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We propose and study a simple model of dynamical redistribution of capital in a diversified portfolio. We consider a hypothetical situation of a portfolio composed of N uncorrelated stocks. Each stock price follows a multiplicative random…
Free probability provides a framework for describing correlations between non-commuting observables in complex quantum systems whose Hilbert-space states follow maximum-entropy distributions. We examine the robustness of this framework…
Regarding the intraday sequence of high frequency returns of the S&P index as daily realizations of a given stochastic process, we first demonstrate that the scaling properties of the aggregated return distribution can be employed to define…
Price without transaction makes no sense. Trading volume authenticates its corresponding price, so there exist mutual information and correlation between price and trading volume. We are curious about fractal features of this correlation…
Several studies have shown that large changes in the returns of an asset are associated with the sized of the gaps present in the order book In general, these associations have been studied without explicitly considering the dynamics of…
This study introduces the concept of the forking effect in the cryptocurrency market,specifically focusing on the impact of forking events on bitcoin, also called parent coin.We use a modified exponential GARCH model to examine the…
The aim of this paper is to analyse the Bitcoin in order to shed some light on its nature and behaviour. We select 9 cryptocurrencies that account for almost 75\% of total market capitalisation and compare their evolution with that of a…
Distance correlation coefficient (DCC) can be used to identify new associations and correlations between multiple variables. The distance correlation coefficient applies to variables of any dimension, can be used to determine smaller sets…
We consider the zero-dimensional O(N) vector model as a simple example to calculate n-point correlation functions using perturbation theory, the large-N expansion, and the functional renormalization group (FRG). Comparing our findings with…
A variety of correlations are detected in the Monero blockchain. The joint distribution of the time-since-last-transaction between elements of pairs of RingCTs is enhanced in comparison with the product of the marginal distributions.…
The cryptocurrency market presents both significant investment opportunities and higher risks relative to traditional financial assets. This study examines the tail behavior of daily returns for two leading cryptocurrencies, Bitcoin and…
This paper shows that Bitcoin is not correlated to a general uncertainty index as measured by the Google Trends data of Castelnuovo and Tran (2017). Instead, Bitcoin is linked to a Google Trends attention measure specific for the…
This paper analyzes correlations in patterns of trading of different members of the London Stock Exchange. The collection of strategies associated with a member institution is defined by the sequence of signs of net volume traded by that…
This study examines the weak form of the efficient market hypothesis for Bitcoin using a feedforward neural network. Due to the increasing popularity of cryptocurrencies in recent years, the question has arisen, as to whether market…
Let $X$, $Y$ be two correlated discrete random variables. We consider an estimation of $X$ from encoded data $\varphi(Y)$ of $Y$ by some encoder function $\varphi(Y)$. We derive an inequality describing a relation of the correct probability…
We study the cross-correlations in stock price changes between the S&P 500 companies by introducing a weighted random graph, where all vertices (companies) are fully connected, and each edge is weighted. The weight assigned to each edge is…
In finance, Random Matrix Theory (RMT) is an important tool for filtering out noise from large datasets, revealing true correlations among stocks, enhancing risk management and portfolio optimization. In this study, we use RMT to filter out…
In recent years, the tendency of the number of financial institutions including cryptocurrencies in their portfolios has accelerated. Cryptocurrencies are the first pure digital assets to be included by asset managers. Although they have…
When network products and services become more valuable as their userbase grows (network effects), this tendency can become a major determinant of how they compete with each other in the market and how the market is structured. Network…
In this report, we talked about a new quantitative strategy for choosing the optimal(s) stock(s) to trade. The basic notions are generally very known by the financial community. The key here is to understand 1) the standard score applied to…