Related papers: The Quantitative Relations between Stock Prices an…
This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval {\Delta} results in…
Geography effect is investigated for the Chinese stock market including the Shanghai and Shenzhen stock markets, based on the daily data of individual stocks. The Shanghai city and the Guangdong province can be identified in the stock…
R. Cont and A. de Larrard (SIAM J. Finan. Math, 2013) introduced a tractable stochastic model for the dynamics of a limit order book, computing various quantities of interest such as the probability of a price increase or the diffusion…
When analyzing the components influencing the stock prices, it is commonly believed that economic activities play an important role. More specifically, asset prices are more sensitive to the systematic economic news that impose a pervasive…
Price gap, defined as the logarithmic price difference between the first two occupied price levels on the same side of a limit order book (LOB), is a key determinant of market depth, which is one of the dimensions of liquidity. However, the…
This study investigates the relationship between bank efficiency and stock market valuation using an unbalanced panel dataset of 42 listed banks in China from 2006 to 2023. We employ a non-radial and non-oriented slack based…
Empirical analysis of the foreign exchange market is conducted based on methods to quantify similarities among multi-dimensional time series with spectral distances introduced in [A.-H. Sato, Physica A, 382 (2007) 258--270]. As a result it…
This paper systematically conducts an analysis of the composite index 1-min datasets over the 17-year period (2005-2021) for both the Shanghai and Shenzhen stock exchanges. To reveal the difference between the Chinese and the mature stock…
We establish an analogy between the motion of spring whose mass increases linearly with time and volatile stock markets dynamics within an economic model based on simple temporal demand and supply functions [J. Phys. A: Math. Gen. 33, 3637…
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…
Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average <f(i)>: sigma(i) ~ f(i)^alpha, with a strong time scale dependence alpha(dt). The…
We study a market model in which the volatility of the stock may jump at a random time from a fixed value to another fixed value. This model was already described in the literature. We present a new approach to the problem, based on partial…
Traditional stock market prediction methods commonly only utilize the historical trading data, ignoring the fact that stock market fluctuations can be impacted by various other information sources such as stock related events. Although some…
The analysis which assumes that tick by tick data is linear may lead to wrong conclusions if the underlying process is multiplicative. We compare data analysis done with the return and stock differences and we study the limits within the…
Price without transaction makes no sense. Trading volume authenticates its corresponding price, so there exist mutual information and correlation between price and trading volume. We are curious about fractal features of this correlation…
This study explores the performance of auctions in China's seasoned equity offering (SEO) market, both theoretically and empirically. In these auctions, issuers must commit to a pre-announced revenue target and a maximum number of shares…
In this paper we study the pricing of exchange options when underlying assets have stochastic volatility and stochastic correlation. An approximation using a closed-form approximation based on a Taylor expansion of the conditional price is…
This study examines the performance of a volatility-based strategy using Chinese equity index ETF options. Initially successful, the strategy's effectiveness waned post-2018. By integrating GARCH models for volatility forecasting, the…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
Technical trading rules have been widely used by practitioners in financial markets for a long time. The profitability remains controversial and few consider the stationarity of technical indicators used in trading rules. We convert MA, KDJ…