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This paper models stochastic process of price time series of CSI 300 index in Chinese financial market, analyzes volatility characteristics of intraday high-frequency price data. In the new generalized Barndorff-Nielsen and Shephard model,…
The intersection of social media, low-cost trading platforms, and naive investors has created an ideal situation for information-based market manipulations, especially pump&dumps. Manipulators accumulate small-cap stocks, disseminate false…
Lead/lag relationships are an important stylized fact at high frequency. Some assets follow the path of others with a small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric…
Following a Geometrical Brownian Motion extension into an Irrational Fractional Brownian Motion model, we re-examine agent behaviour reacting to time dependent news on the log-returns thereby modifying a financial market evolution. We…
We study how a coupled array of spiking chaotic systems synchronizes to an external driving in a short time. Synchronization means spike separation at adjacent sites much shorter than the average inter-spike interval; a local lack of…
Recent work has established an empirically successful framework for adapting learning rates for stochastic gradient descent (SGD). This effectively removes all needs for tuning, while automatically reducing learning rates over time on…
Analyzing a comprehensive news dataset, we document that joint news coverage triggers attention contagion, causing temporarily inflated valuations for affected stocks. Tracing SEC EDGAR visits from unique IPs, we provide direct evidence of…
Stock market prediction is one of the most attractive research topic since the successful prediction on the market's future movement leads to significant profit. Traditional short term stock market predictions are usually based on the…
Predicting the intraday stock jumps is a significant but challenging problem in finance. Due to the instantaneity and imperceptibility characteristics of intraday stock jumps, relevant studies on their predictability remain limited. This…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…
Exchanges implement intentional trade delays to limit the harmful impact of low-latency trading. Do such "speed bumps" curb investment in fast trading technology? Data is scarce since trading technologies are proprietary. We build an…
This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations consistent with observed business cycles. To this end, we…
A key feature of the classical Fluctuation Dissipation theorem is its ability to approximate the average response of a dynamical system to a sufficiently small external perturbation from an appropriate time correlation function of the…
Since the beginning of the new millennium, stock markets went through every state from long-time troughs, trade suspensions to all-time highs. The literature on asset pricing hence assumes random processes to be underlying the movement of…
The functional significance of correlations between action potentials of neurons is still a matter of vivid debates. In particular it is presently unclear how much synchrony is caused by afferent synchronized events and how much is…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
Modelling accurately financial price variations is an essential step underlying portfolio allocation optimization, derivative pricing and hedging, fund management and trading. The observed complex price fluctuations guide and constraint our…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
Spontaneous formation of clusters of synchronized spiking in a structureless ensemble of equal stochastically perturbed excitable neurons with delayed coupling is demonstrated for the first time. The effect is a consequence of a subtle…
We quantify the dynamical implications of the small-world phenomenon. We consider the generic synchronization of oscillator networks of arbitrary topology, and link the linear stability of the synchronous state to an algebraic condition of…