Related papers: Quantifying dynamics of the financial correlations

Discrete dynamics arise naturally in systems with broken temporal translation symmetry and are typically described by first-order recurrence relations representing classical or quantum Markov chains. When memory effects induced by hidden…

This paper introduces a unified theoretical framework for modeling temporal memory dynamics, combining concepts from temporal logic, memory decay models, and hierarchical contexts. The framework formalizes the evolution of propositions over…

The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of…

For the London Stock Exchange we demonstrate that the signs of orders obey a long-memory process. The autocorrelation function decays roughly as $\tau^{-\alpha}$ with $\alpha \approx 0.6$, corresponding to a Hurst exponent $H \approx 0.7$.…

One of the standardized features of financial data is that log-returns are uncorrelated, but absolute log-returns or their squares namely the fluctuating volatility are correlated and is characterized by heavy tailed in the sense that some…

We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…

We investigate Wiener-transformable markets, where the driving process is given by an adapted transformation of a Wiener process. This includes processes with long memory, like fractional Brownian motion and related processes, and, in…

In dealing with high-dimensional data sets, factor models are often useful for dimension reduction. The estimation of factor models has been actively studied in various fields. In the first part of this paper, we present a new approach to…

For many externally driven complex systems neither the noisy driving force, nor the internal dynamics are a priori known. Here we focus on systems for which the time dependent activity of a large number of components can be monitored,…

In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted indexed…

In this paper we will try to assess the multifractality displayed by the high-frequency returns of Madrid's Stock Exchange IBEX35 index. A Multifractal Detrended Fluctuation Analysis shows that this index has a wide singularity spectrum…

Fluctuations in stock prices are influenced by a complex interplay of factors that go beyond mere historical data. These factors, themselves influenced by external forces, encompass inter-stock dynamics, broader economic factors, various…

We use techniques from network science to study correlations in the foreign exchange (FX) market over the period 1991--2008. We consider an FX market network in which each node represents an exchange rate and each weighted edge represents a…

Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…

We extend the kinematic matrix ("kinematrix") formalism [Phys. Rev. E 89, 062304 (2014)], which via simple matrix algebra accesses ensemble properties of self-propellers influenced by uncorrelated noise, to treat Gaussian correlated noises.…

The effect of short-term and long-term memory on spontaneous aggregation of organisms is investigated using a stochastic agent-based model. Each individual modulates the amplitude of its random motion according to the perceived local…

The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…

The concept of states of financial markets based on correlations has gained increasing attention during the last 10 years. We propose to retrace some important steps up to 2018, and then give a more detailed view of recent developments that…

We start with the idea that open quantum systems can be used to represent financial markets by modelling events from the external environment and their impact on the market price. We show how to characterize distinct orbits of the time…

We study synthetic temporal networks whose evolution is determined by stochastically evolving node variables - synthetic analogues of, e.g., temporal proximity networks of mobile agents. We quantify the long-timescale correlations of these…