Related papers: Information and Stock Prices: A Simple Introductio…
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…
In earlier studies, the estimation of the volatility of a stock using information on the daily opening, closing, high and low prices has been developed; the additional information in the high and low prices can be incorporated to produce…
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical…
The stock market is a network which provides a platform for almost all major economic transactions. While investing in the stock market is a good idea, investing in individual stocks may not be, especially for the casual investor. Smart…
Connections appear to be helpful in many contexts, such as obtaining a job, a promotion, a grant, a loan, or publishing a paper. This may be due either to favoritism or to information conveyed by connections. Attempts at identifying both…
It seems to be very unlikely that all relevant information in the stock market could be fully encoded in a geometrical shape. Still,the present paper will reveal the geometry behind the stock market transactions. The prices of market index…
This paper consists of two parts. In the first part, we develop a new information theory, in which it is not a coincidence that information and physical entropy share the same mathematical formula. It is an adaptation of mind to help search…
We study an option pricing framework that accounts for the price impact of an earnings announcement (EA), and analyze the behavior of the implied volatility surface prior to the event. On the announcement date, we incorporate a random jump…
Hierarchical analysis is considered and a multilevel model is presented in order to explore causality, chance and complexity in financial economics. A coupled system of models is used to describe multilevel interactions, consistent with…
This study looks into employees' communication, offering novel metrics which can help to predict a company's stock price. We studied the intranet forum of a large Italian company, exploring the interactions and the use of language of about…
This paper provides a holistic study of how stock prices vary in their response to financial disclosures across different topics. Thereby, we specifically shed light into the extensive amount of filings for which no a priori categorization…
We investigate the relationship between social media, Twitter in particular, and stock market. We provide an in-depth analysis of the Twitter volume and sentiment about the 30 companies in the Dow Jones Industrial Average index, over a…
A simple Ising spin model which can describe the mechanism of price formation in financial markets is proposed. In contrast to other agent-based models, the influence does not flow inward from the surrounding neighbors to the center site,…
Predicting stock prices from textual information is a challenging task due to the uncertainty of the market and the difficulty understanding the natural language from a machine's perspective. Previous researches focus mostly on sentiment…
Stock price movement prediction is a challenging and essential problem in finance. While it is well established in modern behavioral finance that the share prices of related stocks often move after the release of news via reactions and…
Predicting stock market is vital for investors and policymakers, acting as a barometer of the economic health. We leverage social media data, a potent source of public sentiment, in tandem with macroeconomic indicators as…
A property of data which is common across a wide range of instruments, markets and time periods is known as stylized empirical fact in the financial statistics literature. This paper first presents a wide range of stylized facts studied in…
Associating stock mechanics to real economy, in terms of volume, number of transactions, and cost, i.e. money flow for shares, we obtained the fundamental laws of stock mechanics.
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
A dangerously brief history of the developments of the main ideas in economics, as observed by a physicist, is given. This was published in 'Econophysics of Stock and Other Markets', Eds. A. Chatterjee, B. K. Chakrabarti, New Economic…