Related papers: Quantifying dynamics of the financial correlations
Understanding the statistical properties of recurrence intervals of extreme events is crucial to risk assessment and management of complex systems. The probability distributions and correlations of recurrence intervals for many systems have…
The unraveling of open quantum system dynamics in terms of stochastic quantum trajectories offers a picture of open system dynamics that consistently considers memory effects stemming from the finite correlation time of environment…
We address the attribution problem for apparent slow collective dynamics: is the observed persistence intrinsic, or inherited from a persistent driver? For the leading eigenvalue fraction $\psi_1=\lambda_{\max}/N$ of S\&P 500 60-day rolling…
Memory effects in time-series of experimental observables are ubiquitous, have important cosequences for the interpretation of kinetic data, and may even affect the function of biomolecular nanomachines such as enzymes. Here we propose a…
This paper investigates a new formalism to describe real time evolution of quantum systems at finite temperature. A time correlation function among subsystems will be derived which allows for a probabilistic interpretation. Our derivation…
The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps…
We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail, while the short-time return distribution…
We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this…
The correlation matrix is the key element in optimal portfolio allocation and risk management. In particular, the eigenvectors of the correlation matrix corresponding to large eigenvalues can be used to identify the market mode, sectors and…
The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the limit order book data and order flows of 23…
Environmental data often take the form of a collection of curves observed sequentially over time. An example of this includes daily pollution measurement curves describing the concentration of a particulate matter in ambient air. These…
This paper proposes an empirical test of financial contagion in European equity markets during the tumultuous period of 2008-2011. Our analysis shows that traditional GARCH and Gaussian stochastic-volatility models are unable to explain two…
We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual markets shows the power-law tail of the…
This letter revisits the informational efficiency of the Bitcoin market. In particular we analyze the time-varying behavior of long memory of returns on Bitcoin and volatility 2011 until 2017, using the Hurst exponent. Our results are…
This paper investigates short-term behaviors of implied volatility of derivatives written on indexes in equity markets when the index processes are constructed by using a ranking procedure. Even in simple market settings where stock prices…
We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized regression techniques to flexibly identify changes in…
In financial time series there are periods in which the value increases or decreases monotonically. We call those periods elemental trends and study the probability distribution of their duration for the indices DJIA, NASDAQ and IPC. It is…
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold $q$ for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can…
Previous research explored various conditions of financial markets based on the similarity of correlation structures and classified as market states. We introduce modifications to previous selection criteria for these market states, mainly…
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…