相关论文: Statistical Signatures in Times of Panic: Markets …
Recent years have seen an unprecedented rise of the role that technology plays in all aspects of human activities. Unavoidably, technology has heavily entered the Capital Markets trading space, to the extent that all major exchanges are now…
The effect of refractory periods in partial resetting processes is studied. Under Poissonian partial resets, a state variable jumps to a value closer to the origin by a fixed fraction at constant rate, $x\to a x$. Following each reset, a…
Pearson correlation and mutual information based complex networks of the day-to-day returns of US S&P500 stocks between 1985 and 2015 have been constructed in order to investigate the mutual dependencies of the stocks and their nature. We…
In this paper, we present the possibility of using the Ising like models to explain by Statistical Physics means the connection between the financial discontinuities (herd behavior, bubbles, crashes) and "critical points" in physical of…
A self-organized model with social percolation process is proposed to describe the propagations of information for different trading ways across a social system and the automatic formation of various groups within market traders. Based on…
This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily…
Despite its importance to experiments, numerical simulations, and the development of theoretical models, self-averaging in many-body quantum systems out of equilibrium remains underinvestigated. Usually, in the chaotic regime,…
The percolation model of stock market speculation allows an asymmetry (in the return distribution) leading to fast downward crashes and slow upward recovery. We see more small upturns and more intermediate downturns.
The transition from arbitrary to chaotic fluctuation properties in quantum systems is studied in a random matrix model. It is assumed that the Hamiltonian can be written as the sum of an arbitrary and a chaos producing part. The Gaussian…
The relation between disordered and chaotic systems is investigated. It is obtained by identifying the diffusion operator of the disordered systems with the Perron-Frobenius operator in the general case. This association enables us to…
The problem of non-stationarity in financial markets is discussed and related to the dynamic nature of price volatility. A new measure is proposed for estimation of the current asset volatility. A simple and illustrative explanation is…
We investigate the daily correlation present among market indices of stock exchanges located all over the world in the time period Jan 1996 - Jul 2009. We discover that the correlation among market indices presents both a fast and a slow…
Recurrence entropy $(\cal S)$ is a novel time series complexity quantifier based on recurrence microstates. Here we show that $\mathsf{max}(\cal S)$ is a \textit{parameter-free} quantifier of time correlation of stochastic and chaotic…
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…
We find a remarkable time persistence of various proxies for the kurtosis (p-kurtosis) of the intraday returns distribution for the S&P500 index and this permits a significant measure of their evolution from 1983 to 2004. There appears a…
Symmetries play a conspicuous role in the large-scale behavior of critical systems. While in equilibrium they allow to classify asymptotics into different universality classes, out of equilibrium they can emerge, some times unexpectedly, as…
Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…
We study the stochastic structure of cryptocurrency rates of returns as compared to stock returns by focusing on the associated cross-sectional distributions. We build two datasets. The first comprises forty-six major cryptocurrencies, and…
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the…
Skewness and kurtosis are fundamental statistical moments commonly used to quantify asymmetry and tail behavior in probability distributions. Despite their widespread application in statistical mechanics, condensed matter physics, and…