相关论文: On the origin of the Epps effect

The non-linear relation between electric polarization and electric field strength is achieved through introducing the retarded electromagnetic interactions between classical charge particles. The result agrees with the phenomenological…

A minimal model of a market of myopic non-cooperative agents who trade bilaterally with random bids reproduces qualitative features of short-term electric power markets, such as those in California and New England. Each agent knows its own…

Anticipation in traffic means that drivers estimate their leaders' velocities for future timesteps. In the article a specific stochastic car--following model with non--unique flow--density relation is investigated with respect to…

This paper proposes a theory of stock market predictability patterns based on a model of heterogeneous beliefs. In a discrete finite time framework, some agents receive news about an asset's fundamental value through a noisy signal. The…

Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…

The percolation model of stock market speculation allows an asymmetry (in the return distribution) leading to fast downward crashes and slow upward recovery. We see more small upturns and more intermediate downturns.

The correlation function of a financial index of the New York stock exchange, the S&P 500, is analyzed at 1 min intervals over the 13-year period, Jan 84 -- Dec 96. We quantify the correlations of the absolute values of the index increment.…

Synchronization is a phenomenon in which a pair of fluctuations adjust their rhythms when interacting with each other. We measure the degree of synchronization between the U.S. dollar (USD) and euro exchange rates and between the USD and…

The structure of return spillovers is examined by constructing Granger causality networks using daily closing prices of 20 developed markets from 2nd January 2006 to 31st December 2013. The data is properly aligned to take into account…

We uncover a large and significant low-minus-high rank effect for commodities across two centuries. There is nothing anomalous about this anomaly, nor is it clear how it can be arbitraged away. Using nonparametric econometric methods, we…

Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading,…

Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a predefined level of return is obtained…

Entropy measures in their various incarnations play an important role in the study of stochastic time series providing important insights into both the correlative and the causative structure of the stochastic relationships between the…

In multivariate time series systems, lead-lag relationships reveal dependencies between time series when they are shifted in time relative to each other. Uncovering such relationships is valuable in downstream tasks, such as control,…

Inference of causality is central in nonlinear time series analysis and science in general. A popular approach to infer causality between two processes is to measure the information flow between them in terms of transfer entropy. Using…

We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New…

Effects of randomness on non-integer power law tails in multiplicatively interacting stochastic processes are investigated theoretically. Generally, randomness causes decrease of the exponent of tails and the growth rate of processes.…

In this empirical paper we show that in the months following a crash there is a distinct connection between the fall of stock prices and the increase in the range of interest rates for a sample of bonds. This variable, which is often…

The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting…

There is a relation between the irreversibility of thermodynamic processes as expressed by the breaking of time-reversal symmetry, and the entropy production in such processes. We explain on an elementary mathematical level the relations…