相关论文: The Epps effect revisited

Stock prices are observed to be random walks in time despite a strong, long term memory in the signs of trades (buys or sells). Lillo and Farmer have recently suggested that these correlations are compensated by opposite long ranged…

We study the activity, i.e., the number of transactions per unit time, of financial markets. Using the diffusion entropy technique we show that the autocorrelation of the activity is caused by the presence of peaks whose time distances are…

We present recent data of electric signals detected at the Earth's surface, which confirm the earlier finding [Phys. Rev. E 73, 031114 (2006)] that the value of the entropy in natural time as well as its value under time reversal are…

We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…

We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of price fluctuations. The central result of the…

We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible…

Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…

In this paper we compare market price fluctuations with the response to fundamental price drops within the Lux-Marchesi model which is able to reproduce the most important stylized facts of real market data. Major differences can be…

We study the time evolution of continuous-time quantum walks on randomly changing graphs. At certain moments edges of the graph appear or disappear with a given probability. We focus on the case when the time interval between subsequent…

Electric signals have been recently recorded at the Earth's surface with amplitudes appreciably larger than those hitherto reported. Their entropy in natural time is smaller than that, $S_u$, of a ``uniform'' distribution. The same holds…

We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at time scales 60-390 minutes. In both…

We describe how the market-based average and volatility of the "actual" return, which the investors gain within their market sales, depend on the statistical moments, volatilities, and correlations of the current and past market trade…

We present the analytical and numerical results of a random walk on the family of small-world graphs. The average access time shows a crossover from the regular to random behavior with increasing distance from the starting point of the…

The measured correlations of financial time series in subsequent epochs change considerably as a function of time. When studying the whole correlation matrices, quasi-stationary patterns, referred to as market states, are seen by applying…

The high-frequency cross-correlation existing between pairs of stocks traded in a financial market are investigated in a set of 100 stocks traded in US equity markets. A hierarchical organization of the investigated stocks is obtained by…

Trading styles can be classified into either trend-following or mean-reverting. If the net trading style is trend-following the traded asset is more likely to move in the same direction it moved previously (the opposite is true if the net…

Correlations are employed in modern physics to explain microscopic and macroscopic phenomena, like the fractional quantum Hall effect and the Mott insulator state in high temperature superconductors and ultracold atoms. Simultaneously…

Sampling considerations limit the experimental conditions under which information theoretic analyses of neurophysiological data yield reliable results. We develop a procedure for computing the full temporal entropy and information of…

We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times…

We revisit the index leverage effect, that can be decomposed into a volatility effect and a correlation effect. We investigate the latter using a matrix regression analysis, that we call `Principal Regression Analysis' (PRA) and for which…