相关论文: Scaling and memory of intraday volatility return i…
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
Grasping the historical volatility of stock market indices and accurately estimating are two of the major focuses of those involved in the financial securities industry and derivative instruments pricing. This paper presents the results of…
We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble returns and varieties defined respectively as the mean and the standard deviation of the ensemble daily price returns of…
We consider the tail probabilities of stock returns for a general class of stochastic volatility models. In these models, the stochastic differential equation for volatility is autonomous, time-homogeneous and dependent on only a finite…
Directional-change Intrinsic Time analysis has long revealed scaling laws in market microstructure, but the origin of their stability remains elusive. This article presents evidence that Intrinsic Time can be modeled as a memoryless…
Many stochastic time series can be modelled by discrete random walks in which a step of random sign but constant length $\delta x$ is performed after each time interval $\delta t$. In correlated discrete time random walks (CDTRWs), the…
The statistical properties of the increments x(t+T) - x(t) of a financial time series depend on the time resolution T on which the increments are considered. A non-parametric approach is used to study the scale dependence of the empirical…
The probability distribution of log-returns for financial time series, sampled at high frequency, is the basis for any further developments in quantitative finance. In this letter, we present experimental results based on a large set of…
In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the…
In this paper we propose a new model for volatility fluctuations in financial time series. This model relies on a non-stationary gaussian process that exhibits aging behavior. It turns out that its properties, over any finite time interval,…
We address a recent conjecture according to which the relaxation time $\tau$ of a viscous liquid obeys density scaling ($\tau=F(\rho^\gamma/T)$ where $\rho$ is density) if the liquid is ``strongly correlating,'' i.e., has almost 100%…
This paper studies the joint role of long-memory dynamics,rough-volatility behavior, and persistence-based forecasting features in equity volatility modeling. We combine semiparametric long-memory estimation, rough-volatility diagnostics,…
The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the limit order book data and order flows of 23…
The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps…
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…
This paper presents an empirical investigation of the intraday Brazilian stock market price fluctuations, considering q-Gaussian distributions that emerge from a non-extensive statistical mechanics. Our results show that, when returns are…
Understanding the statistical properties of recurrence intervals of extreme events is crucial to risk assessment and management of complex systems. The probability distributions and correlations of recurrence intervals for many systems have…
The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability…