相关论文: Financial time-series analysis: A brief overview
The goal of this article is to understand some interesting features of sequences of arbitrage operations, which look relevant to various processes in Economics and Finances. In the second part of the paper, analysis of sequences of…
A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.
The continuous time model of dynamic asset trading is the central model of modern finance. Because trading cannot in fact take place at every moment of time, it would seem desirable to show that the continuous time model can be viewed as…
In this paper we propose an Ising model which simulates multiple financial time series. Our model introduces the interaction which couples to spins of other systems. Simulations from our model show that time series exhibit the volatility…
In risk management it is desirable to grasp the essential statistical features of a time series representing a risk factor. This tutorial aims to introduce a number of different stochastic processes that can help in grasping the essential…
Financial time-series forecasting is critical for maintaining economic stability, guiding informed policymaking, and promoting sustainable investment practices. However, it remains challenging due to various underlying pattern shifts. These…
Principles of financial product synthesis from a few basic financial products constitute an interesting research topic inspired by Islamic finance. We make an effort to answer general questions that should be answered before starting to…
The relation between time series irreversibility and entropy production has been recently investigated in thermodynamic systems operating away from equilibrium. In this work we explore this concept in the context of financial time series.…
This article investigates the use of Machine Learning and Deep Learning models in multivariate time series analysis within financial markets. It compares small and big data approaches, focusing on their distinct challenges and the benefits…
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…
A main focus in economics research is understanding the time series of prices of goods and assets. While statistical models using only the properties of the time series itself have been successful in many aspects, we expect to gain a better…
A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.
Researchers have used from 30 days to several years of daily returns as source data for clustering financial time series based on their correlations. This paper sets up a statistical framework to study the validity of such practices. We…
Phase-space analysis or time-frequency analysis can be thought as Fourier analysis simultaneously both in time and in frequency, originating from signal processing and quantum mechanics. On groups having unitary Fourier transform, we…
The methods of statistical physics of open systems are used for describing the time dependence of economic characteristics (income, profit, cost, supply, currency etc.) and their correlations with each other. Nonlinear equations (analogies…
We investigate the time series generated by an elementary and deterministic financial process that consists in making monthly contributions to a savings account subjected to the devaluation by a monthly negative real interest rate. The…
Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
Mining Time Series data has a tremendous growth of interest in today's world. To provide an indication various implementations are studied and summarized to identify the different problems in existing applications. Clustering time series is…