Related papers: Analyses of Statistical Structures in Economic Ind…
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…
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…
We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock…
The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appears to be rough, that is, best captured by a continuous-time…
The mesoscopic organization of complex systems, from financial markets to the brain, is an intermediate between the microscopic dynamics of individual units (stocks or neurons, in the mentioned cases), and the macroscopic dynamics of the…
In financial time series there are periods in which the value increases or decreases monotonically. We call those periods elemental trends and study the probability distribution of their duration for the indices DJIA, NASDAQ and IPC. It is…
We investigate the statistics of recurrences to finite size intervals for chaotic dynamical systems. We find that the typical distribution presents an exponential decay for almost all recurrence times except for a few short times affected…
It is well-known in industrial data science that large values of real-life time series tend to be structured and often follow concrete and visible patterns. In this paper, we use ideas from additive combinatorics and discrete Fourier…
By analyzing a large data set of daily returns with data clustering technique, we identify economic sectors as clusters of assets with a similar economic dynamics. The sector size distribution follows Zipf's law. Secondly, we find that…
Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the interevent statistics observed in these contexts differs from the…
This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval {\Delta} results in…
Given a geometric Brownian motion wealth process, a log-Normal lower bound is constructed for the returns of a regular investing schedule. The distribution parameters of this bound are computed recursively. For dollar cost averaging (equal…
This paper systematically conducts an analysis of the composite index 1-min datasets over the 17-year period (2005-2021) for both the Shanghai and Shenzhen stock exchanges. To reveal the difference between the Chinese and the mature stock…
A non-parametric method for ranking stock indices according to their mutual causal influences is presented. Under the assumption that indices reflect the underlying economy of a country, such a ranking indicates which countries exert the…
Dow Jones Index time series exhibit irregular or fractal fluctuations on all time scales from days, months to years. The nonlinear fluctuations are selfsimilar as exhibited in inverse power law form for power spectra of temporal…
S&P 500 index data sampled at one-minute intervals over the course of 11.5 years (January 1989- May 2000) is analyzed, and in particular the Hurst parameter over segments of stationarity (the time period over which the Hurst parameter is…
In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose Dow Jones Industrial Average. The analysis consists about…
Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns.…
We compare the probability distribution of returns for the three major stock-market indexes (Nasdaq, S&P500, and Dow-Jones) with an analytical formula recently derived by Dragulescu and Yakovenko for the Heston model with stochastic…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…