Related papers: Anomalous waiting times in high-frequency financia…
Financial price changes obey two universal properties: they follow a power law and they tend to be clustered in time. The second regularity, known as volatility clustering, entails some predictability in the price changes: while their sign…
Continuous Time Random Maxima (CTRM) are a generalization of classical extreme value theory: Instead of observing random events at regular intervals in time, the waiting times between the events are also random variables with arbitrary…
The combined Continuous Time Random Walk (CTRW) in position and momentum space is introduced, in the form of two coupled integral equations that describe the evolution of the probability distribution for finding a particle at a certain…
Technical trading represents a class of investment strategies for Financial Markets based on the analysis of trends and recurrent patterns of price time series. According standard economical theories these strategies should not be used…
Although higher-order interactions are known to affect the typical state of dynamical processes giving rise to new collective behavior, how they drive the emergence of rare events and fluctuations is still an open problem. We investigate…
In financial time series there are periods in which the value increases or decreases monotonically. We call those periods elemental trends and study the probability distribution of their duration for the indices DJIA, NASDAQ and IPC. It is…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
We use the statistical properties of Shannon entropy estimator and Kullback-Leibler divergence to study the predictability of ultra-high frequency financial data. We develop a statistical test for the predictability of a sequence based on…
The Semi-Markov property of Continuous Time Random Walks (CTRWs) and their limit processes is utilized, and the probability distributions of the bivariate Markov process $(X(t),V(t))$ are calculated: $X(t)$ is a CTRW limit and $V(t)$ a…
We address the challenges of modeling high-frequency integer price changes in financial markets using continuous distributions, particularly the Student's t-distribution. We demonstrate that traditional GARCH models, which rely on…
We build the time series of optimal realized portfolio weights from high-frequency data and we suggest a novel Dynamic Conditional Weights (DCW) model for their dynamics. DCW is benchmarked against popular model-based and model-free…
This paper models stochastic process of price time series of CSI 300 index in Chinese financial market, analyzes volatility characteristics of intraday high-frequency price data. In the new generalized Barndorff-Nielsen and Shephard model,…
We perform an extensive empirical analysis of scaling properties of equity returns, suggesting that financial data show time varying multifractal properties. This is obtained by comparing empirical observations of the weighted generalised…
We use a series of pre-registered, incentive-compatible online experiments to investigate how people evaluate and choose among different waiting time distributions. Our main findings are threefold. First, consistent with prior literature,…
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…
We introduce a new class of asymmetric random walks on the one-dimensional infinite lattice. In this walk the direction of the jumps (positive or negative) is determined by a discrete-time renewal process which is independent of the jumps.…
Diffusion processes driven by Fractional Brownian motion (FBM) have often been considered in modeling stock price dynamics in order to capture the long range dependence of stock price observed in reality. Option prices for such models had…
The statistics of records for a time series generated by a continuous time random walk is studied, and found to be independent of the details of the jump length distribution, as long as the latter is continuous and symmetric. However, the…
Levy flights were introduced through the mathematical research of the algebra or random variables with infinite moments. Mandelbrot recognized that the Levy flight prescription had a deep connection to scale-invariant fractal random walk…
We perform simulations for one dimensional continuous-time random walks in two dynamic random environments with fast (independent spin-flips) and slow (simple symmetric exclusion) decay of space-time correlations, respectively. We focus on…