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We investigate possible origins of trends using a deterministic threshold model, where we refer to long-term variabilities of price changes (price movements) in financial markets as trends. From the investigation we find two phenomena. One…
Financial markets show a number of non-stationarities, ranging from volatility fluctuations over ever changing technical and regulatory market conditions to seasonalities. On the other hand, financial markets show various stylized facts…
We investigate sets of financial non-redundant and nonsynchronously recorded time series. The sets are composed by a number of stock market indices located all over the world in five continents. By properly selecting the time horizon of…
We use the statistical properties of Shannon entropy estimator and Kullback-Leibler divergence to study the predictability of ultra-high frequency financial data. We develop a statistical test for the predictability of a sequence based on…
Cross-sectional dispersion in firm-level realized skewness is significantly and negatively related to future stock market returns. The predictive power of skewness dispersion is robust to in-sample and out-of-sample estimation and is…
We uncover networks from news articles to study cross-sectional stock returns. By analyzing a huge dataset of more than 1 million news articles collected from the internet, we construct time-varying directed networks of the S&P500 stocks.…
Insider trading is one of the numerous white collar crimes that can contribute to the instability of the economy. Traditionally, the detection of illegal insider trades has been a human-driven process. In this paper, we collect the insider…
Prediction markets are often described as mechanisms that ``aggregate information'' into prices, yet the mapping from dispersed private information to observed market histories is typically noisy, endogenous, and shaped by heterogeneous and…
Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated…
We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of price fluctuations. The central result of the…
The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account…
We pose the estimation and predictability of stock market performance. Three cases are taken: US, Japan, Germany, the monthly index of the value of realized investment in stocks, prices plus the value of dividend payments (OECD data). Once…
In this paper, we study the dynamics of absolute return, trading volume and bid-ask spread after the trading halts using high-frequency data from the Shanghai Stock Exchange. We deal with all three types of trading halts, namely intraday…
In many real world chaotic systems, the interest is typically in determining when the system will behave in an extreme manner. Flooding and drought, extreme heatwaves, large earthquakes, and large drops in the stock market are examples of…
The occurrence of Simpson's paradox (SP) in $2\times 2$ contingency tables has been well studied. The present work comprehensively revisits this problem using a combination of philosophical reflections, causal considerations, and…
We find a novel correlation structure in the residual noise of stock market returns that is remarkably linked to the composition and stability of the top few significant factors driving the returns, and moreover indicates that the noise…
The expansion of the observed universe appears to be accelerating. A simple explanation of this phenomenon is provided by the non-vanishing of the cosmological constant in the Einstein equations. Arguments are commonly presented to the…
In this paper we explain the wild fluctuations of financial prices from the intrinsic amplifying feedback of speculative supply and demand. Formally, we show that an asset return follows a multiplicative random growth with exogenous input,…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
Being able to predict the occurrence of extreme returns is important in financial risk management. Using the distribution of recurrence intervals---the waiting time between consecutive extremes---we show that these extreme returns are…