Related papers: Zooming into market states
We study a driven-dissipative model of spins one-half (qubits) on a lattice with nearest-neighbor interactions. Focusing on the role of spatially extended spin-spin correlations in determining the phases of the system, we characterize the…
The systemic stability of a stock market is one of the core issues in the financial field. The market can be regarded as a complex network whose nodes are stocks connected by edges that signify their correlation strength. Since the market…
Based on the tick-by-tick price changes of the companies from the U.S. and from the German stock markets over the period 1998-99 we reanalyse several characteristics established by the Boston Group for the U.S. market in the period 1994-95,…
In the past few decades considerable effort has been expended in characterizing and modeling financial time series. A number of stylized facts have been identified, and volatility clustering or the tendency toward persistence has emerged as…
We follow up on the study of correlations between GDP's of rich countries. We analyze web-downloaded data on GDP that we use as individual wealth signatures of the country economical state. We calculate the yearly fluctuations of the GDP.…
We propose the application of a high-speed maximum likelihood clustering algorithm to detect temporal financial market states, using correlation matrices estimated from intraday market microstructure features. We first determine the ex-ante…
We find a novel correlation structure in the residual noise of stock market returns that is remarkably linked to the composition and stability of the top few significant factors driving the returns, and moreover indicates that the noise…
Prediction of events in financial markets is every investor's dream and, usually, wishful thinking. From a more general, economic and societal viewpoint, the identification of indicators for large events is highly desirable to assess…
We propose a picture of stock market crashes as critical points in a hierachical system with discrete scaling. The critical exponent is then complex, leading to log-periodic fluctuations in stock market indexes. We present ``experimental''…
This note outlines a method for clustering time series based on a statistical model in which volatility shifts at unobserved change-points. The model accommodates some classical stylized features of returns and its relation to GARCH is…
We study the effect of parameter fluctuations on synchronization of a coupled chaotic system. The fluctuations to the parameter can be random or it can be a periodic modulation. For random fluctuations we introduce a new quantity, the…
The evolution of many dynamical systems that describe relationships or interactions between objects can be effectively modeled by temporal networks, which are typically represented as a sequence of static network snapshots. In this paper,…
We propose a novel methodology to define, analyze and forecast market states. In our approach market states are identified by a reference sparse precision matrix and a vector of expectation values. In our procedure, each multivariate…
We exploit a continuous time random walk description of stock prices to obtain a fast and accurate evaluation of their volatility from intraday data. We show that financial markets are usefully described as open physical systems. Indeed we…
The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up-down asymmetry, which, surprisingly, is not observed for the individual stocks composing that index. To explain this,…
The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i)…
In this paper we analyzed dependencies in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 - 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The…
In this paper, we consider the long time asymptotics of multi-time correlation functions for quantum dynamical systems that are sufficiently random to relax to a ``reference state''. In particular, the evolution of such systems must have a…
Temporal networks model how the interaction between elements in a complex system evolve over time. Just like complex systems display collective dynamics, here we interpret temporal networks as trajectories performing a collective motion in…
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…