Related papers: Financial Markets and Persistence
We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather…
We present a new framework for modeling the statistical behavior of both fully developed turbulence and short-term dynamics of financial markets based on the nonextensive thermostatistics proposed by Tsallis. We also show that intermittency…
The spatial distribution of persistent spins at zero-temperature in the pure two-dimensional Ising model is investigated numerically. A persistence correlation length, $\xi (t)\sim t^Z$ is identified such that for length scales $r<<\xi (t)$…
This paper is an attempt at understanding the quantum-like dynamics of financial markets in terms of non-differentiable price-time continuum having fractal properties. The main steps of this development are the statistical scaling, the…
The systemic stability of a stock market is one of the core issues in the financial field. The market can be regarded as a complex network whose nodes are stocks connected by edges that signify their correlation strength. Since the market…
Characterizing temporal evolution of stock markets is a fundamental and challenging problem. The literature on analyzing the dynamics of the markets has focused so far on macro measures with less predictive power. This paper addresses this…
Empirical evidence is given for a significant difference in the collective trend of the share prices during the stock index rising and falling periods. Data on the Dow Jones Industrial Average and its stock components are studied between…
This note continues investigation of randomness-type properties emerging in idealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variation exponent of…
We study the dynamics of ordering in ferromagnets via Monte Carlo simulations of the Ising model, employing the Glauber spin-flip mechanism, in space dimensions $d=2$ and $3$. Results for the persistence probability and the domain growth…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
We investigate the use of the Hurst exponent, dynamically computed over a moving time-window, to evaluate the level of stability/instability of financial firms. Financial firms bailed-out as a consequence of the 2007-2010 credit crisis show…
We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of…
Dynamics of ordering in Ising model, following quench to zero temperature, have been studied via Glauber spin-flip Monte Carlo simulations in space dimensions $d=2$ and $3$. One of the primary objectives has been to understand phenomena…
Analogies between the price dynamics in the foreign exchange market and 3-dimensional fully developed turbulence were recently presented in Nature vol. 381, 767-769 (1996). Independently, we have carried out a study comparing the parallel…
We have applied the Zipf method to extract the $\zeta'$ exponent for seven financial indices (DAX, FTSE; DJIA, NASDAQ, S&P500; Hang-Seng and Nikkei 225), after having translated the signals into a text based on two letters. We follow…
We apply the theory of continuous time random walks to study some aspects of the extreme value problem applied to financial time series. We focus our attention on extreme times, specifically the mean exit time and the mean first-passage…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
Complex systems comprise a large number of interacting elements, whose dynamics is not always a priori known. In these cases -- in order to uncover their key features -- we have to turn to empirical methods, one of which was recently…
We analyze the data of the Italian and U.S. futures on the stock markets and we test the validity of the Continuous Time Random Walk assumption for the survival probability of the returns time series via a renewal aging experiment. We also…