Related papers: Scaling and correlation in financial data
It will be discussed the statistics of the extreme values in time series characterized by finite-term correlations with non-exponential decay. Precisely, it will be considered the results of numerical analyses concerning the return…
The observable outputs of many complex dynamical systems consist in time series exhibiting autocorrelation functions of great diversity of behaviors, including long-range power-law autocorrelation functions, as a signature of interactions…
Three aspects of time series are uncertainty (dispersion at a given time scale), scaling (time-scale dependence), and intermittency (inclination to change dynamics). Simple measures of dispersion are the mean absolute deviation and the…
We analyze the dynamics of models of warm inflation with general dissipative effects. We consider phenomenological terms both for the inflaton decay rate and for viscous effects within matter. We provide a classification of the asymptotic…
While the use of volatilities is pervasive throughout finance, our ability to determine the instantaneous volatility of stocks is nascent. Here, we present a method for measuring the temporal behavior of stocks, and show that stock prices…
We studied phase separation in a particle interacting system under a large drive along x. We here identify the basic growth mechanisms, and demonstrate time self-similarity, finite-size scaling, as well as other interesting features of both…
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold $q$ for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can…
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation functions of absolute returns is actually…
We investigate the coarsening kinetics of an XY model defined on a square lattice when the underlying dynamics is governed by energy-conserving Hamiltonian equation of motion. We find that the apparent super-diffusive growth of the length…
We present a unified view of finite-size scaling (FSS) in dimension d above the upper critical dimension, for both free and periodic boundary conditions. We find that the modified FSS proposed some time ago to allow for violation of…
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…
The dynamics of linear stochastic growth equations on growing substrates is studied. The substrate is assumed to grow in time following the power law $t^\gamma$, where the growth index $\gamma$ is an arbitrary positive number. Two different…
In practice, the value-at-risk (VaR) for a longer holding period is often scaled using the 'square root of time rule'. The VaR is determined for a shorter holding period and then scaled up according to the desired holding period. For…
We demonstrate that the gain/loss asymmetry observed for stock indices vanishes if the temporal dependence structure is destroyed by scrambling the time series. We also show that an artificial index constructed by a simple average of a…
Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultra-high frequency order book data from NASDAQ Nordic over a period of…
The quantitative analysis of financial time series often reveals two distinct features that standard Gaussian frameworks fail to capture: heavy-tailed marginal distributions and the phenomenon of extreme co-movements.While extreme value…
For many externally driven complex systems neither the noisy driving force, nor the internal dynamics are a priori known. Here we focus on systems for which the time dependent activity of a large number of components can be monitored,…
Time and Sales of corn futures traded electronically on the CME Group Globex are studied. Theories of continuous prices turn upside down reality of intra-day trading. Prices and their increments are discrete and obey lattice probability…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
A new approach is presented to describe the change in the statistics of the log return distribution of financial data as a function of the timescale. To this purpose a measure is introduced, which quantifies the distance of a considered…