Related papers: Analyses of Statistical Structures in Economic Ind…
This work analyzes data on all public US firms in the 50 year period 1970-2019, and presents 18 stylized facts of their scale, income, growth, return, investment, and dynamism. Special attention is given to (i) identifying distributional…
We study the statistical properties of the recurrence intervals $\tau$ between successive trading volumes exceeding a certain threshold $q$. The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period…
In stochastic finance, one traditionally considers the return as a competitive measure of an asset, {\it i.e.}, the profit generated by that asset after some fixed time span $\Delta t$, say one week or one year. This measures how well (or…
The statistics of return distributions on various time scales constitutes one of the most informative characteristics of the financial dynamics. Here we present a systematic study of such characteristics for the Polish stock market index…
Daily leveraged exchange traded funds amplify gains and losses of their underlying benchmark indexes on a daily basis. The result of going long in a daily leveraged ETF for more than one day is less clear. Here, bounds are given for the…
From the stock markets of six countries with high GDP, we study the stock indices, S&P 500 (NYSE, USA), SSE Composite (SSE, China), Nikkei (TSE, Japan), DAX (FSE, Germany), FTSE 100 (LSE, Britain) and NIFTY (NSE, India). The daily mean…
In this study, we have investigated factors of determination which can affect the connected structure of a stock network. The representative index for topological properties of a stock network is the number of links with other stocks. We…
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…
Statistical prediction plays an important role in many decision processes such as university budgeting (depending on the number of students who will enroll), capital budgeting (depending on the remaining lifetime of a fleet of systems), the…
This paper deals with analyzing structural breaks in the covariance operator of sequentially observed functional data. For this purpose, procedures are developed to segment an observed stretch of curves into periods for which second-order…
Expectation value of dynamical variables in thermodynamically equilibrium state can be typically provided through well-known canonical average. The average includes tremendous number of possible states considered far beyond practically…
Financial markets typically exhibit dynamically complex properties as they undergo continuous interactions with economic and environmental factors. The Efficient Market Hypothesis indicates a rich difference in the structural complexity of…
Stylized facts of empirical assets log-returns $Z$ include the existence of (semi) heavy tailed distributions $f_Z(z)$ and a non-linear spectrum of Hurst exponents $\tau(\beta)$. Empirical data considered are daily prices of 10 large…
The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such…
We characterize the jammed state structure of the random sequential adsorption of segments of two different sizes on a line. To this end, we define the size ratio as a dimensionless quantity measuring the length of the large segments in…
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…
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…
This article introduces a novel method for detecting distinctive structural changes in economic data, particularly within frequency distribution tables. The approach identifies significant shifts in the distribution of a variable over time…
Introduction Several speech processing algorithms assume the signal is stationary during short intervals (approximately 20 to 30 ms). This assumption is valid for several applications, but it is too restrictive in some contexts. This work…