Related papers: Decomposing the stock market intraday dynamics
A simple Hawkes model have been developed for the price tick structure dynamics incorporating market microstructure noise and trade clustering. In this paper, the model is extended with random mark to deal with more realistic price tick…
We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…
Temporal networks model how the interaction between elements in a complex system evolve over time. Just like complex systems display collective dynamics, here we interpret temporal networks as trajectories performing a collective motion in…
We introduce a particular construction of an autocorrelation matrix of a time series and its analysis based on the random-matrix theory ideas that is capable of unveiling the type of correlations information which is inaccessible to the…
We propose a stochastic process for stock movements that, with just one source of Brownian noise, has an instantaneous volatility that rises from a type of statistical feedback across many time scales. This results in a stationary…
Price fluctuations in financial markets can be characterized by L\'evy's stable distribution, which is supported by the generalized central limit system. When the stable parameters were estimated from four different stock markets in long…
Understanding the mutual relationships between information flows and social activity in society today is one of the cornerstones of the social sciences. In financial economics, the key issue in this regard is understanding and quantifying…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
Understanding the relationship between complexity and stability in large dynamical systems -- such as ecosystems -- remains a key open question in complexity theory which has inspired a rich body of work developed over more than fifty…
By applying the multifractal detrended fluctuation analysis to the high-frequency tick-by-tick data from Deutsche B\"orse both in the price and in the time domains, we investigate multifractal properties of the time series of logarithmic…
We identify a robust structural signature of stock markets during exogenous shock events by analyzing collective return dynamics across G5 countries. Using Random Matrix Theory, we introduce the complexity gap, defined as the difference…
As described in this paper, we study market-wide price co-movements around crashes by analyzing a dataset of high-frequency stock returns of the constituent issues of Nikkei 225 Index listed on the Tokyo Stock Exchange for the three years…
This paper studies the time-varying structure of the equity market with respect to market capitalization. First, we analyze the distribution of the 100 largest companies' market capitalizations over time, in terms of inequality,…
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price…
We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. In the model synchronization effects, which generate large fluctuations in returns, can arise either from an…
We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets belonging to Daubechies basis. The fact…
In this paper we compare market price fluctuations with the response to fundamental price drops within the Lux-Marchesi model which is able to reproduce the most important stylized facts of real market data. Major differences can be…
In addressing the question of the time scales characteristic for the market formation, we analyze high frequency tick-by-tick data from the NYSE and from the German market. By using returns on various time scales ranging from seconds or…
Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…
Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average <f(i)>: sigma(i) ~ f(i)^alpha, with a strong time scale dependence alpha(dt). The…