Related papers: Inverse Statistics for Stocks and Markets
This paper considers a newly delayed reinsurance and investment optimization problem incorporating random risk aversion, in which an insurer pursues maximization of the expected certainty equivalent of her/his terminal wealth and the…
In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of the…
This note aims to verify a Laplace transform pair, previously published without proof, concerning the expected stock-out that may occur in a production-inventory systems when demand is Poisson, and the time horizon is finite. Stock-out, or…
In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of the…
Trade prices of about 1000 New York Stock Exchange-listed stocks are studied at one-minute time resolution over the continuous five year period 2018--2022. For each stock, in dollar-volume-weighted transaction time, the discrepancy from a…
The percolation model of stock market speculation allows an asymmetry (in the return distribution) leading to fast downward crashes and slow upward recovery. We see more small upturns and more intermediate downturns.
We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…
Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…
Dow Jones Index time series exhibit irregular or fractal fluctuations on all time scales from days, months to years. The nonlinear fluctuations are selfsimilar as exhibited in inverse power law form for power spectra of temporal…
This paper discusses a novel explanation for asymmetric volatility based on the anchoring behavioral pattern. Anchoring as a heuristic bias causes investors focusing on recent price changes and price levels, which two lead to a belief in…
We study the stochastic structure of cryptocurrency rates of returns as compared to stock returns by focusing on the associated cross-sectional distributions. We build two datasets. The first comprises forty-six major cryptocurrencies, and…
We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day,…
We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets: (a) the New York Stock Exchange, (b) the…
We consider the occurrence of record-breaking events in random walks with asymmetric jump distributions. The statistics of records in symmetric random walks was previously analyzed by Majumdar and Ziff and is well understood. Unlike the…
We pose the estimation and predictability of stock market performance. Three cases are taken: US, Japan, Germany, the monthly index of the value of realized investment in stocks, prices plus the value of dividend payments (OECD data). Once…
We consider random vectors drawn from a multivariate normal distribution and compute the sample statistics in the presence of non-stationary correlations. For this purpose, we construct an ensemble of random correlation matrices and average…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
We study an inverse problem of the stochastic optimal control of general diffusions with performance index having the quadratic penalty term of the control process. Under mild conditions on the system dynamics, the cost functions, and the…
Being able to predict the occurrence of extreme returns is important in financial risk management. Using the distribution of recurrence intervals---the waiting time between consecutive extremes---we show that these extreme returns are…
Random walk has wide applications in many fields, such as machine learning, biology, physics, and chemistry. Random walk can be discrete or continuous in time and space. Asymmetric random walk could be described by drift-diffusion equation.…