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We report a general technique to study a given experimental time series with superstatistics. Crucial for the applicability of the superstatistics concept is the existence of a parameter $\beta$ that fluctuates on a large time scale as…
We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical tool and investigate analytically its link with stocks…
In this paper we explore the specific role of randomness in financial markets, inspired by the beneficial role of noise in many physical systems and in previous applications to complex socio- economic systems. After a short introduction, we…
We present an econometric framework that adapts tools for scenario analysis, such as variants of conditional forecasts and generalized impulse responses, for use with dynamic nonparametric models. The proposed algorithms are based on…
This paper presents a statistically sound method for measuring the accuracy with which a probabilistic model reflects the growth of a network, and a method for optimising parameters in such a model. The technique is data-driven, and can be…
Commodity Trading Advisors (CTAs) have historically relied on trend-following rules that operate on vastly different horizons from long-term breakouts that capture major directional moves to short-term momentum signals that thrive in…
Proving the existence of speculative financial bubbles even a posteriori has proven exceedingly difficult so anticipating a speculative bubble ex ante would at first seem an impossible task. Still as illustrated by the recent turmoil in…
A scan statistic is examined for the purpose of testing the existence of a global peak in a random process with dependent variables of any distribution. The scan statistic tail probability is obtained based on the covariance of the moving…
Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using…
Market Microstructure is the investigation of the process and protocols that govern the exchange of assets with the objective of reducing frictions that can impede the transfer. In financial markets, where there is an abundance of recorded…
Scale-free dynamics in physical and biological systems can arise from a variety of causes. Here, we explore a branching process which leads to such dynamics. We find conditions for the appearance of power laws and study quantitatively what…
This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval {\Delta} results in…
We test a historical price time series in a financial market (the NASDAQ 100 index) for a statistical property known as detailed balance. The presence of detailed balance would imply that the market can be modeled by a stochastic process…
In this paper, a neural network-based stock price prediction and trading system using technical analysis indicators is presented. The model developed first converts the financial time series data into a series of buy-sell-hold trigger…
This paper introduces advanced techniques of Topological Data Analysis (TDA) for unsupervised anomaly detection and customer segmentation in banking data. Using the Mapper algorithm and persistent homology, we develop unsupervised…
Temporal data distribution shift is prevalent in the financial text. How can a financial sentiment analysis system be trained in a volatile market environment that can accurately infer sentiment and be robust to temporal data distribution…
The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as…
Ecosystems tend to fluctuate around stable equilibria in response to internal dynamics and environmental factors. Occasionally, they enter an unstable tipping region and collapse into an alternative stable state. Our understanding of how…
Topological Data Analysis (TDA), an emerging field in investment sciences, harnesses mathematical methods to extract data features based on shape, offering a promising alternative to classical portfolio selection methodologies. We utilize…
Overwhelming majority of econometric models applied on a long term basis in the financial forex market do not work sufficiently well. The reason is that transaction costs and arbitrage opportunity are not included, as this does not simulate…