Related papers: Powers correlation analysis of non-stationary illi…
Previous studies of the stock price response to individual trades focused on single stocks. We empirically investigate the price response of one stock to the trades of other stocks. How large is the impact of one stock on others and vice…
This work is devoted to the study of modeling geophysical and financial time series. A class of volatility models with time-varying parameters is presented to forecast the volatility of time series in a stationary environment. The modeling…
This study explores the behavioral dynamics of illiquid stock prices in a listed stock market. Illiquidity, characterized by wide bid and ask spreads affects price formation by decoupling prices from standard risk and return relationships…
We analyze the sequence of time intervals between consecutive stock trades of thirty companies representing eight sectors of the U. S. economy over a period of four years. For all companies we find that: (i) the probability density function…
In retrospect, the experimental findings on competitive market behavior called for a revival of the old, classical, view of competition as a collective higgling and bargaining process (as opposed to price-taking behaviors) founded on…
In an era when derivatives is getting popular, risk management has gradually become the core content of modern finance. In order to study how to accurately estimate the volatility of the S&P 500 index, after introducing the theoretical…
We study the spectral properties of the magnitudes of river flux increments, the volatility. The volatility series exhibits (i) strong seasonal periodicity and (ii) strongly power-law correlations for time scales less than one year. We test…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are…
The question of what is genuinely quantum about weak values is only ever going to elicit strongly subjective opinions---it is not a scientific question. Good questions, when comparing theories, are operational---they deal with the…
The paper analyzes the cryptocurrency ecosystem at both the aggregate and individual levels to understand the factors that impact future volatility. The study uses high-frequency panel data from 2020 to 2022 to examine the relationship…
We simulate a series of daily returns from intraday price movements initiated by microstructure elements. Significant evidence is found that daily returns and daily return volatility exhibit first order autocorrelation, but trading volume…
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…
Management of the portfolios containing low liquidity assets is a tedious problem. The buyer proposes the price that can differ greatly from the paper value estimated by the seller, the seller, on the other hand, can not liquidate his…
An analytical study of the return time distribution of extreme events for stochastic processes with power-law correlation has been carried on. The calculation is based on an epsilon-expansion in the correlation exponent:…
Correlations between spacelike separated measurements on entangled quantum systems are stronger than any classical correlations and are at the heart of numerous quantum technologies. In practice, however, spacelike separation is often not…
In this paper we perform robustness and sensitivity analysis of several continuous-time stochastic volatility (SV) models with respect to the process of market calibration. The analyses should validate the hypothesis on importance of the…
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 investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask…
Conditional power calculations are frequently used to guide the decision whether or not to stop a trial for futility or to modify planned sample size. These ignore the information in short-term endpoints and baseline covariates, and thereby…