Related papers: Survey on log-normally distributed market-technica…
Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority-majority model and indeed it is capable of…
We present some measurements and ideas for response time statistics in ERP systems. It is shown that the response time distribution of a given transaction in a given system is generically a log-normal distribution or, in some situations, a…
Distributed sensor networks have gained interest thanks to the developments in processing power and communications. Event-triggering mechanisms can be useful in reducing communication between the nodes of the network, while still ensuring…
Commonly used limit order book attributes are empirically considered based on NASDAQ ITCH data. It is shown that some of them have the properties drastically different from the ones assumed in many market dynamics study. Because of this…
Although machine learning approaches have been widely used in the field of finance, to very successful degrees, these approaches remain bespoke to specific investigations and opaque in terms of explainability, comparability, and…
We propose an asymptotic theory for distribution forecasting from the log normal chain-ladder model. The theory overcomes the difficulty of convoluting log normal variables and takes estimation error into account. The results differ from…
We demonstrate the application of an algorithmic trading strategy based upon the recently developed dynamic mode decomposition (DMD) on portfolios of financial data. The method is capable of characterizing complex dynamical systems, in this…
It is hypothesized that price charts can be empirically decomposed into two components as random and non random. The non random component, which can be treated as approximately regular behavior of the prices (trend) in an epoch, is a…
Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including electric power markets and the power systems they intend to govern. Market-based control is founded on the conjecture that…
We introduce a method to infer lead-lag networks of agents' actions in complex systems. These networks open the way to both microscopic and macroscopic states prediction in such systems. We apply this method to trader-resolved data in the…
Automatic log file analysis enables early detection of relevant incidents such as system failures. In particular, self-learning anomaly detection techniques capture patterns in log data and subsequently report unexpected log event…
The association between log-price increments of exchange-traded equities, as measured by their spot correlation estimated from high-frequency data, exhibits a pronounced upward-sloping and almost piecewise linear relationship at the…
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market…
Various and ubiquitous information systems are being used in monitoring, exchanging, and collecting information. These systems are generating massive amount of event sequence logs that may help us understand underlying phenomenon. By…
Nowadays, machine learning methods have been widely used in stock prediction. Traditional approaches assume an identical data distribution, under which a learned model on the training data is fixed and applied directly in the test data.…
Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. Anticorrelations of price returns, and subdiffusion of prices is found from the model,…
The lead-lag effect, where the price movement of one asset systematically precedes that of another, has been widely observed in financial markets and conveys valuable predictive signals for trading. However, traditional lead-lag detection…
The log-based analysis and trouble-shooting has remained prevalent and commonly used approach for centralized and time-haring systems. However, for parallel and distributed systems where happen-before relations are not directly available…
Classical technical analysis methods of stock evolution are recalled, i.e. the notion of moving averages and momentum indicators. The moving averages lead to define death and gold crosses, resistance and support lines. Momentum indicators…
We present here a unit-log-symmetric model based on the bivariate log-symmetric distribution. It is a flexible family of distributions over the interval $(0, 1)$. We then discuss its mathematical properties such as stochastic…