相关论文: Collective synchronization and high frequency syst…

Traditional stock market prediction approaches commonly utilize the historical price-related data of the stocks to forecast their future trends. As the Web information grows, recently some works try to explore financial news to improve the…

Intermittent large amplitude events are seen in the temporal evolution of a state variable of many dynamical systems. Such intermittent large events suddenly start appearing in dynamical systems at a critical value of a system parameter and…

The rapid growth of social media has been witnessed during recent years as a result of the prevalence of the internet. This trend brings an increasing interest in simulating social media which can provide valuable insights to both academic…

The complexity of many biological, social and technological systems stems from the richness of the interactions among their units. Over the past decades, a great variety of complex systems has been successfully described as networks whose…

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…

Hawkes processes were first introduced to obtain microscopic models for the rough volatility observed in asset prices. Scaling limits of such processes leads to the rough-Heston model that describes the macroscopic behavior. Blanc et al.…

The measured correlations of financial time series in subsequent epochs change considerably as a function of time. When studying the whole correlation matrices, quasi-stationary patterns, referred to as market states, are seen by applying…

High-frequency market making is a liquidity-providing trading strategy that simultaneously generates many bids and asks for a security at ultra-low latency while maintaining a relatively neutral position. The strategy makes a profit from…

Among the statistical tools for online information diffusion modeling, both epidemic models and Hawkes point processes are popular choices. The former originate from epidemiology, and consider information as a viral contagion which spreads…

We introduce tools to capture the dynamics of three different pathways, in which the synchronization of human decision-making could lead to turbulent periods and contagion phenomena in financial markets. The first pathway is caused when…

It is reported that financial news, especially financial events expressed in news, provide information to investors' long/short decisions and influence the movements of stock markets. Motivated by this, we leverage financial event streams…

The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…

Human populations exhibit complex behaviors---characterized by long-range correlations and surges in activity---across a range of social, political, and technological contexts. Yet it remains unclear where these collective behaviors come…

The Hawkes process is a model for counting the number of arrivals to a system which exhibits the self-exciting property - that one arrival creates a heightened chance of further arrivals in the near future. The model, and its…

Many dynamical phenomena display a cyclic behavior, in the sense that time can be partitioned into units within which distributional aspects of a process are homogeneous. In this paper, we introduce a class of models - called conjugate…

We introduce a simple dynamical model of two interacting communities whose elements are subject to stochastic discrete-time updates governed by only bilinear interactions. When the intra- and inter-couplings are cooperative, the two…

Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent since 2005, are apparent in the dynamics…

By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the…

Lead/lag relationships are an important stylized fact at high frequency. Some assets follow the path of others with a small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric…

The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such…