相关论文: Small scale behavior of financial data

A methodology is developed to identify, as units of study, each decrease in the value of a stock from a given maximum price level. A critical level in the amount of price declines is found to separate a segment operating under a random walk…

This work is devoted to examining qualitative properties of dynamic systems, in particular, limit cycles of stochastic differential equations with both rapid switching and small diffusion. The systems are featured by multi-scale…

We consider multiple time scales systems of stochastic differential equations with small noise in random environments. We prove a quenched large deviations principle with explicit characterization of the action functional. The random medium…

Temporal data distribution shift is prevalent in the financial text. How can a financial sentiment analysis system be trained in a volatile market environment that can accurately infer sentiment and be robust to temporal data distribution…

Financial markets are highly non-linear and non-equilibrium systems. Earlier works have suggested that the behavior of market returns can be well described within the framework of non-extensive Tsallis statistics or superstatistics. For…

We conclude from an analysis of high resolution NYSE data that the distribution of the traded value $f_i$ (or volume) has a finite variance $\sigma_i$ for the very large majority of stocks $i$, and the distribution itself is non-universal…

Distance queries are a basic tool in data analysis. They are used for detection and localization of change for the purpose of anomaly detection, monitoring, or planning. Distance queries are particularly useful when data sets such as…

The question whether a time series behaves as a random walk or as a station- ary process is an important and delicate problem, particularly arising in financial statistics, econometrics, and engineering. This paper studies the problem to…

In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many well-known aspects, such as the L\'evy scaling form, follow as particular cases of the theory. The theory fully takes into…

We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company…

The time-dependent relaxation of a dynamical system may exhibit a power-law behavior that is superimposed by log-periodic oscillations. Sornette [Phys. Rep. 297, 239 (1998)] showed that this behavior can be explained by a discrete scale…

We investigate to which extent the relevant features of (static) Systemic Risk Measures can be extended to a conditional setting. After providing a general dual representation result, we analyze in greater detail Conditional Shortfall…

Permutation approach is suggested as a method to investigate financial time series in micro scales. The method is used to see how high frequency trading in recent years has affected the micro patterns which may be seen in financial time…

Observations indicate that the distributions of stock returns in financial markets usually do not conform to normal distributions, but rather exhibit characteristics of high peaks, fat tails and biases. In this work, we assume that the…

Theory and algorithms are developed for detecting changes in the distribution of statistically periodic random processes. The statistical periodicity is modeled using independent and periodically identically distributed processes, a new…

Financial markets provide an ideal frame for the study of crossing or first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures markets are herein considered…

Complex systems are characterized by a huge number of degrees of freedom often interacting in a non-linear manner. In many cases macroscopic states, however, can be characterized by a small number of order parameters that obey stochastic…

This article is a presentation of specific recent results describing scaling limits of individual-based models. Thanks to them, we wish to relate the time-scales typical of demographic dynamics and natural selection to the parameters of the…

The general relationship between an arbitrary frequency distribution and the expectation value of the frequency distributions of its samples is esablished. A set of combinations of expectation values whose value does not in general depend…

Based on empirical financial time-series, we show that the "silence-breaking" probability follows a super-universal power law: the probability of observing a large movement is inversely proportional to the length of the on-going…