Related papers: On the interplay between multiscaling and stocks d…
In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the…
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…
In this article we analyse linear correlation and non-linear dependence of traded volume, $v$, of the 30 constituents of Dow Jones Industrial Average at different value scales. Specifically, we have raised $v$ to some real value $\alpha $…
This study presents a comprehensive empirical investigation of the presence of long-range dependence (LRD) in the dynamics of major U.S. stock market indexes--S\&P 500, Dow Jones, and Nasdaq--at daily, weekly, and monthly frequencies. We…
Manipulation is an important issue for both developed and emerging stock markets. For the study of manipulation, it is critical to analyze investor behavior in the stock market. In this paper, an analysis of the full transaction records of…
We discuss the origin of multiscaling in financial time-series and investigate how to best quantify it. Our methodology consists in separating the different sources of measured multifractality by analysing the multi/uni-scaling behaviour of…
We investigate the problem of learning undirected graphical models under Laplacian structural constraints from the point of view of financial market data. We show that Laplacian constraints have meaningful physical interpretations related…
The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as…
This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations consistent with observed business cycles. To this end, we…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
Previous research has shown that for stock indices, the most likely time until a return of a particular size has been observed is longer for gains than for losses. We establish that this so-called gain/loss asymmetry is present also for…
We develop a new stock market index that captures the chaos existing in the market by measuring the mutual changes of asset prices. This new index relies on a tensor-based embedding of the stock market information, which in turn frees it…
This paper considers the problem of learning, from samples, the dependency structure of a system of linear stochastic differential equations, when some of the variables are latent. In particular, we observe the time evolution of some…
In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market…
An empirical algorithm is used here to study the stochastic and multifractal nature of nonlinear time series. A parameter can be defined to quantitatively measure the deviation of the time series from a Wiener process so that the…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
Although the understanding of and motivation behind individual trading behavior is an important puzzle in finance, little is known about the connection between an investor's portfolio structure and her trading behavior in practice. In this…
We introduce a model for the dynamics of stock prices based on a non quadratic path integral. The model is a generalization of Ilinski's path integral model, more precisely we choose a different action, which can be tuned to different time…
The multifractal structure of the temporal dependence of the Deutsche Aktienindex (DAX) is analyzed. The $q$-th order moments of the structure functions and the singular measures are calculated. The generalized Hurst exponent $H(q)$ and the…