Related papers: Dynamic Hurst Exponent in Time Series
The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model…
This study investigates the volatility of daily Bitcoin returns and multifractal properties of the Bitcoin market by employing the rolling window method and examines relationships between the volatility asymmetry and market efficiency.…
The evaluation of the financial markets to predict their behaviour have been attempted using a number of approaches, to make smart and profitable investment decisions. Owing to the highly non-linear trends and inter-dependencies, it is…
A few characteristic exponents describing power law behaviors of roughness, coherence and persistence in stochastic time series are compared to each other. Relevant techniques for analyzing such time series are recalled in order to…
We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…
In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a…
We review a resent {\em time-dependent} performance measure for economical time series -- the (optimal) investment horizon approach. For stock indices, the approach shows a pronounced gain-loss asymmetry that is {\em not} observed for the…
Financial markets exhibit highly dynamic and complex behaviors shaped by both historical price trajectories and exogenous narratives, such as news, policy interpretations, and social media sentiment. The heterogeneity in these data and the…
In this article we model a financial derivative price as an observable on the market state function. We apply geometric techniques to integrating the Heisenberg Equation of Motion. We illustrate how the non-commutative nature of the model…
The Black-Scholes implied volatility skew at the money of SPX options is known to obey a power law with respect to the time-to-maturity. We construct a model of the underlying asset price process which is dynamically consistent to the power…
Stock market indices are one of the most investigated complex systems in econophysics. Here we extend the existing literature on stock markets in connection with nonextensive statistical mechanics. We explore the nonextensivity of price…
The Fractional Stochastic Regularity Model (FSRM) is an extension of Black-Scholes model describing the multifractal nature of prices. It is based on a multifractional process with a random Hurst exponent $H_t$, driven by a fractional…
In the present paper we construct stock price processes with the same marginal log-normal law as that of a geometric Brownian motion and also with the same transition density (and returns' distributions) between any two instants in a given…
Stock market is often important as it represents the ownership claims on businesses. Without sufficient stocks, a company cannot perform well in finance. Predicting a stock market performance of a company is nearly hard because every time…
This article explores the required amount of time series points from a high-speed computer network to accurately estimate the Hurst exponent. The methodology consists in designing an experiment using estimators that are applied to time…
We study properties of the cross-sectional distribution of returns. A significant anti-correlation between dispersion and cross-sectional kurtosis is found such that dispersion is high but kurtosis is low in panic times, and the opposite in…
The common assumption of universal behavior in stock market data can sometimes lead to false conclusions. In statistical physics, the Hurst exponents characterizing long-range correlations are often closely related to universal exponents.…
We analyze the statistics of daily price change of stock market in the framework of a statistical physics model for the collective fluctuation of stock portfolio. In this model the time series of price changes are coded into the sequences…
In econometrics, the Efficient Market Hypothesis posits that asset prices reflect all available information in the market. Several empirical investigations show that market efficiency drops when it undergoes extreme events. Many models for…
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…