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We study the multi-scale temporal correlations and causality connections between the New York Stock Exchange (NYSE) and Bombay Stock Exchange (BSE) monthly average closing price indexes for a period of 300 months, encompassing the time…
A recently developed wavelet based approach is employed to characterize the scaling behavior of spectral fluctuations of random matrix ensembles, as well as complex atomic systems. Our study clearly reveals anti-persistent behavior and…
We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…
This paper contributes to the literature on international stock market comovements and contagion. The novelty of our approach lies in application of wavelet tools to high-frequency financial market data, which allows us to understand the…
In this paper we have analyzed scaling properties of time series of stock market indices (SMIs) of developing economies of Western Balkans, and have compared the results we have obtained with the results from more developed economies. We…
There is a large body of work, built on tools developed in mathematics and physics, demonstrating that financial market prices exhibit self-similarity at different scales. In this paper, we explore the use of analytical topology to…
Volatility of intra-day stock market indices computed at various time horizons exhibits a scaling behaviour that differs from what would be expected from fractional Brownian motion (fBm). We investigate this anomalous scaling by using…
We introduce the wavelet scattering spectra which provide non-Gaussian models of time-series having stationary increments. A complex wavelet transform computes signal variations at each scale. Dependencies across scales are captured by the…
S&P 500 index data sampled at one-minute intervals over the course of 11.5 years (January 1989- May 2000) is analyzed, and in particular the Hurst parameter over segments of stationarity (the time period over which the Hurst parameter is…
Financial Times Series such as stock price and exchange rates are, often, non-linear and non-stationary. Use of decomposition models has been found to improve the accuracy of predictive models. The paper proposes a hybrid approach…
Large and stable indices of the world wide stock markets such as NYSE and SP 500 together with NASDAQ -- the index representing markets of new trends, and WIG -- the index of the local stock market of Eastern Europe, are considered. Due to…
Prior to adjustment, accounting conditions between national accounts data sets are frequently violated. Benchmarking is the procedure used by economic agencies to make such data sets consistent. It typically involves adjusting a high…
Researchers have used many different methods to detect the possibility of long-term dependence (long memory) in stock market returns, but evidence is in general mixed. In this paper, three different tests, (namely Rescaled Range (R/S), its…
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,…
By applying the multifractal detrended fluctuation analysis to the high-frequency tick-by-tick data from Deutsche B\"orse both in the price and in the time domains, we investigate multifractal properties of the time series of logarithmic…
The correlation matrix formalism is used to study temporal aspects of the stock market evolution. This formalism allows to decompose the financial dynamics into noise as well as into some coherent repeatable intraday structures. The present…
Stock market indices are one of the most investigated complex systems in econophysics. Here we extend the existing literature on stock markets in connection with nonextensive statistical mechanics. We explore the nonextensivity of price…
Characterising the stratosphere as a turbulent system, temporal fluctuations often show different correlations for different time scales as well as intermittent behaviour that cannot be captured by a single scaling exponent. In this study,…
We empirically analyze the scaling properties of daily Foreign Exchange rates, Stock Market indices and Bond futures across different financial markets. We study the scaling behaviour of the time series by using a generalized Hurst exponent…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…