相关论文: The Epps effect revisited

We study the behavior of simple models for financial markets with widely spread frequency either in the trading activity of agents or in the occurrence of basic events. The generic picture of a phase transition between information efficient…

One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known…

Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit time…

Linear causal analysis is central to a wide range of important application spanning finance, the physical sciences, and engineering. Much of the existing literature in linear causal analysis operates in the time domain. Unfortunately, the…

We investigate the average frequency of positive slope $\nu_{\alpha}^{+}$, crossing for the returns of market prices. The method is based on stochastic processes which no scaling feature is explicitly required. Using this method we define…

We investigate the strength and the direction of information transfer in the U.S. stock market between the composite stock price index of stock market and prices of individual stocks using the transfer entropy. Through the directionality of…

We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…

In order to emphasize cross-correlations for fluctuations in major market places, series of up and down spins are built from financial data. Patterns frequencies are measured, and statistical tests performed. Strong cross-correlations are…

Financial data has been extensively studied for correlations using Pearson's cross-correlation coefficient {\rho} as the point of departure. We employ an estimator based on recurrence plots --- the Correlation of Probability of Recurrence…

As a model of market price, we introduce a new type of random walk in a moving potential which is approximated by a quadratic function with its center given by the moving average of its own trace. The properties of resulting random walks…

A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…

Human dynamical social networks encode information and are highly adaptive. To characterize the information encoded in the fast dynamics of social interactions, here we introduce the entropy of dynamical social networks. By analysing a…

We use the statistical properties of Shannon entropy estimator and Kullback-Leibler divergence to study the predictability of ultra-high frequency financial data. We develop a statistical test for the predictability of a sequence based on…

Used to investigate the presence of distinctive recurrent behaviours in natural processes, the recurrence plots can be applied to the analysis of economic data, and, in particular, to the characterization of exchange rates of currencies…

The cross-correlations between price fluctuations of 201 frequently traded stocks in the National Stock Exchange (NSE) of India are analyzed in this paper. We use daily closing prices for the period 1996-2006, which coincides with the…

In this paper, we quantify the impact of using non-convergent Markov chains to train Energy-Based models (EBMs). In particular, we show analytically that EBMs trained with non-persistent short runs to estimate the gradient can perfectly…

To investigate the universality of the structure of interactions in different markets, we analyze the cross-correlation matrix C of stock price fluctuations in the National Stock Exchange (NSE) of India. We find that this emerging market…

The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up-down asymmetry, which, surprisingly, is not observed for the individual stocks composing that index. To explain this,…

We show that time dependent couplings may lead to nontrivial scaling properties of the surface fluctuations of the asymptotic regime in non-equilibrium kinetic roughening models . Three typical situations are studied. In the case of a…

The paper tackles the problem of deriving a topological structure among stock prices from high frequency historical values. Similar studies using low frequency data have already provided valuable insights. However, in those cases data need…