相关论文: Complex Behavior of Stock Markets: Processes of Sy…

I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting…

We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…

This dissertation investigates the ability of the Ising model to replicate statistical characteristics, or stylized facts, commonly observed in financial assets. The study specifically examines in the S&P500 index the following features:…

The collective phenomena of a liquid market is characterized in terms of a particle system scenario. This physical analogy enables us to disentangle intrinsic features from purely stochastic ones. The latter are the result of environmental…

We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is…

Although the cluster theory literature is bountiful in economics and regional science, there is still a lack of understanding of how the geographical scales of analysis (neighbourhood, city, region) relate to one another and impact the…

Detailed study of the financial empirical correlation matrix of the 30 companies comprised by DAX within the period of the last 11 years, using the time-window of 30 trading days, is presented. This allows to clearly identify a nontrivial…

We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest…

We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We…

We study historical dynamics of joint equilibrium distribution of stock returns in the U.S. stock market using the Boltzmann distribution model being parametrized by external fields and pairwise couplings. Within Boltzmann learning…

It seems to be very unlikely that all relevant information in the stock market could be fully encoded in a geometrical shape. Still,the present paper will reveal the geometry behind the stock market transactions. The prices of market index…

Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them.…

In this paper, we explore the detection of clusters of stocks that are in synergy in the Indian Stock Market and understand their behaviour in different circumstances. We have based our study on high frequency data for the year 2014. This…

We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day,…

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two…

The dynamics of the S&P500 price signal is studied using a moving average technique. Particular attention is paid to intersections of two moving averages with different time horizons. The distributions of the slopes and angle between two…

We compare correlations and coherent structures in nuclei and financial markets. In the nuclear physics part we review giant resonances which can be interpreted as a coherent structure embedded in chaos. With similar methods we investigate…

The analysis of market correlations is crucial for optimal portfolio selection of correlated assets, but their memory effects have often been neglected. In this work, we analyse the mean market correlation of the S&P500 which corresponds to…

Understanding stock market instability is a key question in financial management as practitioners seek to forecast breakdowns in asset co-movements which expose portfolios to rapid and devastating collapses in value. The structure of these…

This paper introduces a new framework to quantify distance between finite sets with uncertainty present, where probability distributions determine the locations of individual elements. Combining this with a Bayesian change point detection…