Related papers: 101 Formulaic Alphas
Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability periods and multi-affinity of the time series. It is shown that…
We analyzed multifractal properties of 5-minute stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and nonlinear temporal correlations, vitally…
We investigate the variation in the mode parameters obtained from time series of length 9, 36, 72 and 108 days to understand the changes occurring on different time-scales. The regression analysis between frequency shifts and activity…
Monte Carlo simulations of protein folding show the emergence of a strong correlation between the relative contact order parameter, CO, and the folding time, t, of two-state folding proteins for longer chains with number of amino acids,…
We propose a new volatility model based on two stylized facts of the volatility in the stock market: clustering and leverage effect. We calibrate our model parameters, in the leading order, with 77 years Dow Jones Industrial Average data.…
In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of the…
Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns.…
We present conditions under which positive alpha exists in the realm of active portfolio management- in contrast to the controversial result in Jarrow (2010, pg. 20) which implicates delegated portfolio management by surmising that positive…
Using an artificial neural network (ANN), a fixed universe of approximately 1500 equities from the Value Line index are rank-ordered by their predicted price changes over the next quarter. Inputs to the network consist only of the ten prior…
The average length and average relaxation time of attractors in sequence processing neural networks are investigated. The simulation results show that a critical point of $\alpha $, the loading ratio, is found. Below the turning point, the…
The search-volume corrected period distribution of contact binaries of the W UMa type appears to reflect primarily the constant number ratio of ~1/500 to the number of stars along the Main Sequence; there exist no evidence for angular…
All too often measuring statistical dependencies between financial time series is reduced to a linear correlation coefficient. However this may not capture all facets of reality. We study empirical dependencies of daily stock returns by…
This paper investigates the financial economics of simple periodic systems. Well-established financial procedures appear to be complicated, and lead to partially biased results. Probability theory is applied, and the focus is on the…
By monitoring the time evolution of the most liquid Futures contracts traded globally as acquired using the Bloomberg API from 03 January 2000 until 15 December 2014 we were able to forecast the S&P 500 index beating the Buy and Hold…
The level crossing and inverse statistics analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, $\nu_{\alpha}^+$, where $T_{\alpha} =1/\nu_{\alpha}^+ $ is the average waiting…
Using publicly available gamma-rays data from the Fermi satellite and the Fermitools package, we constructed 867-day light curves of Sagittarius A* to search for potential periodicities from 2008 to 2024. By applying statistical and…
In this paper we consider the problem of minimising drawdown in a portfolio of financial assets. Here drawdown represents the relative opportunity cost of the single best missed trading opportunity over a specified time period. We formulate…
This work proposes the fractal scaling exponent alpha, estimated via Detrended Fluctuation Analysis (DFA) on the unaggregated time series of lines of code added per commit event in a software repository, as a novel process-level indicator…
This study utilised the dynamics of five time-varying models to estimate six essential features of financial return volatility that are relevant for robust risk management. These features include pronounced persistence, mean reversion,…
An update of measurements of the strong coupling constant $\alpha_s$ is given, representing the status of September 2002. The results convincingly prove the energy dependence of $\alpha_s$ and are in excellent agreement with the…