相关论文: Statistical Signatures in Times of Panic: Markets …

We explore the concept of scaling invariance in a type of dynamical systems that undergo a transition from order (regularity) to disorder (chaos). The systems are described by a two-dimensional, nonlinear mapping that preserves the area in…

In order to pursue the issue of the relation between the financial cross-correlations and the conventional Random Matrix Theory we analyse several characteristics of the stock market correlation matrices like the distribution of…

The statistical properties of the increments x(t+T) - x(t) of a financial time series depend on the time resolution T on which the increments are considered. A non-parametric approach is used to study the scale dependence of the empirical…

Theoretical expressions for the distribution of the ratio of consecutive level spacings for quantum systems with transiting dynamics remain unknown. We propose a family of one-parameter distributions $P(r)\equiv P(r;\beta)$, where…

This study explores contagion in the Chinese stock market using Hawkes processes to analyze autocorrelation and cross-correlation in multivariate time series data. We examine whether market indices exhibit trending behavior and whether…

In this paper, we propose that relations between high order moments of data distributions, for example between the skewness (S) and kurtosis (K), allow to point to theoretical models with understandable structural parameters. The…

Cross-sectional "Information Coefficient" (IC) is a widely and deeply accepted measure in portfolio management. The paper gives an insight into IC in view of high-dimensional directional statistics: IC is a linear operator on the components…

This paper investigates the dynamics of in the S&P500 index from daily returns for the last 30 years. Using a stochastic geometry technique, each S&P500 yearly batch of data is embedded in a subspace that can be accurately described by a…

We analyze the daily stock data of the Nasdaq Composite index in the 22-year period 1992-2013 and identify market states as clusters of correlation matrices with similar correlation structures. We investigate the stability of the…

We study the various sectors of the Bombay Stock Exchange(BSE) for a period of 8 years from April 2006 - March 2014. Using the data of daily returns of a period of eight years we make a direct model free analysis of the pattern of the…

Parametric correlations of energy spectra of quantum chaotic systems are presented in the orthogonal-unitary and symplectic-unitary crossover region. The spectra are allowed to disperse as a function of two external perturbations: one of…

We introduce the Dynamic Conditional SKEPTIC (DCS), a semiparametric approach for efficiently and robustly estimating time-varying correlations in multivariate models. We exploit nonparametric rank-based statistics, namely Spearman's rho…

We analyse the structure of the distribution of eigenvalues of the stock market correlation matrix with increasing length of the time series representing the price changes. We use 100 highly-capitalized stocks from the American market and…

We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on [Corsi et al., 2016], we model a set of financial institutions having Value at Risk…

Time series analysis has proven to be a powerful method to characterize several phenomena in biology, neuroscience and economics, and to understand some of their underlying dynamical features. Despite a plethora of methods have been…

The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain…

We study a generic model for self-referential behaviour in financial markets, where agents attempt to use some (possibly fictitious) causal correlations between a certain quantitative information and the price itself. This correlation is…

The phenomenon of Stochastic Resonance (SR) is reported in a completely noise-free situation, with the role of thermal noise being taken by low-dimensional chaos. A one-dimensional, piecewise linear map and a pair of coupled…

We study dynamic self-organisation and order-disorder transitions in a two-dimensional system of self-propelled particles. Our model is a variation of the Vicsek model, where particles align the motion to their neighbours but repel each…

We analyze a fixed panel of S\&P 500 stocks from 1996 to 2026 using complementary static and kinetic Ising models applied to daily binary open-to-close movements. The static pairwise model provides a long-run maximum-entropy summary of…