相关论文: Small scale behavior of financial data

We investigate the general problem of how to model the kinematics of stock prices without considering the dynamical causes of motion. We propose a stochastic process with long-range correlated absolute returns. We find that the model is…

To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…

We study the problem of detecting a common change point in large panel data based on a mean shift model, wherein the errors exhibit both temporal and cross-sectional dependence. A least squares based procedure is used to estimate the…

A non--linear diffusion equation is derived by taking into account hopping rates depending on the occupation of next neighbouring sites. There appears additonal repulsive and attractive forces leading to a changed local mobiltiy. The…

In normal times, it is assumed that financial institutions operating in non-overlapping sectors have complementary and distinct outcomes, typically reflected in mostly uncorrelated outcomes and asset returns. Such is the reasoning behind…

We study the limiting behavior of continuous time trawl processes which are defined using an infinitely divisible random measure of a time dependent set. In this way one is able to define separately the marginal distribution and the…

Symbolic transfer entropy is a powerful non-parametric tool to detect lead-lag between time series. Because a closed expression of the distribution of Transfer Entropy is not known for finite-size samples, statistical testing is often…

We empirically analyze the scaling properties of daily Foreign Exchange rates, Stock Market indices and Bond futures across different financial markets. We study the scaling behaviour of the time series by using a generalized Hurst exponent…

Under certain circumstances, the time behavior of a random walk is modulated by logarithmic periodic oscillations. The goal of this paper is to present a simple and pedagogical explanation of the origin of this modulation for diffusion on a…

A property of data which is common across a wide range of instruments, markets and time periods is known as stylized empirical fact in the financial statistics literature. This paper first presents a wide range of stylized facts studied in…

We consider a continuous-time random walk which is the generalization, by means of the introduction of waiting periods on sites, of the one-dimensional nonhomogeneous random walk with a position-dependent drift known in the mathematical…

We present a detailed study of the performance of a trading rule that uses moving average of past returns to predict future returns on stock indexes. Our main goal is to link performance and the stochastic process of the traded asset. Our…

Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are not only relatively likely, but they also occur in a rather peculiar way where a finite fraction of the whole sample deviation is concentrated…

On certain self-similar substrates the time behavior of a random walk is modulated by logarithmic periodic oscillations on all time scales. We show that if disorder is introduced in a way that self-similarity holds only in average, the…

In empirical studies of random walks, continuous trajectories of animals or individuals are usually sampled over a finite number of points in space and time. It is however unclear how this partial observation affects the measured…

We generalize the method of Van Hove so as to deal with the case of non-ordinary statistical mechanics, that being phenomena with no time-scale separation. We show that in the case of ordinary statistical mechanics, even if the adoption of…

Statistical differentiability of the measure along the reconstructed trajectory is a good candidate to quantify determinism in time series. The procedure is based upon a formula that explicitly shows the sensitivity of the measure to…

We show that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-law tails of volatility and stock returns. We also show that…

This paper is devoted to testing time series that exhibit behavior related to two or more regimes with different statistical properties. Motivation of our study are two real data sets from plasma physics with observable two-regimes…

Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in log normalized returns, the…