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Historically, the economic recession often came abruptly and disastrously. For instance, during the 2008 financial crisis, the SP 500 fell 46 percent from October 2007 to March 2009. If we could detect the signals of the crisis earlier, we…

It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a sufficient measure of market efficiency. We instead propose to…

The initial purpose of the study is to search whether the market exhibits herd behaviour or not by examining the crypto-asset market in the context of behavioural finance. And the second purpose of the study is to measure whether the…

We explore how the mechanics of collective decision-making, especially of jury deliberation, can be inferred from macroscopic statistics. We first hypothesize that the dynamics of competing opinions can leave a "fingerprint" in the joint…

We consider the herding to non-herding transition caused by idiosyncratic choices or imperfect imitation in the context of the Kirman Model for financial markets, or equivalently the Noisy Voter Model for opinion formation. In these…

A non-Bayesian time-varying model is developed by introducing the concept of the degree of market efficiency that varies over time. This model may be seen as a reflection of the idea that continuous technological progress alters the trading…

The stock market is a crucial component of the financial market, playing a vital role in wealth accumulation for investors, financing costs for listed companies, and the stable development of the national macroeconomy. Significant…

Stock market prediction with forecasting algorithms is a popular topic these days where most of the forecasting algorithms train only on data collected on a particular stock. In this paper, we enriched the stock data with related stocks…

The herd behaviors of returns for the won-dollar exchange rate and the KOSPI are analyzed in Korean financial markets. It is shown that the probability distribution $P(R)$ of price returns $R$ for three values of the herding parameter tends…

Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent based model to study quantitatively this…

We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and…

As online shopping becomes ever more prevalent, customers rely increasingly on product rating websites for making purchase decisions. The reliability of online ratings, however, is potentially compromised by the so-called herding effect:…

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…

Machine learning algorithms dedicated to financial time series forecasting have gained a lot of interest. But choosing between several algorithms can be challenging, as their estimation accuracy may be unstable over time. Online aggregation…

The common assumption of universal behavior in stock market data can sometimes lead to false conclusions. In statistical physics, the Hurst exponents characterizing long-range correlations are often closely related to universal exponents.…

In an analysis of the US, the UK, and the German stock market we find a change in the behavior based on the stock's beta values. Before 2006 risky trades were concentrated on stocks in the IT and technology sector. Afterwards risky trading…

The social and psychological concept of herding behavior provides a suitable solution to give an understanding of the behavioral biases that often occur in the capital market. The aim of this paper is to provide an overview of the broader…

Urban housing markets, along with markets of other assets, universally exhibit periods of strong price increases followed by sharp corrections. The mechanisms generating such non-linearities are not yet well understood. We develop an…

We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with…

In addressing the question of the time scales characteristic for the market formation, we analyze high frequency tick-by-tick data from the NYSE and from the German market. By using returns on various time scales ranging from seconds or…