Related papers: Cross-shareholding networks and stock price synchr…
Lead-lag relationships, integral to market dynamics, offer valuable insights into the trading behavior of high-frequency traders (HFTs) and the flow of information at a granular level. This paper investigates the lead-lag relationships…
The diagonal effect of orders is well documented in different markets, which states that orders are more likely to be followed by orders of the same aggressiveness and implies the presence of short-term correlations in order flows. Based on…
In this paper, we investigate the effect of the U.S.--China trade war on stock markets from a financial contagion perspective, based on high-frequency financial data. Specifically, to account for risk contagion between the U.S. and China…
While shorter characteristic path length has in general been believed to enhance synchronizability of a coupled oscillator system on a complex network,the suppressing tendency of the heterogeneity of the degree distribution, even for…
This paper investigates the impact of dark pools on price discovery (the efficiency of prices on stock exchanges to aggregate information). Assets are traded in either an exchange or a dark pool, with the dark pool offering better prices…
In this letter we investigate the information provided by the "compass rose" (Crack, T.F. and Ledoit, O. (1996), Journal of Finance, 51(2), pg. 751-762) patterns revealed in phase portraits of daily stock returns. It has been initially…
Equity options are known to be notoriously difficult to price accurately, and even with the development of established mathematical models there are many assumptions that must be made about the underlying processes driving market movements.…
There are non-vanishing price responses across different stocks in correlated financial markets. We further study this issue by performing different averages, which identify active and passive cross-responses. The two average…
We argue that an important contributing factor into market inefficiency is the lack of a robust mechanism for the stock price to rise if a company has good earnings, e.g., via buybacks/dividends. Instead, the stock price is prone to…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…
It seems to be very unlikely that all relevant information in the stock market could be fully encoded in a geometrical shape. Still,the present paper will reveal the geometry behind the stock market transactions. The prices of market index…
Shareholders' expectations of stock returns and fluctuations are constantly changing due to restrictions in financial status and undesirable capital structure, which constrain managers to limit the changes in price trends in order to cover…
Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them.…
Stock prices are driven by various factors. In particular, many individual investors who have relatively little financial knowledge rely heavily on the information from news stories when making investment decisions in the stock market.…
In this work, we develop the Tsallis entropy approach for examining the cross-shareholding network of companies traded on the Italian stock market. In such a network, the nodes represent the companies, and the links represent the ownership.…
This paper concentrates on the time series momentum or contrarian effects in the Chinese stock market. We evaluate the performance of the time series momentum strategy applied to major stock indices in mainland China and explore the…
A pairwise clustering approach is applied to the analysis of the Dow Jones index companies, in order to identify similar temporal behavior of the traded stock prices. To this end, the chaotic map clustering algorithm is used, where a map is…
We present a novel methodology to quantify the "impact" of and "response" to market shocks. We apply shocks to a group of stocks in a part of the market, and we quantify the effects in terms of average losses on another part of the market…
The aim of this research is to give a simple framework to evaluate/quantize the "transparency" of a firm. We assume that the process of the firm value is only observable once in a while but is strongly correlated with the stock price which…
Post Modigliani and Miller (1958), the concept of usage of arbitrage created a permanent mark on the discourses of financial framework. The arbitrage process is largely based on information dissemination amongst the stakeholders operating…