Related papers: Correlations in the Bond-Future Market
We apply the Continuous Time Random Walk (CTRW) framework, introduced in finance by Scalas et al., to the analysis of the probability distribution of time intervals between two consecutive trades in the case of BTP futures prices traded at…
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 complement the theory of tick-by-tick dynamics of financial markets based on a Continuous-Time Random Walk (CTRW) model recently proposed by Scalas et al., and we point out its consistency with the behaviour observed in the waiting-time…
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…
Lead-lag relationships, integral to market dynamics, offer valuable insights into the trading behavior of high-frequency traders (HFTs) and the flow of information at a granular level. This paper investigates the lead-lag relationships…
Report presents analysis of empirical distribution of future returns of bitcoin (BTC) from BTUSD inverse option prices. Logistic pdf is chosen as underlying distribution to fit option prices. The result is satisfactory and suggests that…
We report empirical evidences on the existence of a conditional dynamics driving the evolution of financial assets which is found in several markets around the world and for different historical periods. In particular, we have analyzed the…
We apply the formalism of the continuous time random walk (CTRW) theory to financial tick data of the bond futures transacted in Korean Futures Exchange (KOFEX) market. For our case, the tick dynamical behaviors of the returns and…
In the present work we investigate the multiscale nature of the correlations for high frequency data (1 minute) in different futures markets over a period of two years, starting on the 1st of January 2003 and ending on the 31st of December…
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market…
We model financial transactions as random walks on activity-driven temporal networks. By enforcing fund conservation, our framework analytically derives heavy-tailed distributions for the stationary balances and transaction sizes.…
We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. By means of techniques borrowed from statistical physics we show that the correlation among bonds depends strongly on the maturity and…
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…
The analysis of logarithmic return distributions defined over large time scales is crucial for understanding the long-term dynamics of asset price movements. For large time scales of the order of two trading years, the anticipated Gaussian…
We study the various sectors of the Bombay Stock Exchange(BSE) for a period of 8 years from April 2006 - March 2014. Using the data of daily returns of a period of eight years we make a direct model free analysis of the pattern of the…
We analyze the price return distributions of currency exchange rates, cryptocurrencies, and contracts for differences (CFDs) representing stock indices, stock shares, and commodities. Based on recent data from the years 2017--2020, we model…
A novel version of the Continuous-Time Random Walk (CTRW) model with memory is developed. This memory means the dependence between arbitrary number of successive jumps of the process, while waiting times between jumps are considered as…
This article presents an empirical study of thirteen derivative markets for commodity and financial assets. It compares the statistical properties of futures contracts's daily returns at different maturities, from 1998 to 2010 and for…
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock…
Continuous time random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporating a random waiting time between particle jumps. In finance, the particle jumps are log-returns and the waiting times measure delay between…