相关论文: Aging in Financial Market

Financial markets across all asset classes are known to exhibit trends. These trends have been exploited by traders for decades. Here, we empirically measure when trends revert, based on 30 years of daily futures prices for equity indices,…

In the seminal work [5], Ben Arous and \v{C}ern\'y give a general characterization of aging for trap models in terms of $\alpha$-stable subordinators with $\alpha \in (0,1)$. Some of the important examples that fall into this universality…

The time process of transport on randomly evolving trees is investigated. By introducing the notions of living and dead nodes a model of random tree evolution is constructed which describes the spreading in time of objects corresponding to…

We propose a methodology for clustering financial time series of stocks' returns, and a graphical set-up to quantify and visualise the evolution of these clusters through time. The proposed graphical representation allows for the…

China's stock market is the largest emerging market all over the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependence. We study the predictability of…

Although there is a wide use of technical trading rules in stock markets, the profitability of them still remains controversial. This paper first presents and proves the upper bound of cumulative return, and then introduces many of…

In the past few decades considerable effort has been expended in characterizing and modeling financial time series. A number of stylized facts have been identified, and volatility clustering or the tendency toward persistence has emerged as…

We study the Metropolis dynamics of the simplest mean-field spin glass model, the Random Energy Model. We show that this dynamics exhibits aging by showing that the properly rescaled time change process between the Metropolis dynamics and a…

A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…

Complex systems, in many different scientific sectors, show coarse-grain properties with simple growth laws with respect to fundamental microscopic algorithms. We propose a classification scheme of growth laws which includes human aging,…

Continuous time random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporating a random waiting time between particle jumps. In finance, the particle jumps are log-returns and the waiting times measure delay between…

The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…

A new branch based on Markov processes is developing in the recent literature of financial time series modeling. In this paper, an Indexed Markov Chain has been used to model high frequency price returns of quoted firms. The peculiarity of…

The question whether a time series behaves as a random walk or as a station- ary process is an important and delicate problem, particularly arising in financial statistics, econometrics, and engineering. This paper studies the problem to…

We model financial transactions as random walks on activity-driven temporal networks. By enforcing fund conservation, our framework analytically derives heavy-tailed distributions for the stationary balances and transaction sizes.…

In this paper we provide compelling evidence of cyclical mean reversion and multiperiod stock return predictability over horizons of about 30 years with a half-life of about 15 years. This implies that the US stock market follows a…

We introduce some new generalized stochastic orderings (in the spirit of relative ageing) which compare probability distributions with the exponential distribution. These orderings are useful to understand the phenomenon of positive ageing…

Possible distributions are discussed for intertrade durations and first-passage processes in financial markets. The view-point of renewal theory is assumed. In order to represent market data with relatively long durations, two types of…

A new proof is given for the formula for the expected return time of a random walk on a graph. This proof makes use of known relationships between electric resistance and random walks.

We establish the existence of anomalous excess returns based on trend following strategies across four asset classes (commodities, currencies, stock indices, bonds) and over very long time scales. We use for our studies both futures time…