Related papers: Long-range memory and multifractality in gold mark…
When common factors strongly influence two power-law cross-correlated time series recorded in complex natural or social systems, using classic detrended cross-correlation analysis (DCCA) without considering these common factors will bias…
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…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
The detrended cross-correlation coefficient $\rho_{\rm DCCA}$ has recently been proposed to quantify the strength of cross-correlations on different temporal scales in bivariate, non-stationary time series. It is based on the detrended…
The presence of multifractality in a time series shows different correlations for different time scales as well as intermittent behaviour that cannot be captured by a single scaling exponent. The identification of a multifractal nature…
Detrended fluctuation analysis (DFA) [1] of the volatility series has been found to be useful in dentifying possible nonlinear/multifractal dynamics in the empirical sample [2-4]. Long-range volatile correlation can be an outcome of static…
Permutation approach is suggested as a method to investigate financial time series in micro scales. The method is used to see how high frequency trading in recent years has affected the micro patterns which may be seen in financial time…
Price without transaction makes no sense. Trading volume authenticates its corresponding price, so there exist mutual information and correlation between price and trading volume. We are curious about fractal features of this correlation…
We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by…
Using a two-point correlation technique, we study emergence of market efficiency in the emergent Russian futures market by focusing on lagged correlations. The correlation strength of leader-follower effects in the lagged inter-market…
We present a study on the spatio-temporal pattern underlying the climate dynamics in various locations spread over India, including the Himalayan region, coastal region, central and northeastern parts of India. We try to capture the…
We study the properties of time sequences extracted from a self-organized critical system, within the framework of the mathematical multifractal analysis. To this end, we propose a fixed-mass algorithm, well suited to deal with highly…
We analyze quantitatively the effect of spurious multifractality induced by the presence of fat-tailed symmetric and asymmetric probability distributions of fluctuations in time series. In the presented approach different kinds of symmetric…
Stride-to-stride fluctuations in human walking carry a fractal correlation structure that reverses sign under external cueing: self-paced gait is persistent, whereas metronomic or visually cued gait is anti-persistent. Three decades of…
This paper aims to investigate the role of gold as a hedge and/or safe haven against oil price and currency market movements for medium (calm period) and large (extreme movement) fluctuations. In revisiting the role of gold, our study…
This paper constructs and studies the long-term factorization of affine pricing kernels into discounting at the rate of return on the long bond and the martingale component that accomplishes the change of probability measure to the long…
One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a…
This study presents a comprehensive empirical investigation of the presence of long-range dependence (LRD) in the dynamics of major U.S. stock market indexes--S\&P 500, Dow Jones, and Nasdaq--at daily, weekly, and monthly frequencies. We…
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…
Fractal analysis is carried out on the stock market indices of seven European countries and the US. We find evidence of long range dependence in the log return series of the Mibtel (Italy) and the PX Glob (Czech Republic). Long range…