相关论文: The Epps effect revisited

Most data processing techniques, applied to biomedical and sociological time series, are only valid for random fluctuations that are stationary in time. Unfortunately, these data are often non stationary and the use of techniques of…

Random walks are used for modeling various dynamics in, for example, physical, biological, and social contexts. Furthermore, their characteristics provide us with useful information on the phase transition and critical phenomena of even…

This paper aims to explore the mechanical effect of a company's share repurchase on earnings per share (EPS). In particular, while a share repurchase scheme will reduce the overall number of shares, suggesting that the EPS may increase,…

Oil price data have a complicated multi-scale structure that may vary with time. We use time-frequency analysis to identify the main features of these variations and, in particular, the regime shifts. The analysis is based on a…

The classic N p chart gives a signal if the number of successes in a sequence of inde- pendent binary variables exceeds a control limit. Motivated by engineering applications in industrial image processing and, to some extent, financial…

Financial empirical correlation matrices of all the companies which both, the Deutsche Aktienindex (DAX) and the Dow Jones comprised during the time period 1990-1999 are studied using a time window of a limited, either 30 or 60, number of…

Researchers have studied the first passage time of financial time series and observed that the smallest time interval needed for a stock index to move a given distance is typically shorter for negative than for positive price movements. The…

Zipf's law states that the frequency of an observation with a given value is inversely proportional to the square of that value; Taylor's law, instead, describes the scaling between fluctuations in the size of a population and its mean.…

We study a simple run-and-tumble random walk whose switching frequency from run mode to tumble mode and the reverse depend on a stochastic signal. We consider a particularly sharp, step-like dependence, where the run to tumble switching…

We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…

Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…

In terms of transfer entropy, we investigated the strength and the direction of information transfer in the US stock market. Through the directionality of the information transfer, the more influential company between the correlated ones…

We build an agent-based model to study how the interplay between low- and high-frequency trading affects asset price dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash…

The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…

What return should you expect when you take on a given amount of risk? How should that return depend upon other people's behavior? What principles can you use to answer these questions? In this paper, we approach these topics by exploring…

This paper continues a series of studies devoted to analysis of the bivariate probability distribution P(x,y) of two consecutive price increments x (push) and y (response) at intraday timescales for a group of stocks. Besides the asymmetry…

According to the volatility feedback effect, an unexpected increase in squared volatility leads to an immediate decline in the price-dividend ratio. In this paper, we consider the properties of stock price dynamics and option valuations…

We discuss several models in order to shed light on the origin of power-law distributions and power-law correlations in financial time series. From an empirical point of view, the exponents describing the tails of the price increments…

We introduce a new stochastic model for the variations of asset prices at the tick-by-tick level in dimension 1 (for a single asset) and 2 (for a pair of assets). The construction is based on marked point processes and relies on linear self…

Synchronising a database of stock specific news with 5 years worth of order book data on 300 stocks, we show that abnormal price movements following news releases (exogenous) exhibit markedly different dynamical features from those arising…