Related papers: Cross-correlation in financial dynamics
Market making plays a crucial role in providing liquidity and maintaining stability in financial markets, making it an essential component of well-functioning capital markets. Despite its importance, there is limited research on market…
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact. The empirical estimation of this effect on complex financial instruments, such as derivatives, is an open problem. To…
The correlation matrix formalism is used to study temporal aspects of the stock market evolution. This formalism allows to decompose the financial dynamics into noise as well as into some coherent repeatable intraday structures. The present…
It has been long that literature in financial academics focuses mainly on price and return but much less on trading volume. In the past twenty years, it has already linked both price and trading volume to economic fundamentals, and explored…
One of the principal statistical features characterizing the activity in financial markets is the distribution of fluctuations in market indicators such as the index. While the developed stock markets, e.g., the New York Stock Exchange…
We investigate the financial network in the Korean stock exchange (KSE) market, using both numerical simulations and scaling arguments. We estimate the cross-correlation on the stock price exchanges of all companies listed on the the Korean…
Since 1992, a new Chinese innovation system has been emerging in terms of university-industry-government relations. In recent years, science parks, incubators, and high-tech development zones have been provided with strong incentives. The…
Time series of price returns for 80 of the most liquid cryptocurrencies listed on Binance are investigated for the presence of detrended cross-correlations. A spectral analysis of the detrended correlation matrix and a topological analysis…
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…
This paper examines how the Shanghai-Hong Kong Stock Connect (SHHK Stock Connect) affects the A-H share price premium and whether the policy effect depends on pre-existing market efficiency. Using monthly data for 67 A-H dual-listed firms…
In the pursuit of accurate and scalable quantitative methods for financial market analysis, the focus has shifted from individual stock models to those capturing interrelations between companies and their stocks. However, current relational…
Margin trading in which investors purchase shares with money borrowed from brokers is blamed to be a major cause of the 2015 Chinese stock market crash. We propose a cascading failure model and examine how an increase in margin trading…
By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the…
Agent-based models help explain stock price dynamics as emergent phenomena driven by interacting investors. In this modeling tradition, investor behavior has typically been captured by two distinct mechanisms -- learning and heterogeneous…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…
Since 2002 when China first introduced QFII (Qualified Foreign Institutional Investors) system, QFII has been developing in China for 14 years, during when RQFII, Shanghai-Hongkong Stock Connect Program, Shanghai-London Stock Connect…
The study aims to explore the strength of causal relationship between stock price search interest and real stock market outcomes on worldwide equity market indices. Such a phenomenon could also be mediated by investor behavior and extent of…
Using the tools developed for statistical physics, we simultaneously analyze statistical properties of the Jakarta and Kuala Lumpur Stock Exchange indices. In spite of the small number of data used in the analysis, the result shows the…
We investigate hierarchical structure in various complex systems according to Minimum Spanning Tree methods. Firstly, we investigate stock markets where the graphis obtained from the matrix of correlations coefficient computed between all…
Spin models of markets inspired by physics models of magnetism, as the Ising model, allow for the study of the collective dynamics of interacting agents in a market. The number of possible states has been mostly limited to two (buy or sell)…