Related papers: Dynamical Volatilities for Yen-Dollar Exchange Rat…
According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations…
We consider the discrete time unitary dynamics given by a quantum walk on $\Z^d$ performed by a particle with internal degree of freedom, called coin state, according to the following iterated rule: a unitary update of the coin state takes…
We present a detailed study on the mean first-passage time of volatility processes. We analyze the theoretical expressions based on the most common stochastic volatility models along with empirical results extracted from daily data of major…
This paper gives various asymptotic formulae for the transition probability associated with discrete time quantum walks on the real line. The formulae depend heavily on the `normalized' position of the walk. When the position is in the…
One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We introduce a technique to measure the available information and…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
We introduce the Peierls substitution to a two-dimensional discrete-time quantum walk on a square lattice to examine the spreading dynamics and the coin-position entanglement in the presence of an artificial gauge field. We use the ratio of…
We use simple deterministic dynamical systems as coins in studying quantum walks. These dynamical systems can be chosen to display, in the classical limit, a range of behaviors from the integrable to chaotic, or deterministically random. As…
An expanding literature articulates the view that Taylor rules are helpful in predicting exchange rates. In a changing world however, Taylor rule parameters may be subject to structural instabilities, for example during the Global Financial…
Let $S$ be the random walk obtained from "coin turning" with some sequence $\{p_n\}_{n\ge 1}$, as introduced in [6]. In this paper we investigate the scaling limits of $S$ in the spirit of the classical Donsker invariance principle, both…
We study the distributions of money in a simple closed economic system for different types of monetary transactions. We know that for arbitrary and random sharing but locally conserving money transactions, the money distribution goes to the…
We introduce a novel random walk model that emerges in the event-chain Monte Carlo (ECMC) of spin systems. In the ECMC, the lifting variable specifying the spin to be updated changes its value to one of its interacting neighbor spins. This…
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 study the temporal evolution of the holding-time distribution of bitcoins and find that the average distribution of holding-time is a heavy-tailed power law extending from one day to over at least $200$ weeks with an exponent…
Directional-change Intrinsic Time analysis has long revealed scaling laws in market microstructure, but the origin of their stability remains elusive. This article presents evidence that Intrinsic Time can be modeled as a memoryless…
This paper is intended as an investigation of the statistical properties of {\it absolute log-returns}, defined as the absolute value of the logarithmic price change, for the Nikkei 225 index in the 28-year period from January 4, 1975 to…
We analyze the multifractal spectra of daily foreign exchange rates for Japan, Hong-Kong, Korea, and Thailand with respect to the United States Dollar from 1991 to 2005. We find that the return time series show multifractal spectrum…
We consider the discrete time unitary dynamics given by a quantum walk on the lattice $\Z^d$ performed by a quantum particle with internal degree of freedom, called coin state, according to the following iterated rule: a unitary update of…