Related papers: Sluggish news reactions: A combinatorial approach …
To identify emerging microscopic structures in low temperature spin glasses, we study self-sustained clusters (SSC) in spin models defined on sparse random graphs. A message-passing algorithm is developed to determine the probability of…
We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day,…
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…
This review is a partial synthesis of the book ``Why stock market crash'' (Princeton University Press, January 2003), which presents a general theory of financial crashes and of stock market instabilities that his co-workers and the author…
The analysis of the intraday dynamics of correlations among high-frequency returns is challenging due to the presence of asynchronous trading and market microstructure noise. Both effects may lead to significant data reduction and may…
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical…
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…
The principal aim of this work is the evidence on empirical way that catastrophic bifurcation breakdowns or transitions, proceeded by flickering phenomenon, are present on notoriously significant and unpredictable financial markets.…
Efficient Market Hypothesis is the popular theory about stock prediction. With its failure much research has been carried in the area of prediction of stocks. This project is about taking non quantifiable data such as financial news…
We analyze the dynamical response of the world's financial community to various types of unexpected events, including the 9/11 terrorist attacks as they unfolded on a minute-by-minute basis. We find that there are various 'species' of news,…
A deterministic trading strategy by a representative investor on a single market asset, which generates complex and realistic returns with its first four moments similar to the empirical values of European stock indices, is used to simulate…
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…
This paper provides a holistic study of how stock prices vary in their response to financial disclosures across different topics. Thereby, we specifically shed light into the extensive amount of filings for which no a priori categorization…
Stock price prediction is a complicated and interesting task. Noisy trends make stock pricing sensitive and complicated while the economical motivation behind, keeps it interesting for researchers and investors. In this paper we are to…
In modern financial markets, news plays a critical role in shaping investor sentiment and influencing stock price movements. However, most existing studies aggregate daily news sentiment into a single score, potentially overlooking…
In many important systems exhibiting crackling noise --- intermittent avalanche-like relaxation response with power-law and, thus, self-similar distributed event sizes --- the "laws" for the rate of activity after large events are not…
The phenomenon of explosive synchronization, which originates from hypersensitivity to small perturbation caused by some form of frustration prevailed in various physical and biological systems, has been shown to lead events of cascading…
Equity markets have long been regarded as unpredictable, with intraday price movements treated as stochastic noise. This study challenges that view by introducing the Extended Samuelson Model (ESM), a natural science-based framework that…
This note outlines a method for clustering time series based on a statistical model in which volatility shifts at unobserved change-points. The model accommodates some classical stylized features of returns and its relation to GARCH is…
A new experiment measuring the dynamical response of the Internet population to a ``point-like'' perturbation has been performed. The nature of the perturbation was that of an announcement, specifically a web-interview on stock market…