Related papers: Survey on log-normally distributed market-technica…
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…
We investigate how price variations of a stock are transformed into profits and losses (P&Ls) of a trend following strategy. In the frame of a Gaussian model, we derive the probability distribution of P&Ls and analyze its moments (mean,…
Standard quantitative models of the stock market predict a log-normal distribution for stock returns (Bachelier 1900, Osborne 1959), but it is recognised (Fama 1965) that empirical data, in comparison with a Gaussian, exhibit leptokurtosis…
Directed acyclic graphs provide a fundamental tool for representing directed dependence structures in multivariate network data, and are widely used to model financial and economic networks. However, accurate and interpretable estimation…
The aim of this paper is to compare the performances of the optimal strategy under parameters mis-specification and of a technical analysis trading strategy. The setting we consider is that of a stochastic asset price model where the trend…
The increased use of cryptography to protect our personal information makes us want to understand the security of cryptosystems. The security of many cryptosystems relies on solving the discrete logarithm, which is thought to be relatively…
Due to the increasing popularity of futures trading among financial market participants, the risk management of these instruments is crucial. In this paper, we introduce a model for estimating the ideal time for leaving a trading position…
The last decade has witnessed a number of important and exciting developments that had been achieved for improving recurrence plot based data analysis and to widen its application potential. We will give a brief overview about important and…
We use standard perturbation techniques originally formulated in quantum (statistical) mechanics in the analysis of a toy model of a stock market which is given in terms of bosonic operators. In particular we discuss the probability of…
For large-scale industrial processes under closed-loop control, process dynamics directly resulting from control action are typical characteristics and may show different behaviors between real faults and normal changes of operating…
We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday return are described by a discrete time homogeneous semi-Markov process and the…
Modern information systems are able to collect event data in the form of event logs. Process mining techniques allow to discover a model from event data, to check the conformance of an event log against a reference model, and to perform…
This paper is intended as an investigation of the statistical properties of {\it absolute log-returns}, defined as the absolute value of the logarithmic price change, for the Nikkei 225 index in the 28-year period from January 4, 1975 to…
The use of case-crossover designs has become widespread in epidemiological and medical investigations of transient associations. However, the most popular reference-select strategy, the time-stratified schema, is not a suitable solution for…
We model time series of VIX (monthly average) and monthly stock index returns. We use log-Heston model: logarithm of VIX is modeled as an autoregression of order 1. Our main insight is that normalizing monthly stock index returns (dividing…
The problem of predicting links in large networks is an important task in a variety of practical applications, including social sciences, biology and computer security. In this paper, statistical techniques for link prediction based on the…
In this paper we explore the specific role of randomness in financial markets, inspired by the beneficial role of noise in many physical systems and in previous applications to complex socio- economic systems. After a short introduction, we…
In the present work we address the problem of evaluating the historical performance of a trading strategy or a certain portfolio of assets. Common indicators such as the Sharpe ratio and the risk adjusted return have significant drawbacks.…
Nonlinear dynamical systems are ubiquitous in nature and they are hard to forecast. Not only they may be sensitive to small perturbations in their initial conditions, but they are often composed of processes acting at multiple scales.…
Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in log normalized returns, the…