Related papers: Anomalous waiting times in high-frequency financia…
In this paper we study continuous time random walks (CTRWs) such that the holding time in each state has a distribution depending on the state itself. For such processes, we provide integro-differential (backward and forward) equations of…
Traditional concepts for flow in porous media assume that the heterogeneous distribution of hydraulic conductivity is the source for the contaminant temporal and spatial heavy tail, a process known as anomalous or non-Fickian transport;…
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…
Using intraday data for the cross-section of individual stocks, we show that both transitory and persistent fluctuations in realized market and average idiosyncratic volatility, skewness and kurtosis are differentially priced in the…
Accurate modeling of the temporal evolution of asset prices is crucial for understanding financial markets. We explore the potential of discrete-time quantum walks to model the evolution of asset prices. Return distributions obtained from a…
We consider a class of discrete-time random walks with directed unit steps on the integer line. The direction of the steps is reversed at the time instants of events in a discrete-time renewal process and is maintained at uneventful time…
We study a general continuous-time random walk (CTRW), by including non-Markovian cases and L\'evy flights, under complete stochastic resetting to the initial position with an arbitrary law, which can be power-lawed as well as Poissonian.…
The conventional formal tool to detect effects of the financial persistence is in terms of the Hurst exponent. A typical corresponding result is that its value comes out close to 0.5, as characteristic for geometric Brownian motion, with at…
Applied to statistical physics models, the random cost algorithm enforces a Random Walk (RW) in energy (or possibly other thermodynamic quantities). The dynamics of this procedure is distinct from fixed weight updates. The probability for a…
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency data and is robust to market microstructure frictions. For the test, local…
Regarding the intraday sequence of high frequency returns of the S&P index as daily realizations of a given stochastic process, we first demonstrate that the scaling properties of the aggregated return distribution can be employed to define…
We consider random variables observed at arrival times of a renewal process, which possibly depends on those observations and has regularly varying steps with infinite mean. Due to the dependence and heavy tailed steps, the limiting…
Systems living in complex non equilibrated environments often exhibit subdiffusion characterized by a sublinear power-law scaling of the mean square displacement. One of the most common models to describe such subdiffusive dynamics is the…
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…
Statistical analysis of high-frequency stock market order transaction data is conducted to understand order transition dynamics. We employ a first-order time-homogeneous discrete-time Markov chain model to the sequence of orders of stocks…
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…
By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evidence that the impact of a single trade depends on the…
We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week. For the classical autoregressive conditional duration (ACD) models by…
Through in-depth analysis of ultra high frequency (UHF) stock price change data, more reasonable discrete dynamic distribution models are constructed in this paper. Firstly, we classify the price changes into several categories. Then,…
We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is…