Related papers: Characterizing price index behavior through fluctu…
We empirically analyze the scaling properties of daily Foreign Exchange rates, Stock Market indices and Bond futures across different financial markets. We study the scaling behaviour of the time series by using a generalized Hurst exponent…
The scaling properties of oil price fluctuations are described as a non-stationary stochastic process realized by a time series of finite length. An original model is used to extract the scaling exponent of the fluctuation functions within…
Human motor activities are known to exhibit scale-free long-term correlated fluctuations over a wide range of timescales, from few to thousands of seconds. The fundamental processes originating such fractal-like behavior are not yet…
We investigate the general problem of how to model the kinematics of stock prices without considering the dynamical causes of motion. We propose a stochastic process with long-range correlated absolute returns. We find that the model is…
Employing a recent technique which allows the representation of nonstationary data by means of a juxtaposition of locally stationary patches of different length, we introduce a comprehensive analysis of the key observables in a financial…
Motivated by stochastic models of climate phenomena, the steady-state of a linear stochastic model with additive Gaussian white noise is studied. Fluctuation theorems for nonequilibrium steady-states provide a constraint on the character of…
The evolution of many stochastic systems is accurately described by random walks on graphs. We here explore the close connection between local steady-state fluctuations of random walks and the global structure of the underlying graph.…
We utilize a recently developed genetic algorithm, in conjunction with discrete wavelets, for carrying out successful forecasts of the trend in financial time series, that includes the NASDAQ composite index. Discrete wavelets isolate the…
Stock markets can become inefficient due to calendar anomalies known as day-of-the-week effect. Calendar anomalies are well-known in financial literature, but the phenomena remain to be explored in econophysics. In this paper we use…
A time series that represents daily values of the WIG index (the main index of Warsaw Stock Exchange) over last 5 years is examined. Non-Gaussian features of distributions of fluctuations, namely returns, over a time scale are considered.…
Trading volume movement prediction is the key in a variety of financial applications. Despite its importance, there is few research on this topic because of its requirement for comprehensive understanding of information from different…
Recently a method which employs computing of fluctuations in a measure of nonlinear similarity based on local recurrence properties in a univariate time series, was introduced to identify distinct dynamical regimes and transitions between…
Specialized topics on financial data analysis from a numerical and physical point of view are discussed. They pertain to the analysis of crash prediction in stock market indices and to the persistence or not of coherent and random sequences…
We introduce the wavelet scattering spectra which provide non-Gaussian models of time-series having stationary increments. A complex wavelet transform computes signal variations at each scale. Dependencies across scales are captured by the…
We show how frequency fluctuations of a vibrational mode can be separated from other sources of phase noise. The method is based on the analysis of the time dependence of the complex amplitude of forced vibrations. The moments of the…
We propose a new approach for analyzing price fluctuations in their strongly correlated regime ranging from minutes to months. This is done by employing a self-similarity assumption for the magnitude of coarse-grained price fluctuation or…
We propose a new method to analyze fluctuations in the strength function phenomena in highly excited nuclei. Extending the method of multifractal analysis to the cases where the strength fluctuations do not obey power scaling laws, we…
As the Chinese stock market continues to evolve and its market structure grows increasingly complex, traditional quantitative trading methods are facing escalating challenges. Particularly, due to policy uncertainty and the frequent market…
While the use of volatilities is pervasive throughout finance, our ability to determine the instantaneous volatility of stocks is nascent. Here, we present a method for measuring the temporal behavior of stocks, and show that stock prices…
Fluctuation scaling has been observed universally in a wide variety of phenomena. In time series that describe sequences of events, fluctuation scaling is expressed as power function relationships between the mean and variance of either…