Related papers: Asymmetry of cross correlations between intra-day …
Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…
According to the leading models in modern finance, the presence of intraday lead-lag relationships between financial assets is negligible in efficient markets. With the advance of technology, however, markets have become more sophisticated.…
We study theoretically the spatial correlations between the intensities measured at the input and output planes of a disordered scattering medium. We show that at large optical thicknesses, a long-range spatial correlation persists and…
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price…
Assuming that price of the underlying stock is moving in range bound, the Black-Scholes formula for options pricing supports a separation of variables. The resulting time-independent equation is solved employing different behavior of the…
We develop a framework for composite likelihood estimation of parametric continuous-time stationary Gaussian processes. We derive the asymptotic theory of the associated maximum composite likelihood estimator. We implement our approach on a…
The dynamics of prices in financial markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, a complete stochastic characterization of volatility is still lacking. What it is well…
Investment horizon approach has been used to analyze indexes of Polish stock market.Optimal time horizon for each return value is evaluated by fitting appropriate function form of the distribution. Strong asymmetry of gain-loss curves is…
This paper captures irregularities in financial time series data, particularly stock prices, in the presence of COVID-19 shock. We conjectured that jumps and irregularities are embedded in stock data due to the pandemic shock, which brings…
The cross spectrum encodes the correlated variability between two time signals. In recent years, the cross spectrum has been used to study astronomical sources, particularly in the field of X-ray timing. In the literature, it has been…
A novel quantum time dilation effect is shown to arise when a clock moves in a quantum superposition of two relativistic velocities. This effect is argued to be measurable using existing atomic interferometry techniques, potentially…
We discuss - in what is intended to be a pedagogical fashion - a criterion, which is a lower bound on a certain ratio, for when a stock (or a similar instrument) is not a good investment in the long term, which can happen even if the…
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wide news can explain the frequency and…
A fundamental description of time can be consistent not only with the usual monotonic behavior but also with a periodic physical clock variable, coupled to the degrees of freedom of a system evolving in time. Generically, one would in fact…
We study the impact of oil price shocks on the U.S. stock market volatility. We jointly analyze three different structural oil market shocks (i.e., aggregate demand, oil supply, and oil-specific demand shocks) and stock market volatility…
As a forward-looking measure of future equity market volatility, the VIX index has gained immense popularity in recent years to become a key measure of risk for market analysts and academics. We consider discrete reported intraday VIX tick…
We consider the problem of option pricing and hedging when stock returns are correlated in time. Within a quadratic-risk minimisation scheme, we obtain a general formula, valid for weakly correlated non-Gaussian processes. We show that for…
In many physical, social or economical phenomena we observe changes of a studied quantity only in discrete, irregularly distributed points in time. The stochastic process used by physicists to describe this kind of variables is the…
This paper investigates the effect of cross-shareholding on stock price synchronicity, as a measure of price informativeness, of the listed firms in the Chinese stock market. We gauge firms' levels of cross-shareholdings in terms of…
Predicting the intraday stock jumps is a significant but challenging problem in finance. Due to the instantaneity and imperceptibility characteristics of intraday stock jumps, relevant studies on their predictability remain limited. This…