Related papers: Long-Range Dependence in Financial Markets: a Movi…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
The stochastic motion of a particle with long-range correlated increments (the moving phase) which is intermittently interrupted by immobilizations (the traping phase) in a disordered medium is considered in the presence of an external…
Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using…
Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…
Financial markets typically exhibit dynamically complex properties as they undergo continuous interactions with economic and environmental factors. The Efficient Market Hypothesis indicates a rich difference in the structural complexity of…
Financial markets are a complex dynamical system. The complexity comes from the interaction between a market and its participants, in other words, the integrated outcome of activities of the entire participants determines the markets trend,…
The construction of an efficient portfolio with a good level of return and minimal risk depends on selecting the optimal combination of stocks. This paper introduces a novel decision-making framework for stock selection based on fractional…
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using…
A quantity of interest to characterise continuous-valued stochastic processes is the differential entropy rate. The rate of convergence of many properties of LRD processes is slower than might be expected, based on the intuition for…
We investigate how large deviations events cluster in the framework of an infinite moving average process with light-tailed noise and long memory. The long memory makes clusters larger, and the asymptotic behaviour of the size of the…
Different investment strategies are adopted in short-term and long-term depending on the time scales, even though time scales are adhoc in nature. Empirical mode decomposition based Hurst exponent analysis and variance technique have been…
Volatility of intra-day stock market indices computed at various time horizons exhibits a scaling behaviour that differs from what would be expected from fractional Brownian motion (fBm). We investigate this anomalous scaling by using…
This paper proposes a simple yet effective convolutional module for long-term time series forecasting. The proposed block, inspired by the Auto-Regressive Integrated Moving Average (ARIMA) model, consists of two convolutional components:…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the…
Aggregation phenomena are ubiquitous in nature, encompassing out-of-equilibrium processes of fractal pattern formation, important in many areas of science and technology. Despite their simplicity, foundational models such as…
Heterogeneous diffusion processes are prevalent in various fields, including the motion of proteins in living cells, the migratory movement of birds and mammals, and finance. These processes are often characterized by time-varying dynamics,…
Considering that both the entropy-based market information and the Hurst exponent are useful tools for determining whether the efficient market hypothesis holds for a given asset, we study the link between the two approaches. We thus…
Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…