Related papers: Financial Return Distributions: Past, Present, and…
This study examines the dynamic asset market linkages under the COVID-19 global pandemic based on market efficiency, in the sense of Fama (1970). Particularly, we estimate the joint degree of market efficiency by applying Ito et al.'s…
We analyze the European transition economies and show that time series for most of major indices exhibit (i) power-law correlations in their values, power-law correlations in their magnitudes, and (iii) asymmetric probability distribution.…
In a highly interdependent economic world, the nature of relationships between financial entities is becoming an increasingly important area of study. Recently, many studies have shown the usefulness of minimal spanning trees (MST) in…
We investigate the general problem of how to model the kinematics of stock prices without considering the dynamical causes of motion. We propose a stochastic process with long-range correlated absolute returns. We find that the model is…
We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very long time scales. We use for our studies both futures time…
We study the continuous time random walk theory from financial tick data of the yen-dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at…
Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We introduce a…
By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evidence that the impact of a single trade depends on the…
The herd behaviors of returns for the won-dollar exchange rate and the KOSPI are analyzed in Korean financial markets. It is shown that the probability distribution $P(R)$ of price returns $R$ for three values of the herding parameter tends…
This study seeks to advance the understanding and prediction of stock market return uncertainty through the application of advanced deep learning techniques. We introduce a novel deep learning model that utilizes a Gaussian mixture…
Social turbulence can affect people financial decisions, causing changes in spending and saving. During a global turbulence as significant as the COVID-19 pandemic, such changes are inevitable. Here we examine how the effects of COVID-19 on…
The frequency of occurrence of prime numbers at unit number spacing intervals exhibits selfsimilar fractal fluctuations concomitant with inverse power law form for power spectrum generic to dynamical systems in nature such as fluid flows,…
To investigate the universal structure of interactions in financial dynamics, we analyze the cross-correlation matrix C of price returns of the Chinese stock market, in comparison with those of the American and Indian stock markets. As an…
This paper investigates the rank distribution, cumulative probability, and probability density of price returns for the stocks traded in the KSE and the KOSDAQ market. This research demonstrates that the rank distribution is consistent…
We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times…
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics offers models of markets as complex systems, that try to comprehend macro-, system-wide states of the economy from the…
We investigate the waiting-time distribution of the absolute return in the Korean stock-market index KOSPI. We define the waiting time as a time interval during which the normalized absolute return remains continuously below a threshold…
The nature of fluctuations in the Indian financial market is analyzed in this paper. We have looked at the price returns of individual stocks, with tick-by-tick data from the National Stock Exchange (NSE) and daily closing price data from…
Power law distributions of macroscopic observables are ubiquitous in both the natural and social sciences. They are indicative of correlated, cooperative phenomena between groups of interacting agents at the microscopic level. In this paper…
Reliable calculations of financial risk require that the fat-tailed nature of prices changes is included in risk measures. To this end, a non-Gaussian approach to financial risk management is presented, modeling the power-law tails of the…