相关论文: Market inefficiency identified by both single and …

The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to investigate the source of intraday variation observed in the returns in foreign exchange markets. Given that changes in…

A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…

Identifying behavior that is relatively invariant under different conditions is a challenging task in far-from-equilibrium complex systems. As an example of how the existence of a semi-invariant signature can be masked by the heterogeneity…

We consider the problem of estimating the common time of a change in the mean parameters of panel data when dependence is allowed between the panels in the form of a common factor. A CUSUM type estimator is proposed, and we establish first…

We develop new econometric methods for the comparison of nonparametric time trends. In many applications, practitioners are interested in whether the observed time series all have the same time trend. Moreover, they would often like to know…

Price dynamics is analyzed in terms of a model which includes the possibility of effective forces due to trend followers or trend adverse strategies. The method is tested on the data of a minority-majority model and indeed it is capable of…

We examine weak anticipations in discrete-time and continuous-time financial markets consisting of one risk-free asset and multiple risky assets, defining a minimal probability measure associated with the anticipation that does not depend…

Behavioural finance offers a valuable framework for examining foreign exchange (FX) market dynamics, including puzzles such as excess volatility and fat-tailed distributions. Yet, when it comes to their interaction with the `real' side of…

We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…

We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us…

We analyze structure of the world foreign currency exchange (FX) market viewed as a network of interacting currencies. We analyze daily time series of FX data for a set of 63 currencies, including gold, silver and platinum. We group…

In order to emphasize cross-correlations for fluctuations in major market places, series of up and down spins are built from financial data. Patterns frequencies are measured, and statistical tests performed. Strong cross-correlations are…

In this paper we explore the specific role of randomness in financial markets, inspired by the beneficial role of noise in many physical systems and in previous applications to complex socio- economic systems. After a short introduction, we…

Power spectrum densities for the number of tick quotes per minute (market activity) on three currency markets (USD/JPY, EUR/USD, and JPY/EUR) for periods from January 1999 to December 2000 are analyzed. We find some peaks on the power…

This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval {\Delta} results in…

The paper focuses on the link between information, investors' expectations and market price movement. EUR/USD market is examined from communication-theoretical perspective on the dynamics of information and meaning. We build upon the…

This paper assumes that the randomness of market trade values and volumes determines the properties of stochastic market prices. We derive the direct dependence of the first two price statistical moments and price volatility on statistical…

This article examines how emerging economies use countercyclical monetary policies to manage economic crises and fluctuations in dominant currencies, such as the US dollar and the euro. Global economic cycles are marked by phases of…

In this work the system of agents is applied to establish a model of the nonlinear distributed signal processing. The evolution of the system of the agents - by the prediction time scale diversified trend followers, has been studied for the…

Multiple Kernel Learning (MKL) is used to replicate the signal combination process that trading rules embody when they aggregate multiple sources of financial information when predicting an asset's price movements. A set of financially…