相关论文: Nonextensive statistical features of the Polish st…

A time series that represents daily values of the WIG index (the main index of Warsaw Stock Exchange) over last 5 years is examined. Non-Gaussian features of distributions of fluctuations, namely returns, over a time scale are considered.…

We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with…

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…

We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of 23 stocks traded in the Chinese stock market in 2003. We…

Using the correlation matrix formalism we study the temporal aspects of the Warsaw Stock Market evolution as represented by the WIG20 index. The high frequency (1 min) WIG20 recordings over the time period between January 2001 and October…

We analyse the dynamics of the Warsaw Stock Exchange index WIG at a daily time horizon before and after its well defined local maxima of the cusp-like shape decorated with oscillations. The rising and falling paths of the index peaks can be…

The behavior of stock market returns over a period of 1-60 days has been investigated for S&P 500 and Nasdaq within the framework of nonextensive Tsallis statistics. Even for such long terms, the distributions of the returns are…

One of the principal statistical features characterizing the activity in financial markets is the distribution of fluctuations in market indicators such as the index. While the developed stock markets, e.g., the New York Stock Exchange…

This paper systematically conducts an analysis of the composite index 1-min datasets over the 17-year period (2005-2021) for both the Shanghai and Shenzhen stock exchanges. To reveal the difference between the Chinese and the mature stock…

We study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. While at shorter microscopic time lags the distribution has power-law tails, for mesoscopic times…

We analyze the price return distributions of currency exchange rates, cryptocurrencies, and contracts for differences (CFDs) representing stock indices, stock shares, and commodities. Based on recent data from the years 2017--2020, we model…

Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price…

There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic law. It supports the possibility that…

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…

A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…

Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations. Recently, there have been assertions that this distribution is qualitatively…

We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail, while the short-time return distribution…

We study the inter-stock correlations for the largest companies listed on Warsaw Stock Exchange and included in the WIG20 index. Our results from the correlation matrix analysis indicate that the Polish stock market can be well described by…

The shape and tails of partial distribution functions (PDF) for a financial signal, i.e. the S&P500 and the turbulent nature of the markets are linked through a model encompassing Tsallis nonextensive statistics and leading to evolution…

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…