Related papers: Wavelet-based methods for high-frequency lead-lag …
We propose a simple continuous time model for modeling the lead-lag effect between two financial assets. A two-dimensional process $(X_t,Y_t)$ reproduces a lead-lag effect if, for some time shift $\vartheta\in \mathbb{R}$, the process…
Investigating the relationship, particularly the lead-lag effect, between time series is a common question across various disciplines, especially when uncovering biological process. However, analyzing time series presents several…
This paper develops a threshold model with a time-varying threshold, represented using a wavelet series expansion. The model adequately captures irregular and abrupt variations, as well as smooth changes in the threshold parameter, allowing…
In this paper we use wavelet concepts to show that correlation coefficient between two financial data's is not constant but varies with scale from high correlation value to strongly anti-correlation value This studies is important because…
The method of element analysis is proposed here as an alternative to traditional wavelet-based approaches to analyzing perturbations in financial signals by scale. In this method, the processes that generate oscillations in financial…
We introduce a new class of continuous-time models of the stochastic volatility of asset prices. The models can simultaneously incorporate roughness and slowly decaying autocorrelations, including proper long memory, which are two stylized…
Lead-lag relationships among assets represent a useful tool for analyzing high frequency financial data. However, research on these relationships predominantly focuses on correlation analyses for the dynamics of stock prices, spots and…
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…
We present a methodology for the study of the dispersion of trajectories of stochastic processes in reconstructed phase spaces from observed data. The methodology allows to find ensembles of analog states, i.e. states that are close in the…
Distributed lag models (DLMs) express the cumulative and delayed dependence between pairs of time-indexed response and explanatory variables. In practical application, users of DLMs examine the estimated influence of a series of lagged…
Experimentally observed networks of interacting dynamical systems are inferred from recorded multivariate time series by evaluating a statistical measure of dependence, usually the cross-correlation coefficient, or mutual information. These…
We consider waves propagating in a randomly layered medium with long-range correlations. An example of such a medium is studied in \citeMS and leads, in particular, to an asymptotic travel time described in terms of a fractional Brownian…
In this paper we exploit the wavelet analysis approach to investigate oil-food price correlation and its determinants in the domains of time and frequency. Wavelet analysis is able to differentiate high frequency from low frequency…
Wavelets provide the flexibility to analyse stochastic processes at different scales. Here, we apply them to multivariate point processes as a means of detecting and analysing unknown non-stationarity, both within and across data streams.…
We create a framework to analyse the timing and frequency of instantaneous interactions between pairs of entities. This type of interaction data is especially common nowadays, and easily available. Examples of instantaneous interactions…
The existence of time-lagged cross-correlations between the returns of a pair of assets, which is known as the lead-lag relationship, is a well-known stylized fact in financial econometrics. Recently some continuous-time models have been…
In this study, we perform some analysis for the probability distributions in the space of frequency and time variables. However, in the domain of high frequencies, it behaves in such a way as the highly non-linear dynamics. The wavelet…
Some techniques for the study of intermittency by means of wavelet transforms, are presented on an example of synthetic turbulent signal. Several features of the turbulent field, that cannot be probed looking at standard structure function…
In our previous study we have presented an approach to studying lead--lag effect in financial markets using information and network theories. Methodology presented there, as well as previous studies using Pearson's correlation for the same…
We present the applications of wavelet analysis methods in constrained variational framework to calculation of dynamical aperture. We construct represention via exact nonlinear high-localized periodic eigenmodes expansions, which allows to…