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Occupation times quantify how long a stochastic process remains in a region, and their single-time statistics are famously given by the arcsine law for Brownian and L\'evy processes. By contrast, two-time occupation statistics, which…
An association rule is statistically significant, if it has a small probability to occur by chance. It is well-known that the traditional frequency-confidence framework does not produce statistically significant rules. It can both accept…
We present a simple dynamical model of stock index returns which is grounded on the ability of the Cyclically Adjusted Price Earning (CAPE) valuation ratio devised by Robert Shiller to predict long-horizon performances of the market. More…
The cross-correlation matrix of daily returns of stock market indices in a diverse set of 37 countries worldwide was analyzed. Comparison of the spectrum of this matrix with predictions of random matrix theory provides an empirical evidence…
In many applications it will be useful to know those patterns that occur with a balanced interval, e.g., a certain combination of phone numbers are called almost every Friday or a group of products are sold a lot on Tuesday and Thursday. In…
We empirically analyze the reversion of financial market trends with time horizons ranging from minutes to decades. The analysis covers equities, interest rates, currencies and commodities and combines 14 years of futures tick data, 30…
I discuss various ways in which inference based on the estimation of the parameters of statistical models (reduced-form estimation) can be combined with inference based on the estimation of the parameters of economic models (structural…
The R-function theory of Thomas is used to model neutron inelastic scattering and the fine, intermediate, and gross structure observed in the Dow Jones Industrial Average on a typical trading day.
Firms having similar business activities are correlated. We analyze two different cross-correlation matrices C constructed from (i) 30-min price fluctuations of 1000 US stocks for the 2-year period 1994-95 and (ii) 1-day price fluctuations…
The field of study of complex systems considers that the dynamics of complex systems are founded on universal principles that may be used to describe a great variety of scientific and technological approaches of different types of natural,…
We study the estimation of moments and joint moments of microstructure noise. Estimators of arbitrary order of (joint) moments are provided, for which we establish consistency as well as central limit theorems. In particular, we provide…
The major perspective of this paper is to provide more evidence into the empirical determinants of capital structure adjustment in different macroeconomics states by focusing and discussing the relative importance of firm-specific and…
Predicting absolute magnitude of fluctuations of price, even if their sign remains unknown, is important for risk analysis and for option prices. In the present work, we display our predictions about absolute magnitude of daily fluctuations…
Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using…
In order to further overcome the difficulties of the existing models in dealing with the non-stationary and nonlinear characteristics of high-frequency financial time series data, especially its weak generalization ability, this paper…
The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…
The classical fluctuation-dissipation theorem predicts the average response of a dynamical system to an external deterministic perturbation via time-lagged statistical correlation functions of the corresponding unperturbed system. In this…
Effects connected with the world globalization affect also the financial markets. On a way towards quantifying the related characteristics we study the financial empirical correlation matrix of the 60 companies which both the Deutsche…
The iterative random subdivision of rectangles is used as a generation model of networks in physics, computer science, and urban planning. However, these researches were independent. We consider some relations in them, and derive…
Equity activity is an essential topic for financial market studies. To explore its statistical regularities, we comprehensively examine the trading value, a measure of the equity activity, of the 3314 most-traded stocks in the U.S. equity…