相关论文: Scaling and memory of intraday volatility return i…

We study the long-term memory in diverse stock market indices and foreign exchange rates using the Detrended Fluctuation Analysis(DFA). For all daily and high-frequency market data studied, no significant long-term memory property is…

Earlier we proposed the stochastic point process model, which reproduces a variety of self-affine time series exhibiting power spectral density S(f) scaling as power of the frequency f and derived a stochastic differential equation with the…

We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this…

We investigate the two components of the total daily return (close-to-close), the overnight return (close-to-open) and the daytime return (open-to-close), as well as the corresponding volatilities of the 2215 NYSE stocks from 1988 to 2007.…

A stochastic analysis of financial data is presented. In particular we investigate how the statistics of log returns change with different time delays $\tau$. The scale dependent behaviour of financial data can be divided into two regions.…

We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by a discrete time homogeneous semi-Markov which depends also…

We develop a novel observation-driven model for high-frequency prices. We account for irregularly spaced observations, simultaneous transactions, discreteness of prices, and market microstructure noise. The relation between trade durations…

Complex systems comprise a large number of interacting elements, whose dynamics is not always a priori known. In these cases -- in order to uncover their key features -- we have to turn to empirical methods, one of which was recently…

The dynamical scaling for statistics of critical multifractal eigenstates proposed by Chalker is analytically verified for the critical random matrix ensemble in the limit of strong multifractality controlled by the small parameter $b\ll…

Using the ``Quality Factor'' (QF) method, we analyse the scaling properties of deep-inelastic processes at HERA and fixed target experiments for x<0.01. We look for scaling formulae of the form sigma(tau), where tau(log Q^2, Y) is a scaling…

We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock…

In many physical, social or economical phenomena we observe changes of a studied quantity only in discrete, irregularly distributed points in time. The stochastic process used by physicists to describe this kind of variables is the…

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…

The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole…

We investigate records in a growing sequence of identical and independently distributed random variables. The record equals the largest value in the sequence, and our focus is on the increment, defined as the difference between two…

Clusters generated by the product-rule growth model of Achlioptas, D'Souza, and Spencer on a two-dimensional square lattice are shown to obey qualitatively different scaling behavior than standard (random growth) percolation. The threshold…

We present a nonlinear stochastic differential equation (SDE) which mimics the probability density function (PDF) of the return and the power spectrum of the absolute return in financial markets. Absolute return as a measure of market…

We analyze the Standard & Poor's 500 stock market index from the last 22 years. The probability density function of price returns exhibits two well-distinguished regimes with self-similar structure: the first one displays strong…

We study an asymptotic behavior of the return probability for the critical random matrix ensemble in the regime of strong multifractality. The return probability is expected to show critical scaling in the limit of large time or large…

The fundamental theorem behind financial markets is that stock prices are intrinsically complex and stochastic. One of the complexities is the volatility associated with stock prices. Volatility is a tendency for prices to change…