Related papers: Complex temporal structure of activity in on-line …
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.…
Fractal time series has been shown to be self-affine and are characterized by a roughness exponent H. The exponent H is a measure of the persistence of the fluctuations associated with the time series. We use a recently introduced method…
The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three different definitions of spread are considered based on the…
In the work, a comparative correlation and fractal analysis of time series of Bitcoin crypto currency rate and community activities in social networks associated with Bitcoin was conducted. A significant correlation between the Bitcoin rate…
We report tensile failure experiments on paper sheets. The acoustic emission energy and the waiting times between acoustic events follow power-law distributions. This remains true while the strain rate is varied by more than two orders of…
In a power system, the load demand considers two components such as the real power (P) because of resistive elements, and the reactive power (Q) because inductive or capacitive elements. This paper presents a graphical representation of the…
Stock price changes occur through transactions, just as diffusion in physical systems occurs through molecular collisions. We systematically explore this analogy and quantify the relation between trading activity - measured by the number of…
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…
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…
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…
We study by theoretical analysis and by direct numerical simulation the dynamics of a wide class of asynchronous stochastic systems composed of many autocatalytic degrees of freedom. We describe the generic emergence of truncated power laws…
Online auctions are fast gaining popularity in today's electronic commerce. Relative to offline auctions, there is a greater degree of multiple bidding and late bidding in online auctions, an empirical finding by some recent research. These…
We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent based model in which all components of the model are…
The scope of the paper is the theoretical analysis of the time rate in which a dynamical system reaches a stable stationary state or stable oscillations. The method used for the analysis is based on the so-called iterative time profiles,…
We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of 23 stocks traded in the Chinese stock market in 2003. We…
We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New…
The temporal evolution of mechanical energy and spatially-averaged crack speed are both monitored in slowly fracturing artificial rocks. Both signals display an irregular burst-like dynamics, with power-law distributed fluctuations spanning…
We analyze the sequence of time intervals between consecutive stock trades of thirty companies representing eight sectors of the U. S. economy over a period of four years. For all companies we find that: (i) the probability density function…
Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading,…
We complement the theory of tick-by-tick dynamics of financial markets based on a Continuous-Time Random Walk (CTRW) model recently proposed by Scalas et al., and we point out its consistency with the behaviour observed in the waiting-time…