This article is an attempt to test, through the use of forward forecasting test on dynamic conditional correlation (DCC), for contagion between Taiwan and US stocks under asymmetry. The process includes three steps. The first step uses the iterated cumulative sums of squares (ICSS) algorithm to...

We report the quiet-time probability distribution of the absolute return in the Korean stock-market index. We define the quiet time as a time interval during the absolute return of the stock index that are above a threshold rc. Through an exponential bin plot, we observe that the quiet-time...

Beginning with several basic hypotheses of quantum mechanics, we give a new quantum model in econophysics. In this model, we define wave functions and operators of the stock market to establish the Schrödinger equation for stock price. Based on this theoretical framework, an example of a driven...

Traffic flow at low densities (free traffic) is characterized by a quasi-one-dimensional relation between traffic flow and vehicle density, while no such fundamental diagram exists for ‘synchronized’ congested traffic flow. Instead, a two-dimensional area of widely scattered flow-density...

In this paper, we propose an efficiency index and multifractality degree for financial markets, and investigate the dynamics of the relationship between the two indices for the Shanghai stock market employing the technique of rolling window. By using the DCCA cross-correlation coefficient, we...

This paper explores the co-movement of Shanghai stock market and China Yuan (CNY) exchange rates. First, we find that stock price and exchange rate are significantly cross-correlated. Second, employing a cointegration test allowing for a structural break, we find that the Shanghai Composite...

We consider the probability distribution function of the trading volume and the volume changes in the Korean stock market. The probability distribution function of the trading volume shows double peaks and follows a power law, P(V/〈V〉)∼(V/〈V〉)−α at the tail part of the distribution...

Using the descriptive method of log-periodic power laws (LPPL) based on a theory of behavioral herding, we use a battery of parametric and non-parametric tests to demonstrate the existence of an antibubble in the yields with maturities larger than 1 year since October 2000. The concept of...

A Monte Carlo computer simulation model is presented to study the evolution of stock price and the distribution of price fluctuation. The resistance is described by an elastic energy Ee=e·x2 resulting from the price deviation x from an initial value and the momentum trading by the potential...

Power-law distributions have been observed in various economical and physical systems. Lévy flights have infinite variance which discourage a physical approach. We introduce a class of stochastic processes, the “gradually truncated Lévy flight” in which large steps of a Lévy flight are...