相关论文: Financial Markets and Persistence

We investigated the critical dynamics on the daily Taiwan stock exchange index (TSE) from 1971 to 2005, and the 5-min intraday data from 1996 to 2005. A global persistence exponent $\theta_{p}$ was defined for non-equilibrium critical…

The analysis of financial markets using models inspired by statistical physics offers a fruitful approach to understand collective and extreme phenomena [3, 14, 15] In this paper, we present a study based on a 2D Ising network model where…

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 scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of…

This study analyses the duration dependence of events that trigger volatility persistence in stock markets. Such events, in our context, are monthly spells of contiguous price decline or negative returns for the S&P500 stock market index…

One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known…

Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…

We study in this paper the time evolution of stock markets using a statistical physics approach. Each agent is represented by a spin having a number of discrete states $q$ or continuous states, describing the tendency of the agent for…

We introduce simplicial persistence, a measure of time evolution of network motifs in subsequent temporal layers. We observe long memory in the evolution of structures from correlation filtering, with a two regime power law decay in the…

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…

This article deals with the asymptotic behaviour as $t\to +\infty$ of the survival function $P[T > t],$ where $T$ is the first passage time above a non negative level of a random process starting from zero. In many cases of physical…

Price fluctuations in financial markets can be characterized by L\'evy's stable distribution, which is supported by the generalized central limit system. When the stable parameters were estimated from four different stock markets in long…

We study the persistence probability for some discrete-time, time-reversible processes. In particular, we deduce the persistence exponent in a number of examples: first, we deal with random walks in random sceneries (RWRS) in any dimension…

We measure the persistence exponent in a phase separating two-dimensional spin system with non-conserved dynamics quenched in a region with four coexisting stripe phases. The system is an Ising model with nearest neighbor,…

We study persistence in one-dimensional ferromagnetic and anti-ferromagnetic nearest-neighbor Ising models with parallel dynamics. The probability P(t) that a given spin has not flipped up to time t, when the system evolves from an initial…

We consider a periodic Ising chain with nearest-neighbour and $r$-th neighbour interaction and quench it from infinite temperature to zero temperature. The persistence probability $P(t)$, measured as the probability that a spin remains…

We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by…

Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average <f(i)>: sigma(i) ~ f(i)^alpha, with a strong time scale dependence alpha(dt). The…

There is intense interest in understanding the stochastic and dynamical properties of the global Foreign Exchange (FX) market, whose daily transactions exceed one trillion US dollars. This is a formidable task since the FX market is…

Persistence is an important characteristic of many complex systems in nature, related to how long the system remains at a certain state before changing to a different one. The study of complex systems' persistence involves different…