Related papers: Zooming into market states
We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest…
To investigate the universality of the structure of interactions in different markets, we analyze the cross-correlation matrix C of stock price fluctuations in the National Stock Exchange (NSE) of India. We find that this emerging market…
One of the most celebrated findings in complex systems in the last decade is that different indexes y (e.g., patents) scale nonlinearly with the population~x of the cities in which they appear, i.e., $y\sim x^\beta, \beta \neq 1$. More…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
This paper analyzes correlations in patterns of trading of different members of the London Stock Exchange. The collection of strategies associated with a member institution is defined by the sequence of signs of net volume traded by that…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…
A connection between the response and fluctuation in general nonequilibrium stationary states is investigated. We focus on time-symmetric quantities and find that the fluctuation of a kind of empirical measure can be expressed with the…
We give emphasis on the use of chaos-based rigorous nonlinear technique called Visibility Graph Analysis, to study one economic time series - gold price of USA. This method can offer reliable results with fiinite data. This paper reports…
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…
In this paper we study the state-feedback stabilization of a discrete-time Markov jump linear system when the observation of the Markov chain of the system, called the Markov state, is time-randomized by another Markov chain. Embedding the…
When the complete understanding of a complex system is not available, as, e.g., for systems considered in the real-world, we need a top-down approach to complexity. In this approach one may start with the desire to understand general…
The day-to day fluctuations of Dow Jones Index exhibit fractal fluctuations, namely, a zigzag pattern of successive increases followed by decreases on all space-time scales. Self-similar fractal fluctuations are generic to dynamical systems…
The growth of business firms is an example of a system of complex interacting units that resembles complex interacting systems in nature such as earthquakes. Remarkably, work in econophysics has provided evidence that the statistical…
We investigate the properties of correlation based networks originating from economic complex systems, such as the network of stocks traded at the New York Stock Exchange (NYSE). The weaker links (low correlation) of the system are found to…
A recently developed wavelet based approach is employed to characterize the scaling behavior of spectral fluctuations of random matrix ensembles, as well as complex atomic systems. Our study clearly reveals anti-persistent behavior and…
The correlation matrix is the key element in optimal portfolio allocation and risk management. In particular, the eigenvectors of the correlation matrix corresponding to large eigenvalues can be used to identify the market mode, sectors and…
We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange's TAQ database. With a copula-based approach, we find that the…
Enhanced fluctuations and correlations have been observed in the phase transitions of many systems. Their appearance at the predicted QCD phase transition (especially near the expected critical point) may provide insight into the nature of…
We study how to assess the potential benefit of diversifying an equity portfolio by investing within and across equity sectors. We analyse 20 years of US stock price data, which includes the global financial crisis (GFC) and the COVID-19…