Related papers: Synchronization analysis between exchange rates on…
Synchronization is a ubiquitous phenomenon occurring in social, biological, and technological systems when the internal rhythms of their constituents are adapted to be in unison as a result of their coupling. This natural tendency towards…
High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now accounts for nearly one-half of all trades. Although evidence…
The decentralized international market of currency trading is a prototypical complex system having a highly heterogeneous composition. To understand the hierarchical structure relating the price movement of different currencies in the…
Nearly one-half of all trades in financial markets are executed by high-speed, autonomous computer programs -- a type of trading often called high-frequency trading (HFT). Although evidence suggests that HFT increases the efficiency of…
We analyze tick data of yen-dollar exchange with a focus on its up and down movement. We show that there exists a rather particular conditional probability structure with such high frequency data. This result provides us with evidence to…
We analyze high-resolution foreign exchange data consisting of 20 million data points of USD-JPY for 13 years to report firm statistical laws in distributions and correlations of exchange rate fluctuations. A conditional probability density…
We have presented a novel technique of detecting intermittencies in a financial time series of the foreign exchange rate data of U.S.- Euro dollar(US/EUR) using a combination of both statistical and spectral techniques. This has been…
We analyze populations of Kuramoto oscillators with a particular distribution of natural frequencies. Inspired by networks where there are two groups of nodes with opposite behaviors, as for instance in power-grids where energy is either…
Asynchronous trading in high-frequency financial markets introduces significant biases into econometric analysis, distorting risk estimates and leading to suboptimal portfolio decisions. Existing synchronization methods, such as the…
Two decades of studies have found significant regional differences in the timing of transitions in national business cycles and their durations. Earlier studies partly detect regional synchronization during business cycle expansions and…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
The performance of the multifractal detrended analysis on short time series is evaluated for synthetic samples of several mono- and multifractal models. The reconstruction of the generalized Hurst exponents is used to determine the range of…
Parallel tempering, also known as replica exchange sampling, is an important method for simulating complex systems. In this algorithm simulations are conducted in parallel at a series of temperatures, and the key feature of the algorithm is…
Synchronization of networked oscillators is known to depend fundamentally on the interplay between the dynamics of the graph's units and the microscopic arrangement of the network's structure. For non identical elements, the lack of…
The sectoral synchronization observed for the Japanese business cycle in the Indices of Industrial Production data is an example of synchronization. The stability of this synchronization under a shock, e.g., fluctuation of supply or demand,…
Dynamical simulation of the cascade failures on the EU and USA high-voltage power grids has been done via solving the second-order Kuramoto equation. We show that synchronization transition happens by increasing the global coupling…
Many studies have shown that there are good reasons to claim very low predictability of currency nevertheless, the deviations from true randomness exist which have potential predictive and prognostic power [J.James, Quantitative finance 3…
Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…
We introduce a new method for determining the global stability of synchronization in systems of coupled identical maps. The method is based on the study of invariant measures. Besides the simplest non-trivial example, namely two…