Related papers: Stock Market Scale by Artificial Insymmetrised Pat…
In this paper the diffusion entropy technique is applied to investigate the scaling behavior of financial markets. The scaling behaviors of four representative stock markets, Dow Jones Industrial Average, Standard&Poor 500, Heng Seng Index,…
We present the clustering analysis of the financial markets of S&P 500 (USA) and Nikkei 225 (JPN) markets over a period of 2006-2019 as an example of a complex system. We investigate the statistical properties of correlation matrices…
A market model in Stochastic Portfolio Theory is a finite system of strictly positive stochastic processes. Each process represents the capitalization of a certain stock. If at any time no stock dominates almost the entire market, which…
The presence of log-periodic structures before and after stock market crashes is considered to be an imprint of an intrinsic discrete scale invariance (DSI) in this complex system. The fractal framework of the theory leaves open the…
Providing a measure of market risk is an important issue for investors and financial institutions. However, the existing models for this purpose are per definition symmetric. The current paper introduces an asymmetric capital asset pricing…
We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability distribution of the log return for Standard and Poor's 500…
We present an analysis of the time behavior of the $S\&P500$ (Standard and Poors) New York stock exchange index before and after the October 1987 market crash and identify precursory patterns as well as aftershock signatures and…
Complex systems comprise a large number of interacting elements, whose dynamics is not always a priori known. In these cases -- in order to uncover their key features -- we have to turn to empirical methods, one of which was recently…
Given financial data from popular sites like Yahoo and the London Exchange, the presented paper attempts to model and predict stocks that can be considered "good investments". Stocks are characterized by 125 features ranging from gross…
A spring-block chain placed on a running conveyor belt is considered for modeling stylized facts observed in the dynamics of stock indexes. Individual stocks are modeled by the blocks, while the stock-stock correlations are introduced via…
We investigate sets of financial non-redundant and nonsynchronously recorded time series. The sets are composed by a number of stock market indices located all over the world in five continents. By properly selecting the time horizon of…
We pose the estimation and predictability of stock market performance. Three cases are taken: US, Japan, Germany, the monthly index of the value of realized investment in stocks, prices plus the value of dividend payments (OECD data). Once…
We exploit a continuous time random walk description of stock prices to obtain a fast and accurate evaluation of their volatility from intraday data. We show that financial markets are usefully described as open physical systems. Indeed we…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using…
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,…
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…
This paper investigates the dynamics of in the S&P500 index from daily returns for the last 30 years. Using a stochastic geometry technique, each S&P500 yearly batch of data is embedded in a subspace that can be accurately described by a…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…