Related papers: Small scale behavior of financial data

Scale independence is a ubiquitous feature of complex systems which implies a highly skewed distribution of resources with no characteristic scale. Research has long focused on why systems as varied as protein networks, evolution and stock…

Stationary probability distributions of one-dimensional random walks on lattices with aperiodic disorder are investigated. The pattern of the distribution is closely related to the diffusional behavior, which depends on the wandering…

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…

This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the…

The explosion of data on animal behavior in more natural contexts highlights the fact that these behaviors exhibit correlations across many time scales. But there are major challenges in analyzing these data: records of behavior in single…

The characterization of record events is considered for a discrete-time random walk model with long-term memory arising from correlations between successive steps. An important feature is that the correlations are strong enough to give rise…

The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are considered and capital requirements can be…

In various disordered systems or non-equilibrium dynamical models, the large deviations of some observables have been found to display different scalings for rare values bigger or smaller than the typical value. In the present paper, we…

Following several episodes of financial market turmoil in recent decades, changes in systemic risk have drawn growing attention. Therefore, we propose surveillance schemes for systemic risk, which allow to detect misspecified systemic risk…

In the past few decades considerable effort has been expended in characterizing and modeling financial time series. A number of stylized facts have been identified, and volatility clustering or the tendency toward persistence has emerged as…

It is shown that the distribution of low variability periods in the activity of human heart rate typically follows a multi-scaling Zipf's law. The presence or failure of a power law, as well as the values of the scaling exponents, are…

We develop a generalized stability framework for stochastic discrete-time systems, where the generality pertains to the ways in which the distribution of the state energy can be characterized. We use tools from finance and operations…

For the first time, we introduce "Scaling invariable Benford distance" and "Benford cyclic graph", which can be used to analyze any data set. Using the quantity and the graph, we analyze some date sets with common distributions, such as…

We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were considered in the analysis of Korean, the Japanese, the Taiwanese,…

Information theory provides ideas for conceptualising information and measuring relationships between objects. It has found wide application in the sciences, but economics and finance have made surprisingly little use of it. We show that…

We study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. While at shorter microscopic time lags the distribution has power-law tails, for mesoscopic times…

Many dynamical phenomena display a cyclic behavior, in the sense that time can be partitioned into units within which distributional aspects of a process are homogeneous. In this paper, we introduce a class of models - called conjugate…

This paper introduces a novel approach to financial risk analysis that does not rely on traditional price and market data, instead using market news to model assets as distributions over a metric space of risk factors. By representing asset…

Data series generated by complex systems exhibit fluctuations on many time scales and/or broad distributions of the values. In both equilibrium and non-equilibrium situations, the natural fluctuations are often found to follow a scaling…

Metastability is a phenomenon observed in stochastic systems which stay in a false-equilibrium within a region of its state space until the occurrence of a sequence of rare events that leads to an abrupt transition to a different region.…