Related papers: Crowded trades, market clustering, and price insta…
In order to investigate the origin of large price fluctuations, we analyze stock price changes of ten frequently traded NASDAQ stocks in the year 2002. Though the influence of the trading frequency on the aggregate return in a certain time…
Motivated by the problem of computing investment portfolio weightings we investigate various methods of clustering as alternatives to traditional mean-variance approaches. Such methods can have significant benefits from a practical point of…
In the rapidly evolving world of financial markets, understanding the dynamics of limit order book (LOB) is crucial for unraveling market microstructure and participant behavior. We introduce ClusterLOB as a method to cluster individual…
--- the companies populating a Stock market, along with their connections, can be effectively modeled through a directed network, where the nodes represent the companies, and the links indicate the ownership. This paper deals with this…
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…
We consider a Kyle-type model where insider trading takes place among a potentially large population of liquidity traders and is subject to legal penalties. Insiders exploit the liquidity provided by the trading masses to "camouflage" their…
We examine the relationship between trading volumes, number of transactions, and volatility using daily stock data of the Tokyo Stock Exchange. Following the mixture of distributions hypothesis, we use trading volumes and the number of…
We investigate how the local fluctuations of the signed traded volumes affect the dependence of demands between stocks. We analyze the empirical dependence of demands using copulas and show that they are well described by a bivariate…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
Trading styles can be classified into either trend-following or mean-reverting. If the net trading style is trend-following the traded asset is more likely to move in the same direction it moved previously (the opposite is true if the net…
Technological advancement has lead to an increase in number and type of trading venues and diversification of goods traded. These changes have re-emphasized the importance of understanding the effects of market competition: does…
Turing instability in complex networks have been shown in the literature to be dominated by the distribution of the nodal degrees. The conditions for Turing instability have been derived with an explicit dependence on the eigenvalues of the…
We propose a group model for correlations in stock markets. In the group model the markets are composed of several groups, within which the stock price fluctuations are correlated. The spectral properties of empirical correlation matrices…
We consider stochastic processes arising from dynamical systems by evaluating an observable function along the orbits of the system. The novelty is that we will consider observables achieving a global maximum value (possible infinite) at…
The clustering ensemble technique aims to combine multiple clusterings into a probably better and more robust clustering and has been receiving an increasing attention in recent years. There are mainly two aspects of limitations in the…
The volatility of financial instruments is rarely constant, and usually varies over time. This creates a phenomenon called volatility clustering, where large price movements on one day are followed by similarly large movements on successive…
We study how to assess the potential benefit of diversifying an equity portfolio by investing within and across equity sectors. We analyse 20 years of US stock price data, which includes the global financial crisis (GFC) and the COVID-19…
One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known…
Clustering bifurcations are investigated by considering models of globally coupled map lattices. Typical classes of clustering bifurcations are revealed. The clustering bifurcation thresholds of the coupled system are closely related to the…
We investigate the statistical properties of the EBS order book for the EUR/USD and USD/JPY currency pairs and the impact of a ten-fold tick size reduction on its dynamics. A large fraction of limit orders are still placed right at or…