Related papers: Recurrence Plot and Recurrence Quantification Anal…
Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new methodology to test how this model classifies 9…
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…
The dynamical evolution of multiscaling in financial time series is investigated using time-dependent Generalized Hurst Exponents (GHE), $H_q$, for various values of the parameter $q$. Using $H_q$, we introduce a new visual methodology to…
The aim of this paper is to compare statistical properties of a bubble period with those of the anti-bubble period in stock markets. We investigate the statistical properties of daily data for the Nikkei 225 index in the 28-year period from…
Stylized facts of empirical assets log-returns $Z$ include the existence of (semi) heavy tailed distributions $f_Z(z)$ and a non-linear spectrum of Hurst exponents $\tau(\beta)$. Empirical data considered are daily prices of 10 large…
A wide range of approaches for batch processes monitoring can be found in the literature. This kind of process generates a very peculiar data structure, in which successive measurements of many process variables in each batch run are…
Robust principal component analysis (RPCA) is a widely used technique for recovering low-rank structure from matrices with missing entries and sparse, possibly large-magnitude corruptions. Although numerous algorithms achieve accurate point…
Quantitative trading is an integral part of financial markets with high calculation speed requirements, while no quantum algorithms have been introduced into this field yet. We propose quantum algorithms for high-frequency statistical…
The use of Association Rule Mining techniques in diverse contexts and domains has resulted in the creation of numerous interestingness measures. This, in turn, has motivated researchers to come up with various classification schemes for…
The method of recurrence plots is extended to the cross recurrence plots (CRP), which among others enables the study of synchronization or time differences in two time series. This is emphasized in a distorted main diagonal in the cross…
Financial markets can be seen as complex systems that are constantly evolving and sensitive to external disturbance, such as systemic risks and economic instabilities. Analysis of resilient market performance, therefore, becomes useful for…
The Random Phase and Amplitude Formalism (RPA) has significantly extended the scope of weak turbulence studies. Because RPA does not assume any proximity to the Gaussianity in the wavenumber space, it can predict, for example, how the…
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…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
We investigate the probability distributions of the recurrence intervals $\tau$ between consecutive 1-min returns above a positive threshold $q>0$ or below a negative threshold $q<0$ of two indices and 20 individual stocks in China's stock…
The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such…
We model spontaneous cortical activity with a network of coupled spiking units, in which multiple spatio-temporal patterns are stored as dynamical attractors. We introduce an order parameter, which measures the overlap (similarity) between…
Much research has been conducted arguing that tipping points at which complex systems experience phase transitions are difficult to identify. To test the existence of tipping points in financial markets, based on the alternating offer…
Recurrence determinism, one of the fundamental characteristics of recurrence quantification analysis, measures predictability of a trajectory of a dynamical system. It is tightly connected with the conditional probability that, given a…
We empirically analyze the reversion of financial market trends with time horizons ranging from minutes to decades. The analysis covers equities, interest rates, currencies and commodities and combines 14 years of futures tick data, 30…