Related papers: Multifractality and long memory of a financial ind…
Several phenomena are available representing market activity: volumes, number of trades, durations between trades or quotes, volatility - however measured - all share the feature to be represented as positive valued time series. When…
One of the standardized features of financial data is that log-returns are uncorrelated, but absolute log-returns or their squares namely the fluctuating volatility are correlated and is characterized by heavy tailed in the sense that some…
We study the properties of memory of a financial time series adopting two different methods of analysis, the detrended fluctuation analysis (DFA) and the analysis of the power spectrum (PSA). The methods are applied on three time series:…
We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this…
We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…
This paper investigates economic convergence in terms of real income per capita among the autonomous regions of Spain. In order to converge, the series should cointegrate. This necessary condition is checked using two testing strategies…
It is demonstrated that in low multiplicity sample, the increase of the fluctuation of event-factorial-moments with the diminishing of phase space scale, called ``erraticity'', are dominated by the statistical fluctuations. The erraticity…
This paper is devoted to problem of detecting critical events at finiacial markets using methods of multifractal analysis. Namely, the local regularity of time-series is studied. As a result, one can find out a special behavior or signal of…
In this letter we have analyzed the temporal correlations of the angle-of-arrival fluctuations of stellar images. Experimentally measured data were carefully examined by implementing multifractal detrended fluctuation analysis. This…
We present a symmetry analysis of the distribution of variations of different financial indices, by means of a statistical procedure developed by the authors based on a symmetry statistic by Einmahl and Mckeague. We applied this statistical…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
We introduce a multivariate stochastic volatility model for asset returns that imposes no restrictions to the structure of the volatility matrix and treats all its elements as functions of latent stochastic processes. When the number of…
Fractional Brownian motion has become a standard tool to address long-range dependence in financial time series. However, a constant memory parameter is too restrictive to address different market conditions. Here we model the price…
Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultra-high frequency order book data from NASDAQ Nordic over a period of…
Empirical time series of inter-event or waiting times are investigated using a modified Multifractal Detrended Fluctuation Analysis operating on fluctuations of mean detrended dynamics. The core of the extended multifractal analysis is the…
Traded corporations are required by law to have a majority of outside directors on their board. This requirement allows the existence of directors who sit on the board of two or more corporations at the same time, generating what is…
We present a nonlinear stochastic differential equation (SDE) which mimics the probability density function (PDF) of the return and the power spectrum of the absolute return in financial markets. Absolute return as a measure of market…
We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two…
This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35…
The fluctuations due to the clustering of color sources can explain the behaviour of the scaled multiplicity variance and transverse momentum fluctuations with centrality. They also predict a nonmonotonic behaviour with centrality for the…