Related papers: Dynamical Volatilities for Yen-Dollar Exchange Rat…
We discuss spreading estimates for dynamical systems given by the iteration of an extended CMV matrix. Using a connection due to Cantero--Gr\"unbaum--Moral--Vel\'azquez, this enables us to study spreading rates for quantum walks in one…
Our previous research has confirmed that the USD/JPY rate tends to rise toward 9:55 every morning in the Gotobi days, which are divisible by five. This is called the Gotobi anomaly. In the present study, we verify the possible trading…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…
Stock price changes occur through transactions, just as diffusion in physical systems occurs through molecular collisions. We systematically explore this analogy and quantify the relation between trading activity - measured by the number of…
While the investors' responses to price changes and their price forecasts are well accepted major factors contributing to large price fluctuations in financial markets, our study shows that investors' heterogeneous and dynamic risk aversion…
A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time thermal bath dynamics, similar to random Ising systems. The interactions between agents change…
Anomalous transport in tilted periodic potentials is investigated within the framework of the fractional Fokker-Planck dynamics and the underlying continuous time random walk. The analytical solution for the stationary, anomalous current is…
We have studied the diffusion of a single particle on a one-dimensional lattice. It is shown that, for a self-similar distribution of hopping rates, the time dependence of the mean-square displacement follows an anomalous power law…
The multifractal spectra of daily foreign exchange rates for US dollar (USD), the British Pound (GBP), the Euro (Euro) and the Japanese Yen (Yen) with respect to the Indian Rupee are analysed for the period 6th January 1999 to 24th July…
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…
This paper empirically analyses risk in the Euro relative to other currencies. Comparisons are made between a sub period encompassing the final transitional stage to full monetary union with a sub period prior to this. Stability in the face…
Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading,…
This paper is the first study to examine the time instability of the APT in the Japanese stock market. In particular, we measure how changes in each risk factor affect the stock risk premiums to investigate the validity of the APT over…
We consider the tail probabilities of stock returns for a general class of stochastic volatility models. In these models, the stochastic differential equation for volatility is autonomous, time-homogeneous and dependent on only a finite…
Quantization and asymptotic behaviour of a variant of discrete random walk on integers are investigated. This variant, the $\epsilon_{V^{k}}$ walk, has the novel feature that it uses many identical quantum coins keeping at the same time…
Motivated by various recent experimental findings, we propose a dynamical model of intermittently self-propelled particles: active particles that recurrently switch between two modes of motion, namely an active run-state and a turn state,…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
This paper reports empirical evidence that a neural networks model is applicable to the statistically reliable prediction of foreign exchange rates. Time series data and technical indicators such as moving average, are fed to neural nets to…
Quantum walks can reconstruct quantum algorithms for quantum computation, where the precise controls of quantum state transfers between arbitrary distant sites are required. Here, we investigate quantum walks using a periodically…
We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble returns and varieties defined respectively as the mean and the standard deviation of the ensemble daily price returns of…