Related papers: A model for correlations in stock markets
Starting from the observation of the real trading activity, we propose a model of a stockmarket simulating all the typical phases taking place in a stock exchange. We show that there is no need of several classes of agents once one has…
During a stock market peak the price of a given stock ($ i $) jumps from an initial level $ p_1(i) $ to a peak level $ p_2(i) $ before falling back to a bottom level $ p_3(i) $. The ratios $ A(i) = p_2(i)/p_1(i) $ and $ B(i)= p_3(i)/p_1(i)…
We discuss how minimal financial market models can be constructed by bridging the gap between two existing, but incomplete, market models: a model in which a population of virtual traders make decisions based on common global information…
Time-varying volatility is an inherent feature of most economic time-series, which causes standard correlation estimators to be inconsistent. The quadrant correlation estimator is consistent but very inefficient. We propose a novel…
How can graph theory be applied to investing in the stock market? The answer may help investors realize the true risks of their investments, help prevent recessions like that of 2008, and increase financial literacy amongst students. Using…
We investigate the spectral properties of chaotic quantum graphs. We demonstrate that the `energy'--average over the spectrum of individual graphs can be traded for the functional average over a supersymmetric non--linear $\sigma$--model…
Financial correlation matrices measure the unsystematic correlations between stocks. Such information is important for risk management. The correlation matrices are known to be ``noise dressed''. We develop a new and alternative method to…
We propose that a tree-like hierarchical structure represents a simple and effective way to model the emergent behaviour of financial markets, especially markets where there exists a pronounced intersection between social media influences…
Recent studies have revealed a number of striking dependence patterns in high frequency stock price dynamics characterizing probabilistic interrelation between two consequent price increments x (push) and y (response) as described by the…
In this dissertation two simple models of stock exchange are developed and simulated numerically. The first is characterized by centralized trading with a market maker. Unfortunately, this model is unable to generate realistic market…
We analyze daily prices of 29 commodities and 2449 stocks, each over a period of $\approx 15$ years. We find that the price fluctuations for commodities have a significantly broader multifractal spectrum than for stocks. We also propose…
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events.…
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…
We compare the statistical fluctuation properties of the baryon and meson experimental mass spectra with those obtained from theoretical models (quark models and lattice QCD). We find that for the experimental spectra the statistical…
Stock networks, constructed from stock price time series, are a well-established tool for the characterization of complex behavior in stock markets. Following Mantegna's seminal paper, the linear Pearson's correlation coefficient between…
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…
The use of intelligent systems for stock market predictions has been widely established. In this paper, we investigate how the seemingly chaotic behavior of stock markets could be well represented using several connectionist paradigms and…
We study correlations of a set of stocks selected from both the New York and London stock exchanges. Results are displayed using both Random Matrix Theory approach and the graphical visualisation of the Minimal Spanning Tree. For the set of…
We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather…
In this paper we compare market price fluctuations with the response to fundamental price drops within the Lux-Marchesi model which is able to reproduce the most important stylized facts of real market data. Major differences can be…