Related papers: An Outlook on Correlations in Stock Prices
The paper discusses a path-wise approach to stock price modelling.
A scientometric analysis has been performed on selected physics journals to estimate the presence of simulation and modeling in physics literature in the past fifty years. Correlations between the observed trends and several social and…
This paper explores the connection between dynamical system properties and statistical physics of ensembles of such systems. Simple models are used to give novel phase transitions; particularly for finite N particle systems with many…
A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.
Based on the daily data of American and Chinese stock markets, the dynamic behavior of a financial network with static and dynamic thresholds is investigated. Compared with the static threshold, the dynamic threshold suppresses the large…
Analysis of long-range dependence in financial time series was one of the initial steps of econophysics into the domain of mainstream finance and financial economics in the 1990s. Since then, many different financial series have been…
Stock networks, constructed from stock price time series, are a well-established tool for the characterization of complex behavior in stock markets. Following Mantegna's seminal paper, the linear Pearson's correlation coefficient between…
In this paper we introduce a simple model for a financial market characterized by a single stock or good and an interplay between two different traders populations, chartists and fundamentalists, which determine the price dynamic of the…
We explore the applicability of the causal analysis based on temporally shifted (lagged) Pearson correlation applied to diverse time series of different natures in context of the problem of financial market prediction. Theoretical…
Fluctuations in stock prices are influenced by a complex interplay of factors that go beyond mere historical data. These factors, themselves influenced by external forces, encompass inter-stock dynamics, broader economic factors, various…
In this paper we continue our systematic analysis of the operatorial approach previously proposed in an economical context and we discuss a {\em mixed} toy model of a simplified stock market, i.e. a model in which the price of the shares is…
Accurate stock price forecasting has consistently remained a pivotal yet challenging FinTech task that underpins quantitative trading and investment decision making. Recent efforts have been dedicated to modeling various complex…
The field of Financial Networks is a paramount example of the novel applications of Statistical Physics that have made possible by the present data revolution. As the total value of the global financial market has vastly outgrown the value…
We describe and document three mechanisms by which corporations can influence or even control stock prices. (i) Parent and holding companies wield control over other publicly traded companies. (ii) Through clever management of treasury…
We study the dynamics of correlation and variance in systems under the load of environmental factors. A universal effect in ensembles of similar systems under the load of similar factors is described: in crisis, typically, even before…
Financial forecasting is challenging and attractive in machine learning. There are many classic solutions, as well as many deep learning based methods, proposed to deal with it yielding encouraging performance. Stock time series forecasting…
The global financial system is highly complex, with cross-border interconnections and interdependencies. In this highly interconnected environment, local financial shocks and events can be easily amplified and turned into global events.…
Global climate change, extreme climate events, earthquakes and their accompanying natural disasters pose significant risks to humanity. Yet due to the nonlinear feedbacks, strategic interactions and complex structure of the Earth system,…
The original research question here is given by marketers in general, i.e., how to explain the changes in the desired timescale of the market. Tangled String, a sequence visualization tool based on the metaphor where contexts in a sequence…
In finance, economics and many other fields, observations in a matrix form are often observed over time. For example, many economic indicators are obtained in different countries over time. Various financial characteristics of many…