Related papers: Decomposing the stock market intraday dynamics
Based on the tick-by-tick price changes of the companies from the U.S. and from the German stock markets over the period 1998-99 we reanalyse several characteristics established by the Boston Group for the U.S. market in the period 1994-95,…
Neural signals are characterized by rich temporal and spatiotemporal dynamics that reflect the organization of cortical networks. Theoretical research has shown how neural networks can operate at different dynamic ranges that correspond to…
We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock…
Financial markets are highly correlated systems that reveal both the inter-market dependencies and the correlations among their different components. Standard analyzing techniques include correlation coefficients for pairs of signals and…
Detailed study of multifractal characteristics of the financial time series of asset values and of its returns is performed using a collection of the high frequency Deutsche Aktienindex data. The tail index ($\alpha$), the Renyi exponents…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
Time-varying volatility is an inherent feature of most economic time-series, which causes standard correlation estimators to be inconsistent. The quadrant correlation estimator is consistent but very inefficient. We propose a novel…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…
We study historical dynamics of joint equilibrium distribution of stock returns in the U.S. stock market using the Boltzmann distribution model being parametrized by external fields and pairwise couplings. Within Boltzmann learning…
We propose a group model for correlations in stock markets. In the group model the markets are composed of several groups, within which the stock price fluctuations are correlated. The spectral properties of empirical correlation matrices…
Financial markets are complex adaptive systems characterized by collective behavior and abrupt regime shifts, particularly during crises. This paper studies time-varying dependencies in Nordic equity markets and examines whether…
Financial markets have been extensively studied as highly complex evolving systems. In this paper, we quantify financial price fluctuations through a coupled dynamical system composed of phase oscillators. We find a Financial Coherence and…
We present a new method for articulating scale-dependent topological descriptions of the network structure inherent in many complex systems. The technique is based on "Partition Decoupled Null Models,'' a new class of null models that…
A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…
In the Cont-Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations. Rather than fixing the concentration controlling each…
The analysis of the intraday dynamics of correlations among high-frequency returns is challenging due to the presence of asynchronous trading and market microstructure noise. Both effects may lead to significant data reduction and may…
Fat tails in financial time series and increase of stocks cross-correlations in high volatility periods are puzzling facts that ask for new paradigms. Both points are of key importance in fundamental research as well as in Risk Management…
Understanding and forecasting changing market conditions in complex economic systems like the financial market is of great importance to various stakeholders such as financial institutions and regulatory agencies. Based on the finding that…
We analyze the spectral properties of correlation matrices between distinct statistical systems. Such matrices are intrinsically non symmetric, and lend themselves to extend the spectral analyses usually performed on standard Pearson…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…