Related papers: Cross-correlation in financial dynamics
This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a…
We investigate Ising model description of dynamics of stock price. The model is defined in near 2 dimensions, one dimension is time and another represents ensemble of stocks, and strength of response of investors to price change corresponds…
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…
The high-frequency cross-correlation existing between pairs of stocks traded in a financial market are investigated in a set of 100 stocks traded in US equity markets. A hierarchical organization of the investigated stocks is obtained by…
The stock market has been known to form homogeneous stock groups with a higher correlation among different stocks according to common economic factors that influence individual stocks. We investigate the role of common economic factors in…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…
To address the dual environmental challenges of pollution and climate change, China has established multiple environmental markets, including pollution emissions trading, carbon emissions trading, energy-use rights trading, and green…
We utilize a fundamentally different model of trading costs to look at the effect of the opening of the Hong Kong Shanghai Connect that links the stock exchanges in the two cities, arguably the biggest event in international business and…
Financial markets are interconnected, with micro-currents propagating across global markets and shaping economic trends. This paper moves beyond traditional stock market indices to examine cross-sectional return distributions-15 in our…
Market impact has become a subject of increasing concern among academics and industry experts. We put forward a price impact model which considers the heteroscedasticity of price in the time dimension and dependency between permanent impact…
In this paper, we empirically analyze the spatial distribution of Chinese cities using a method based on triangle transition. This method uses a regular triangle mapping from the observed cities and its three neighboring cities to analyze…
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market…
The existing theorization of development economics and transition economics is probably inadequate and perhaps even flawed to accurately explain and analyze a dual economic system such as that in China. China is a country in the transition…
Herd behavior is an important economic phenomenon, especially in the context of the recent financial crises. In this paper, herd behavior in global stock markets is investigated with a focus on intercontinental comparison. Since most…
The interactive effect is significant in the Chinese stock market, exacerbating the abnormal market volatilities and risk contagion. Based on daily stock returns in the Shanghai Stock Exchange (SSE) A-shares, this paper divides the period…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…
We propose an algorithm to capture emergent patterns in the cross-correlations of financial markets, highlighting regime changes on a global scale. In our approach, financial markets are viewed as complex adaptive systems, and multiscale…
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 propose a group model for correlations in stock markets. In the group model the markets are composed of several groups, within which the stock price fluctuations are correlated. The spectral properties of empirical correlation matrices…