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Non-Poisson intermittent events in price formation in a Ising spin model of market
Greco, Antonella; Carbone, Vincenzo; Sorriso-Valvo, Luca - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 480-486
volatility signal, typical of the real market data. …
Persistent link: https://www.econbiz.de/10011064138
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Fitting the empirical distribution of intertrade durations
Politi, Mauro; Scalas, Enrico - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 8, pp. 2025-2034
Based on the analysis of a tick-by-tick data set used in the previous work by one of the authors (DJIA stocks traded at NYSE in October 1999), in this paper, we reject the hypothesis that tails of the empirical intertrade distribution are described by a power law. We further argue that the...
Persistent link: https://www.econbiz.de/10010588879
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Multifractal analysis of volatility for detection of herding and bubble : evidence from CNX Nifty HFT
Ghosh, Bikramaditya; Kozarević, Emira - In: Investment management and financial innovations 16 (2019) 3, pp. 182-193
Persistent link: https://www.econbiz.de/10012159372
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Predictability and herding of bourse volatility : an econophysics analogue
Ghosh, Bikramaditya; Krishna, Mysore Chidambareswaran; … - In: Investment management and financial innovations 15 (2018) 2, pp. 317-326
Persistent link: https://www.econbiz.de/10012055468
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Heterogeneous speculators and stock market dynamics : a simple agent-based computational model
Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - In: The European journal of finance 28 (2022) 13/15, pp. 1263-1282
Persistent link: https://www.econbiz.de/10013532181
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Volatility-constrained correlation identifies the directionality of the influence between Japan’s Nikkei 225 and other financial markets
Ochiai, Tomoshiro; Nacher, Jose C. - In: Physica A: Statistical Mechanics and its Applications 393 (2014) C, pp. 364-375
average index (Nikkei 225) and other financial markets by introducing a volatility-constrained correlation metric. The …
Persistent link: https://www.econbiz.de/10010709968
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Volatility cluster and herding
Wagner, Friedrich - In: Physica A: Statistical Mechanics and its Applications 322 (2003) C, pp. 607-619
Stock markets can be characterized by fat tails in the volatility distribution, clustering of volatilities and slow … description of the data. As a new type of data we describe the volatility cluster by the waiting time distribution, which can be …
Persistent link: https://www.econbiz.de/10010588640
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Degree stability of a minimum spanning tree of price return and volatility
Miccichè, Salvatore; Bonanno, Giovanni; Lillo, Fabrizio; … - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 1, pp. 66-73
-based clustering procedure which starts from (i) asset return and (ii) volatility time series. The MST is obtained at different times … volatility time series. Our analysis also shows that the degree of stocks has a very slow dynamics with a time scale of several …
Persistent link: https://www.econbiz.de/10010588741
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Statistical analysis of high frequency data from the Athens stock exchange
Mills, Terence C. - In: Physica A: Statistical Mechanics and its Applications 293 (2001) 3, pp. 566-572
. Volatility also scales, but with a cross-over point of 1 day, with long-run correlations being particularly important. …
Persistent link: https://www.econbiz.de/10010589795
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Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents
Kaizoji, Taisei; Bornholdt, Stefan; Fujiwara, Yoshi - In: Physica A: Statistical Mechanics and its Applications 316 (2002) 1, pp. 441-452
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log-returns of stock prices to magnetization in the model and find that it is closely related to trading volume as...
Persistent link: https://www.econbiz.de/10010590787