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We introduce various quantitative and mathematical definitions for price momentum of financial instruments. The price momentum is quantified with velocity and mass concepts originated from the momentum in physics. By using the physical…
This paper concentrates on the time series momentum or contrarian effects in the Chinese stock market. We evaluate the performance of the time series momentum strategy applied to major stock indices in mainland China and explore the…
We investigate the spatial and temporal structures of four financial markets in Greater China. In particular, we uncover different characteristics of the four markets by analyzing the sector and subsector structures which are detected…
Our study focuses on determining the presence of abnormal returns for physical momentum portfolios in the context of the Indian market. The physical momentum portfolios, comprising stocks from the NSE 500, are constructed for the daily,…
This paper investigates the time-varying risk-premium relation of the Chinese stock markets within the framework of cross-sectional momentum and contrarian effects by adopting the Capital Asset Pricing Model and the French-Fama three factor…
The goal of this paper is to explore the relationship between momentum effects and liquidity in cryptocurrency markets. Portfolios based on momentum-liquidity bivariate sorts are formed and rebalanced on a varying number of cryptocurrencies…
We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability distribution of the log return for Standard and Poor's 500…
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…
This note investigates the causes of the quality anomaly, which is one of the strongest and most scalable anomalies in equity markets. We explore two potential explanations. The "risk view", whereby investing in high quality firms is…
In this study, we have investigated empirically the effects of market properties on the degree of diversification of investment weights among stocks in a portfolio. The weights of stocks within a portfolio were determined on the basis of…
Market confidence is essential for successful investing. By incorporating multi-market into the evolutionary minority game, we investigate the effects of investor beliefs on the evolution of collective behaviors and asset prices. When there…
The Bohmian quantum approach is implemented to analyze the financial markets. In this approach, there is a wave function that leads to a quantum potential. This potential can explain the relevance and entanglements of the agent's behaviors…
Writing the article-Time independent pricing of options in range bound markets; the question in the title came naturally to my mind. It is stated, in the above article, that in certain market conditions the stock price is subjected to an…
We investigate statistical properties of daily international market indices of seven countries, and high-frequency $S&P500$ and KOSDAQ data, by using the detrended fluctuation method and the surrogate test. We have found that the returns of…
We investigated the temporally evolving network structures of the Japanese and Korean stock markets through the minimum spanning trees composed of listed stocks. We tested the validity of conventional grouping by industrial categories, and…
The experimental results on the falling down of scaled factorial moments in azimuthal variable $\phi$ is studied in some detail. It is shown that this phenomenon may be referred to the influence of transverse momentum conservation. The…
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…
We consider returns of two Korean stock market indices, KOSPI and KOSDAQ index. Central parts of the probability distribution function of returns are well fitted by the Lorentzian distribution function. However, tail parts of the…
This paper investigates the effects of a price limit change on the volatility of the Korean stock market's (KRX) intraday stock price process. Based on the most recent transaction data from the KRX, which experienced a change in the price…
By incorporating market impact and momentum traders into an agent-based model, we investigate the conditions for the occurrence of self-reinforcing feedback loops and the coevolutionary mechanism of prices and strategies. For low market…