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Intraday volatility and scaling in high frequency foreign exchange markets

Seemann, Lars; McCauley, Joseph L.; Gunaratne, Gemunu H. - In: International review of financial analysis 20 (2011) 3, pp. 121-126

Persistent link: https://www.econbiz.de/10009295805

Scaling behavior in ranking mobility of Chinese stock market

Wu, Ke; Xiong, Wanting; Weng, Xin; Wang, Yougui - In: Physica A: Statistical Mechanics and its Applications 408 (2014) C, pp. 164-169

interval. The scaling property is observed in all three relations. The fact of long relaxation times gives evidence of long …

Persistent link: https://www.econbiz.de/10010873017

Scaling in the distribution of intertrade durations of Chinese stocks

Jiang, Zhi-Qiang; Chen, Wei; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 23, pp. 5818-5825

year 2003. A scaling pattern is observed in the distributions of intertrade durations, where the empirical density … functions of the normalized intertrade durations of all 23 stocks collapse onto a single curve. The scaling pattern is also …

Persistent link: https://www.econbiz.de/10010589043

Scaling and memory in the non-Poisson process of limit order cancelation

Ni, Xiao-Hui; Jiang, Zhi-Qiang; Gu, Gao-Feng; Ren, Fei; … - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 14, pp. 2751-2761

of cancelations exhibit a scaling behavior for different stocks. Complex intra-day patterns are also unveiled in the …

Persistent link: https://www.econbiz.de/10010589071

Wavelet multiscale analysis for Hedge Funds: Scaling and strategies

Conlon, T.; Crane, M.; Ruskin, H.J. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 21, pp. 5197-5204

Discrete Wavelet Transform (MODWT) is applied to measure the scaling properties of Hedge Fund correlation and market risk with … studied and the time scale examined. Finally, the effects of scaling properties on the risk profile of a portfolio made up of …

Persistent link: https://www.econbiz.de/10010590884

Power-law distribution in Japanese racetrack betting

Ichinomiya, Takashi - In: Physica A: Statistical Mechanics and its Applications 368 (2006) 1, pp. 207-213

Gambling is one of the basic economic activities that humans indulge in. An investigation of gambling activities provides deep insights into the economic actions of people and sheds lights on the study of econophysics. In this paper we present an analysis of the distribution of the final odds of...

Persistent link: https://www.econbiz.de/10011060838

Statistical properties of volatility return intervals of Chinese stocks

Ren, Fei; Guo, Liang; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 6, pp. 881-890

exceeding a certain threshold q are carefully studied. The Kolmogorov–Smirnov (KS) test shows that 12 stocks exhibit scaling …

Persistent link: https://www.econbiz.de/10011060960

Grand unification of exotic statistical physics

Stauffer, Dietrich - In: Physica A: Statistical Mechanics and its Applications 285 (2000) 1, pp. 121-126

The article tries to summarize the common traits in most of the morning lectures of this meeting in La̧dek Zdrój.

Persistent link: https://www.econbiz.de/10011061598

The dynamics of traded value revisited

Eisler, Zoltán; Kertész, János - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 66-72

We conclude from an analysis of high resolution NYSE data that the distribution of the traded value fi (or volume) has a finite variance σi for the very large majority of stocks i, and the distribution itself is non-universal across stocks. The Hurst exponent of the same time series displays a...

Persistent link: https://www.econbiz.de/10011063580

Modeling interactions of trading volumes in financial dynamics

Ren, F.; Zheng, B.; Chen, P. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 14, pp. 2744-2750

A dynamic herding model with interactions of trading volumes is introduced. At time t, an agent trades with a probability, which depends on the ratio of the total trading volume at time t−1 to its own trading volume at its last trade. The price return is determined by the volume imbalance and...

Persistent link: https://www.econbiz.de/10011063776