Related papers: Sluggish news reactions: A combinatorial approach …
Analyzing stocks and making higher accurate predictions on where the price is heading continues to become more and more challenging therefore, we designed a new financial algorithm that leverages social media sentiment analysis to enhance…
Adaptive dynamical networks are ubiquitous in real-world systems. This paper aims to explore the synchronization dynamics in networks of adaptive oscillators based on a paradigmatic system of adaptively coupled phase oscillators. Our…
This paper aims at designing the different important components of a semi-closed simulated stock market (pricing mechanism, stock allocation and news generation). The purpose is to understand the interactions of the different aspects within…
Spontaneous synchronization is a general phenomenon in which a large population of coupled oscillators of diverse natural frequencies self-organize to operate in unison. The phenomenon occurs in physical and biological systems over a wide…
Considered an important macroeconomic indicator, the Purchasing Managers' Index (PMI) on Manufacturing generally assumes that PMI announcements will produce an impact on stock markets. International experience suggests that stock markets…
In an Ultrafast Extreme Event (or Mini Flash Crash), the price of a traded stock increases or decreases strongly within milliseconds. We present a detailed study of Ultrafast Extreme Events in stock market data. In contrast to popular…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
We provide a general probabilistic framework within which we establish scaling limits for a class of continuous-time stochastic volatility models with self-exciting jump dynamics. In the scaling limit, the joint dynamics of asset returns…
We note a simple mechanism that may at least partially resolve several outstanding economic puzzles, including why the cyclically adjusted price to earnings ratio of the S&P 500 index has been oddly high for the past two decades, why gains…
Reflecting boundary conditions cause two one-dimensional random walks to synchronize if a common direction is chosen in each step. The mean synchronization time and its standard deviation are calculated analytically. Both quantities are…
We test the hypothesis that consecutive intraday price changes in the most liquid U.S. equity ETF (SPY) are conditionally nonrandom. Using NBBO event-time data for about 1,500 regular trading days, we form for every lag L ordered pairs of a…
In this paper, we are interested in continuous time models in which the index level induces some feedback on the dynamics of its composing stocks. More precisely, we propose a model in which the log-returns of each stock may be decomposed…
To understand the relationship between news sentiment and company stock price movements, and to better understand connectivity among companies, we define an algorithm for measuring sentiment-based network risk. The algorithm ranks companies…
It is reported that financial news, especially financial events expressed in news, provide information to investors' long/short decisions and influence the movements of stock markets. Motivated by this, we leverage financial event streams…
We analyze the interaction between stock prices of big companies in the USA and Germany using Granger Causality. We claim that the increase in pair-wise Granger causality interaction between prices in the times of crisis is the consequence…
This paper investigates the effects of the "uptick rule" (a short selling regulation formally known as rule 10a-1) by means of a simple stock market model, based on the ARED (adaptive rational equilibrium dynamics) modeling framework, where…
Sharp changes in time series representing market dynamics are studied by means of the self--similar analysis suggested earlier by the authors. These sharp changes are market booms and crashes. Such crises phenomena in markets are analogous…
We develop a novel observation-driven model for high-frequency prices. We account for irregularly spaced observations, simultaneous transactions, discreteness of prices, and market microstructure noise. The relation between trade durations…
Financial data are as a rule asymmetric, although most econometric models are symmetric. This applies also to continuous-time models for high-frequency and irregularly spaced data. We discuss some asymmetric versions of the continuous-time…
Adaptive dynamical networks are network systems in which the structure co-evolves and interacts with the dynamical state of the nodes. We study an adaptive dynamical network in which the structure changes on a slower time scale relative to…