Related papers: High Frequency Lead/lag Relationships - Empirical …
The congestion of a motorway section is propagated to its neighbouring sections, leading to correlations. The resulting correlation matrix encodes the information on congestion. Here, we study symmetrized time-lagged correlations and show…
Link prediction appears as a central problem of network science, as it calls for unfolding the mechanisms that govern the micro-dynamics of the network. In this work, we are interested in ego-networks, that is the mere information of…
Human social interactions are typically recorded as time-specific dyadic interactions, and represented as evolving (temporal) networks, where links are activated/deactivated over time. However, individuals can interact in groups of more…
Econophysics and econometrics agree that there is a correlation between volume and volatility in a time series. Using empirical data and their distributions, we further investigate this correlation and discover new ways that volatility and…
We utilize the symmetric thermal optimal path (TOPS) method to examine the dynamic interaction patterns between the VIX and VIX futures markets. We document that the VIX dominates the VIX futures more in the first few years, especially…
Large language models, LLMs, are increasingly deployed in multiturn settings where earlier responses shape later ones, making reliability dependent on whether a conversation remains consistent over time. When this consistency degrades…
Time lags are ubiquitous in biophysiological processes and more generally in real-world complex networks. It has been recently proposed to use information-theoretic tools such as transfer entropy to detect and estimate a possible delay in…
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…
There are non-vanishing price responses across different stocks in correlated financial markets. We further study this issue by performing different averages, which identify active and passive cross-responses. The two average…
We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at time scales 60-390 minutes. In both…
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…
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…
Recent studies have shown that novel collective behaviors emerge in complex systems due to the presence of higher-order interactions. However, how the collective behavior of a system is influenced by the microscopic organization of its…
The efficient exchange of information is an essential aspect of intelligent collective behavior. Event-triggered control and estimation achieve some efficiency by replacing continuous data exchange between agents with intermittent, or…
Information diffusion in social networks facilitates rapid and large-scale propagation of content. However, spontaneous diffusion behavior could also lead to the cascading of sensitive information, which is neglected in prior arts. In this…
Recent years have seen an unprecedented rise of the role that technology plays in all aspects of human activities. Unavoidably, technology has heavily entered the Capital Markets trading space, to the extent that all major exchanges are now…
When a system is perturbed by the variation of external parameters, a lag generally develops between the actual state of the system and the equilibrium state corresponding to the current parameter values. We establish a microscopic,…
We study the ordering statistics of 4 random walkers on the line, obtaining a much improved estimate for the long-time decay exponent of the probability that a particle leads to time $t$; $P_{\rm lead}(t)\sim t^{-0.91287850}$, and that a…
We propose a simple continuous time model for modeling the lead-lag effect between two financial assets. A two-dimensional process $(X_t,Y_t)$ reproduces a lead-lag effect if, for some time shift $\vartheta\in \mathbb{R}$, the process…
We empirically analyze a large sample of firm sales growth expectations. We find that the relationship between forecast errors and lagged revision is non-linear. Forecasters underreact to typical (positive or negative) news about future…