相关论文: The Epps effect revisited

The fundamental theorem behind financial markets is that stock prices are intrinsically complex and stochastic. One of the complexities is the volatility associated with stock prices. Volatility is a tendency for prices to change…

We investigate the general problem of how to model the kinematics of stock prices without considering the dynamical causes of motion. We propose a stochastic process with long-range correlated absolute returns. We find that the model is…

The time-dependent exchange-correlation potential has an unusual task in directing fictitious non-interacting electrons to move with exactly the same probability density as true interacting electrons. This has intriguing implications for…

Entropy measures in their various incarnations play an important role in the study of stochastic time series providing important insights into both the correlative and the causative structure of the stochastic relationships between the…

In the present work we investigate the multiscale nature of the correlations for high frequency data (1 minute) in different futures markets over a period of two years, starting on the 1st of January 2003 and ending on the 31st of December…

We study continuous time Markov processes on graphs. The notion of frequency is introduced, which serves well as a scaling factor between any Markov time of a continuous time Markov process and that of its jump chain. As an application, we…

By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the…

We investigate the scaling of the cross-correlations calculated for two-variable time series containing vertex properties in the context of complex networks. Time series of such observables are obtained by means of stationary, unbiased…

While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market…

We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New…

Volatility of intra-day stock market indices computed at various time horizons exhibits a scaling behaviour that differs from what would be expected from fractional Brownian motion (fBm). We investigate this anomalous scaling by using…

Financial time series typically exhibit strong fluctuations that cannot be described by a Gaussian distribution. In recent empirical studies of stock market indices it was examined whether the distribution P(r) of returns r(tau) after some…

We study properties of the cross-sectional distribution of returns. A significant anti-correlation between dispersion and cross-sectional kurtosis is found such that dispersion is high but kurtosis is low in panic times, and the opposite in…

Finding interdependency relations between (possibly multivariate) time series provides valuable knowledge about the processes that generate the signals. Information theory sets a natural framework for non-parametric measures of several…

We establish an analogy between the motion of spring whose mass increases linearly with time and volatile stock markets dynamics within an economic model based on simple temporal demand and supply functions [J. Phys. A: Math. Gen. 33, 3637…

Financial markets provide an ideal frame for the study of crossing or first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures markets are herein considered…

We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. By means of techniques borrowed from statistical physics we show that the correlation among bonds depends strongly on the maturity and…

Stochastic processes under resetting at random times have attracted a lot of attention in recent years and served as illustrations of nontrivial and interesting static and dynamic features of stochastic dynamics. In this paper, we aim to…

We present a novel method for measuring the rate of periodic phenomena (e.g., rotation, flicker, and vibration), by an event camera, a device asynchronously reporting brightness changes at independently operating pixels with high temporal…

In this study we examine the evolution of price, volume, and the bid-ask spread after extreme 15 minute intraday price changes on the NYSE and the NASDAQ. We find that due to strong behavioral trading there is an overreaction. Furthermore…