相关论文: The Epps effect revisited

Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…

Cross-correlation analysis is a powerful tool for understanding the mutual dynamics of time series. This study introduces a new method for predicting the future state of synchronization of the dynamics of two financial time series. To this…

We find a nonlinear dependence between an indicator of the degree of multiscaling of log-price time series of a stock and the average correlation of the stock with respect to the other stocks traded in the same market. This result is a…

The decision process requires information about the present state of the system, but in economy acquiring data and processing them is an expensive and time consuming process. Therefore the state of the system is measured and announced at…

Cross-sectional signatures of market panic were recently discussed on daily time scales in [1], extended here to a study of cross-sectional properties of stocks on intra-day time scales. We confirm specific intra-day patterns of dispersion…

In many physical, social or economical phenomena we observe changes of a studied quantity only in discrete, irregularly distributed points in time. The stochastic process used by physicists to describe this kind of variables is the…

The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise…

We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company…

Recent work has shown that the distribution of inter-event times for e-mail communication exhibits a heavy tail which is statistically consistent with a cascading Poisson process. In this work we extend the analysis to higher-order…

The correlation function of a financial index of the New York stock exchange, the S&P 500, is analyzed at 1 min intervals over the 13-year period, Jan 84 -- Dec 96. We quantify the correlations of the absolute values of the index increment.…

Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…

This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…

Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both of those analyses are concentrated only on…

The Empirical Mode Decomposition (EMD) provides a tool to characterize time series in terms of its implicit components oscillating at different time-scales. We apply this decomposition to intraday time series of the following three…

In order to investigate the origin of large price fluctuations, we analyze stock price changes of ten frequently traded NASDAQ stocks in the year 2002. Though the influence of the trading frequency on the aggregate return in a certain time…

We demonstrate that the gain/loss asymmetry observed for stock indices vanishes if the temporal dependence structure is destroyed by scrambling the time series. We also show that an artificial index constructed by a simple average of a…

In the absence of synaptic coupling, two or more neural oscillators may become synchronized by virtue of the statistical correlations in their noisy input streams. Recent work has shown that the degree of correlation transfer from input…

We study the problem of detecting a common change point in large panel data based on a mean shift model, wherein the errors exhibit both temporal and cross-sectional dependence. A least squares based procedure is used to estimate the…

The study of animal movement is challenging because it is a process modulated by many factors acting at different spatial and temporal scales. Several models have been proposed which differ primarily in the temporal conceptualization,…

The aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to understand the "seasonalities" and market evolution. Using the intraday data of the CAC40, we begin by reasserting the…