequences of time-stamped interactions. In such systems, concurrency, i.e., the tendency for an individual to participate in multiple interactions approximately at the same…

We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day,…

We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very long time scales. We use for our studies both futures time…

The interactions between a large population of high-frequency traders (HFTs) and a large trader (LT) who executes a certain amount of assets at discrete time points are studied. HFTs are faster in the sense that they trade continuously 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.…

Random walks with a fixed bias direction on randomly diluted cubic lattices far above the percolation threshold exhibit log-periodic oscillations in the effective exponent versus time. A scaling argument accounts for the numerical results…

Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the most aggressive such practices, and…

We review recent advances on the record statistics of strongly correlated time series, whose entries denote the positions of a random walk or a L\'evy flight on a line. After a brief survey of the theory of records for independent and…

Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading,…

Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultra-high frequency order book data from NASDAQ Nordic over a period of…

Commonly used limit order book attributes are empirically considered based on NASDAQ ITCH data. It is shown that some of them have the properties drastically different from the ones assumed in many market dynamics study. Because of this…

We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…

Time-varying volatility is an inherent feature of most economic time-series, which causes standard correlation estimators to be inconsistent. The quadrant correlation estimator is consistent but very inefficient. We propose a novel…

Individuals interact and cooperate in structured systems. Many studies represent this structure using static networks, where each link represents a permanent connection between two nodes. However, real interactions are generally not…

Dynamical processes on time-varying complex networks are key to understanding and modeling a broad variety of processes in socio-technical systems. Here we focus on empirical temporal networks of human proximity and we aim at understanding…

A record is an entry in a time series that is larger or smaller than all previous entries. If the time series consists of independent, identically distributed random variables with a superimposed linear trend, record events are positively…