相关论文: Forbidden patterns in financial time series

In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…

Commonly used limit order book attributes are empirically considered based on NASDAQ ITCH data. It is shown that some of them have the properties drastically different from the ones assumed in many market dynamics study. Because of this…

This paper proposes a class of parametric multiple-index time series models that involve linear combinations of time trends, stationary variables and unit root processes as regressors. The inclusion of the three different types of time…

Under adaptive progressive Type-II censoring schemes, order restricted inference based on competing risks data is discussed in this article. The latent failure lifetimes for the competing causes are assumed to follow Weibull distributions,…

This study aims to predict failure times for some units in some lifetime experiments. In some practical situations, the experimenter may not be able to register the failure times of all units during the experiment. Recently, this situation…

Anomalies (unusual patterns) in time-series data give essential, and often actionable information in critical situations. Examples can be found in such fields as healthcare, intrusion detection, finance, security and flight safety. In this…

Fat tails in financial time series and increase of stocks cross-correlations in high volatility periods are puzzling facts that ask for new paradigms. Both points are of key importance in fundamental research as well as in Risk Management…

The objective is to develop a general stochastic approach to delays on financial markets. We suggest such a concept in the context of large platonic markets, which allow infinitely many assets and incorporate a restricted information…

Specialized topics on financial data analysis from a numerical and physical point of view are discussed. They pertain to the analysis of crash prediction in stock market indices and to the persistence or not of coherent and random sequences…

It is proposed that the spatial (and temporal) patterns spontaneously appearing in dissipative systems maximize the energy flow through the pattern forming interface. In other words - the patterns maximize the entropy growth rate in an…

Given a log and a specification, timed pattern matching aims at exhibiting for which start and end dates a specification holds on that log. For example, "a given action is always followed by another action before a given deadline". This…

This is a paper in the intersection of time series analysis and complexity theory that presents new results on permutation complexity in general and permutation entropy in particular. In this context, permutation complexity refers to the…

This article demonstrates the possibility of constructing indicators of critical and crisis phenomena in the volatile market of cryptocurrency. For this purpose, the methods of the theory of complex systems such as recurrent analysis of…

The existence of the {\em typical set} is key for data compression strategies and for the emergence of robust statistical observables in macroscopic physical systems. Standard approaches derive its existence from a restricted set of…

We start with the idea that open quantum systems can be used to represent financial markets by modelling events from the external environment and their impact on the market price. We show how to characterize distinct orbits of the time…

Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series. This paper uses an adaptive spectral technique which jointly models the non-stationarity and…

Starting from the characterization of the past time evolution of market prices in terms of two fundamental indicators, price velocity and price acceleration, we construct a general classification of the possible patterns characterizing the…

[This is the unpublished supplemental information from 1989 to the paper: J.M. Deutsch, "Quantum statistical mechanics in a closed system." Phys. Rev. A, 43(4), 2046 (1991).] A closed quantum mechanical system does not necessarily give time…

In this paper, we consider a stochastic asset price model where the trend is an unobservable Ornstein Uhlenbeck process. We first review some classical results from Kalman filtering. Expectedly, the choice of the parameters is crucial to…

We consider the model selection problem for a large class of time series models, including, multivariate count processes, causal processes with exogenous covariates. A procedure based on a general penalized contrast is proposed. Some…