Related papers: Quantifying dynamics of the financial correlations
We consider the evolution of logistic maps under long-term memory. The memory effects are characterized by one parameter \alpha. If it equals to zero, any memory is absent. This leads to the ordinary discrete dynamical systems. For \alpha =…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
This study attempts to investigate into the structure and features of global equity markets from a time-frequency perspective. An analysis grounded on this framework allows one to capture information from a different dimension, as opposed…
Financial markets provide an ideal frame for the study of crossing or first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures markets are herein considered…
The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Transform to calculate correlation matrices…
It is widely accepted that there is strong persistence in the volatility of financial time series. The origin of the observed persistence, or long-range memory, is still an open problem as the observed phenomenon could be a spurious effect.…
Multi-Agent Reinforcement Learning involves agents that learn together in a shared environment, leading to emergent dynamics sensitive to initial conditions and parameter variations. A Dynamical Systems approach, which studies the evolution…
We develop a framework especially suited to the autocorrelation properties observed in financial times series, by borrowing from the physical picture of turbulence. The success of our approach as applied to high frequency foreign exchange…
Our experience of web access slowing down is a consequence of the aggregated web access pattern of web users. This is just one example among several human oriented services which are strongly affected by human activity patterns. Recent…
Complex systems are usually non-stationary and their dynamics is often dominated by collective effects. Collectivity, defined as coherent motion of the whole system or of some of its parts, manifests itself in the time-dependent structures…
A new methodology has been introduced to clean the correlation matrix of single stocks returns based on a constrained principal component analysis using financial data. Portfolios were introduced, namely "Fundamental Maximum Variance…
In this paper we discuss a concept of dynamic memory and an application of fractional calculus to describe the dynamic memory. The concept of memory is considered from the standpoint of economic models in the framework of continuous time…
Using Betfair's time series data, an analysis of the United Kingdom (UK) horse racing market reveals an interesting paradox: a market with short tails, rapidly decaying autocorrelations, and no long-term memory. There seems to be a…
The idea that memory behavior relies on a gradually-changing internal state has a long history in mathematical psychology. This chapter traces this line of thought from statistical learning theory in the 1950s, through distributed memory…
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…
We analyze the daily stock data of the Nasdaq Composite index in the 22-year period 1992-2013 and identify market states as clusters of correlation matrices with similar correlation structures. We investigate the stability of the…
Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…
It is shown that due to memory effects the complex behaviour of components in a stochastic system can be transmitted to macroscopic evolution of the system as a whole. Within the Markov approximation widely using in ordinary statistical…
This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval {\Delta} results in…
Understanding the statistical dynamics of growth and inequality is a fundamental challenge to ecology and society. Recent analyses of wealth and income dynamics in contemporary societies show that economic inequality is very dynamic and…