Related papers: Time-dependent scaling patterns in high frequency …
We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week. For the classical autoregressive conditional duration (ACD) models by…
Based on the daily data of American and Chinese stock markets, the dynamic behavior of a financial network with static and dynamic thresholds is investigated. Compared with the static threshold, the dynamic threshold suppresses the large…
We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day,…
The concept of multifractality offers a powerful formal tool to filter out multitude of the most relevant characteristics of complex time series. The related studies thus far presented in the scientific literature typically limit themselves…
Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples…
We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New…
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…
A new method is introduced for analysis of interactions between time-dependent coupled oscillators, based on the signals they generate. It distinguishes unsynchronized dynamics from noise-induced phase slips, and enables the evolution of…
A few characteristic exponents describing power law behaviors of roughness, coherence and persistence in stochastic time series are compared to each other. Relevant techniques for analyzing such time series are recalled in order to…
Recently the statistical characterizations of financial markets based on physics concepts and methods attract considerable attentions. We used two possible procedures of analyzing multifractal properties of a time series. The first one uses…
Methods for detecting structural changes, or change points, in time series data are widely used in many fields of science and engineering. This chapter sketches some basic methods for the analysis of structural changes in time series data.…
Multiscale phenomena that evolve on multiple distinct timescales are prevalent throughout the sciences. It is often the case that the governing equations of the persistent and approximately periodic fast scales are prescribed, while the…
Both in practice and in the academic literature, models for setting margin requirements in futures markets classically use daily closing price changes. However, as well documented by research on high-frequency data, financial markets have…
We propose a set of dependence measures that are non-linear, local, invariant to a wide range of transformations on the marginals, can show tail and risk asymmetries, are always well-defined, are easy to estimate and can be used on any…
We propose a novel estimation procedure for scale-by-scale lead-lag relationships of financial assets observed at high-frequency in a non-synchronous manner. The proposed estimation procedure does not require any interpolation processing of…
We have discovered 12 independent new empirical scaling laws in foreign exchange data-series that hold for close to three orders of magnitude and across 13 currency exchange rates. Our statistical analysis crucially depends on an…
Turbulent flows in three dimensions are characterized by the transport of energy from large to small scales through the energy cascade. Since the small scales are the result of the nonlinear dynamics across the scales, they are often…
We provide an alternative method for analysis of multifractal properties of time series. The new approach takes into account the behaviour of the whole multifractal profile of the generalized Hurst exponent $h(q)$ for all moment orders $q$,…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales - the so-called Epps effect. This provides a…