Related papers: Measuring switching processes in financial markets…

The presence of significant cross-correlations between the synchronous time evolution of a pair of equity returns is a well-known empirical fact. The Pearson correlation is commonly used to indicate the level of similarity in the price…

We present a detailed analysis of glass transitions induced by pinning particles at random from an equilibrium configuration. We first develop a mean-field analysis based on the study of p-spin spherical disordered models and then obtain…

In these lectures I will review some theoretical results that have been obtained for spin glasses. I will concentrate my attention on the formulation of the mean field approach and on its numerical and experimental verifications. I will…

We proposed a model of interacting market agents based on the Ising spin model. The agents can take three actions: "buy," "sell," or "stay inactive." We defined a price evolution in terms of the system magnetization. The model reproduces…

Process Monitoring involves tracking a system's behaviors, evaluating the current state of the system, and discovering interesting events that require immediate actions. In this paper, we consider monitoring temporal system state sequences…

The discrepancy between realized volatility and the market's view of volatility has been known to predict individual equity options at the monthly horizon. It is not clear how this predictability depends on a forecast's ability to predict…

For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…

We analyze the statistics of daily price change of stock market in the framework of a statistical physics model for the collective fluctuation of stock portfolio. In this model the time series of price changes are coded into the sequences…

Global spin alignment of vector mesons is a sensitive probe of system vorticity and particle production mechanism in relativistic heavy ion collisions. The measurement of global spin alignment is gaining increasing interest and deserves…

We propose a novel method to quantify the clustering behavior in a complex time series and apply it to a high-frequency data of the financial markets. We find that regardless of used data sets, all data exhibits the volatility clustering…

This paper studies the time-varying structure of the equity market with respect to market capitalization. First, we analyze the distribution of the 100 largest companies' market capitalizations over time, in terms of inequality,…

We quantify the geometric measure of entanglement in terms of mean values of observables of entangled system. For pure states we find the relation of geometric measure of entanglement with the mean value of spin one-half for the system…

Realization of uncertainty of prices is captured by volatility, that is the tendency of prices to vary along a period of time. This is generally measured as standard deviation of daily returns. In this paper we propose and investigate the…

Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…

In Aarab (2020), I examine U.S. stock return predictability across economic regimes and document evidence of time-varying expected returns across market states in the long run. The analysis introduces a state-switching specification in…

Mean-field models of glasses that present a random first order transition exhibit highly non-trivial fluctuations. Building on previous studies that focused on the critical scaling regime, we here obtain a fully quantitative framework for…

The variance measures the portfolio risks the investors are taking. The investor, who holds his portfolio and doesn't trade his shares, at the current time can use the time series of the market trades that were made during the averaging…

This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses all quantiles of the return distribution and using penalized…

The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…

This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigen-value and trace of the covariance matrix of the assets involved. We price these generalized variance swaps for financial markets with…