Related papers: Exogenous and Endogenous Price Jumps Belong to Dif…
We exploit a continuous time random walk description of stock prices to obtain a fast and accurate evaluation of their volatility from intraday data. We show that financial markets are usefully described as open physical systems. Indeed we…
The big jump principle explains the emergence of extreme events for physical quantities modelled by a sum of independent and identically distributed random variables which are heavy-tailed. Extreme events are large values of the sum and…
Starting on February 20, 2020, the global stock markets began to suffer the worst decline since the Great Recession in 2008, and the COVID-19 has been widely blamed on the stock market crashes. In this study, we applied the log-periodic…
What features characterise complex system dynamics? Power laws and scale invariance of fluctuations are often taken as the hallmarks of complexity, drawing on analogies with equilibrium critical phenomena[1-3]. Here we argue that slow,…
We study trade-based manipulation of stock prices from the perspective of complex trading networks constructed by using detailed information of trades. A stock trading network consists of nodes and directed links, where every trader is a…
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that liquidity tends todecrease with the amplitude of past…
Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultra-high frequency order book data from NASDAQ Nordic over a period of…
Extreme events gain the attention of researchers due to their utmost importance in various contexts ranging from finance to climatology. This brings such recurrent events to the limelight of attention in interdisciplinary research. A…
Analogies between the price dynamics in the foreign exchange market and 3-dimensional fully developed turbulence were recently presented in Nature vol. 381, 767-769 (1996). Independently, we have carried out a study comparing the parallel…
Weblog is the fourth way of network exchange after Email, BBS and MSN. Most bloggers begin to write blogs with great interest, and then their interests gradually achieve a balance with the passage of time. In order to describe the…
This paper proposes a simple and parsimonious discrete-time simulation model to describe the endogenous formation and periodic collapse of financial bubbles. While existing literature has extensively explored the statistical properties of…
Trading volume movement prediction is the key in a variety of financial applications. Despite its importance, there is few research on this topic because of its requirement for comprehensive understanding of information from different…
We investigate extreme value theory for physical systems with a global conservation law which describe renewal processes, mass transport models and long-range interacting spin models. As shown previously, a special feature is that the…
We study the statistical properties of volatility---a measure of how much the market is likely to fluctuate. We estimate the volatility by the local average of the absolute price changes. We analyze (a) the S&P 500 stock index for the…
While the use of volatilities is pervasive throughout finance, our ability to determine the instantaneous volatility of stocks is nascent. Here, we present a method for measuring the temporal behavior of stocks, and show that stock prices…
Although higher-order interactions are known to affect the typical state of dynamical processes giving rise to new collective behavior, how they drive the emergence of rare events and fluctuations is still an open problem. We investigate…
Using empirical data from a social media site (Twitter) and on trading volumes of financial securities, we analyze the correlated human activity in massive social organizations. The activity, typically excited by real-world events and…
In many complex systems, large events are believed to follow power-law, scale-free probability distributions, so that the extreme, catastrophic events are unpredictable. Here, we study coupled chaotic oscillators that display extreme…
The frequency and magnitude of weather extreme events have increased significantly during the past few years in response to anthropogenic climate change. However, global statistical characteristics and underlying physical mechanisms are…
In this communication, the approach of phenomenological universalities of growth are considered to describe the behaviour of a system showing oscillatory growth. Two phenomenological classes are proposed to consider the behaviour of a…