统计金融

We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by a discrete time homogeneous semi-Markov which depends also…

The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by non-stationarity and dependence between increments.…

In the paper, we study numerically the projections of the real exchange rate dynamics onto the string-like topology. Our approach is inspired by the contemporary movements in the string theory. The string map of data is defined here by the…

We perform wavelet decomposition of high frequency financial time series into large and small time scale components. Taking the FTSE100 index as a case study, and working with the Haar basis, it turns out that the small scale component…

We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirically, and which have often been regarded as a consequence of…

We develop a simple test for deviations from power law tails, which is based on the asymptotic properties of the empirical distribution function. We use this test to answer the question whether great natural disasters, financial crashes or…

We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countries. We find long-range power-law…

We analyze the statistical dependency structure of the S&P 500 constituents in the 4-year period from 2007 to 2010 using intraday data from the New York Stock Exchange's TAQ database. With a copula-based approach, we find that the…

In this work we afford the statistical characterization of a linear Stochastic Volatility Model featuring Inverse Gamma stationary distribution for the instantaneous volatility. We detail the derivation of the moments of the return…

This article presents an empirical study of thirteen derivative markets for commodity and financial assets. It compares the statistical properties of futures contracts's daily returns at different maturities, from 1998 to 2010 and for…

We calculated the cross correlations between the half-hourly times series of the ten Dow Jones US economic sectors over the period February 2000 to August 2008, the two-year intervals 2002--2003, 2004--2005, 2008--2009, and also over 11…

We derive a mesoscopic description of the behavior of a simple financial market where the agents can create their own portfolio between two investment alternatives: a stock and a bond. The model is derived starting from the…

Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction…

We analyze the financial crash in 2008 for different financial markets from the point of view of log-periodic function model. In particular, we consider Dow Jones index, DAX index and Hang Seng index. We shortly discuss the possible…

An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock markets, memory effect of the average…

Futures trading is the core of futures business, and it is considered as one of the typical complex systems. To investigate the complexity of futures trading, we employ the analytical method of complex networks. First, we use real trading…

We compute the analytic expression of the probability distributions F{AEX,+} and F{AEX,-} of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the \alpha re-scaled AEX daily index…

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…

We apply random matrix theory to derive spectral density of large sample covariance matrices generated by multivariate VMA(q), VAR(q) and VARMA(q1,q2) processes. In particular, we consider a limit where the number of random variables N and…

Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using…