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Symmetric thermal optimal path and time-dependent lead-lag relationship : novel statistical tests and application to UK and US real-estate and monetary policies

Meng, Hao; Zhou, Wei-Xing; Sornette, Didier - 2014

We present the symmetric thermal optimal path (TOPS) method to determine the time-dependent lead-lag relationship between two stochastic time series. This novel version of the previously introduced TOP method alleviates some inconsistencies by imposing that the lead-lag relationship should be...

Persistent link: https://www.econbiz.de/10010442989

Relaxation dynamics of aftershocks after large volatility shocks in the SSEC index

Mu, Guo-Hua; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 21, pp. 5211-5218

The relaxation dynamics of aftershocks after large volatility shocks are investigated based on two high-frequency data sets of the Shanghai Stock Exchange Composite (SSEC) index. Compared with previous relevant work, we have defined main financial shocks based on large volatilities rather than...

Persistent link: https://www.econbiz.de/10010871864

Unveiling correlations between financial variables and topological metrics of trading networks: Evidence from a stock and its warrant

Li, Ming-Xia; Jiang, Zhi-Qiang; Xie, Wen-Jie; Xiong, Xiong - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 575-584

Traders develop and adopt different trading strategies attempting to maximize their profits in financial markets. These trading strategies not only result in specific topological structures in trading networks, which connect the traders with the pairwise buy–sell relationships, but also have...

Persistent link: https://www.econbiz.de/10011117884

Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant

Ruan, Yong-Ping; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 9, pp. 1646-1654

The intertrade duration of equities is an important financial measure, characterizing trading activities; it is defined as the waiting time between successive trades of an equity. Using the ultrahigh-frequency data of a liquid Chinese stock and its associated warrant, we perform a comparative...

Persistent link: https://www.econbiz.de/10011062661

Analysis of the real estate market in Las Vegas: Bubble, seasonal patterns, and prediction of the CSW indices

Zhou, Wei-Xing; Sornette, Didier - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 1, pp. 243-260

We analyze 27 house price indices of Las Vegas from June 1983 to March 2005, corresponding to 27 different zip codes. These analyses confirm the existence of a real estate bubble, defined as a price acceleration faster than exponential, which is found, however, to be confined to a rather limited...

Persistent link: https://www.econbiz.de/10011064123

Evidence of a worldwide stock market log-periodic anti-bubble since mid-2000

Zhou, Wei-Xing; Sornette, Didier - In: Physica A: Statistical Mechanics and its Applications 330 (2003) 3, pp. 543-583

2 (2002) 468), we analyze 38 world stock market indices and identify 21 “bearish anti-bubbles” and six “bullish anti-bubbles … function of time and by expanding log-periodic oscillations. We propose that bearish anti-bubbles are created by positive price … anti-bubbles are here identified for the first time. The most striking discovery is that the majority of European and …

Persistent link: https://www.econbiz.de/10011064314

Scaling and memory in the return intervals of realized volatility

Ren, Fei; Gu, Gao-Feng; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 22, pp. 4787-4796

We perform return interval analysis of 1-min realized volatility defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent stocks of SSEC. The scaling behavior and memory effect of the return intervals between...

Persistent link: https://www.econbiz.de/10011064679

Is there a real-estate bubble in the US?

Zhou, Wei-Xing; Sornette, Didier - In: Physica A: Statistical Mechanics and its Applications 361 (2006) 1, pp. 297-308

Using a methodology developed in previous papers, we analyze the quarterly average sale prices of new houses sold in the USA as a whole, in the Northeast, Midwest, South, and West of the USA, in each of the 50 states and the District of Columbia of the USA, to determine whether they have grown...

Persistent link: https://www.econbiz.de/10010588672

Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processes

Qian, Xi-Yuan; Gu, Gao-Feng; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 23, pp. 4388-4395

Detrended fluctuation analysis (DFA) is a simple but very efficient method for investigating the power-law long-term correlations of non-stationary time series, in which a detrending step is necessary to obtain the local fluctuations at different timescales. We propose to determine the local...

Persistent link: https://www.econbiz.de/10010588818

Statistical properties of daily ensemble variables in the Chinese stock markets

Gu, Gao-Feng; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 2, pp. 497-506

We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble return and variety defined, respectively, as the mean and the standard deviation of the ensemble daily price return of a portfolio of stocks traded in China's stock markets on a...

Persistent link: https://www.econbiz.de/10010589032