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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

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

Different methodologies and uses of the Hurst exponent in econophysics

Nieves López García, María de las; Ramos-Requena, J. P. - In: Estudios de economía aplicada : revista promovida por … 37 (2019) 2, pp. 107-119

Persistent link: https://www.econbiz.de/10012063553

Evidence of intraday multifractality in European stock markets during the recent coronavirus (covid-19) outbreak

Aslam, Faheem; Mohti, Wahbeeah; Ferreira, Paulo - In: International Journal of Financial Studies : open … 8 (2020) 2/31, pp. 1-13

This study assesses how the coronavirus pandemic (COVID-19) affects the intraday multifractal properties of eight European stock markets by using five-minute index data ranging from 1 January 2020 to 23 March 2020. The Hurst exponents are calculated by applying multifractal detrended fluctuation...

Persistent link: https://www.econbiz.de/10012239424

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

Heterogeneous speculators and stock market dynamics : a simple agent-based computational model

Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2020

crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby … regimes with high volatility originate from the fact that speculators extract stronger trading signals out of past stock price …

Persistent link: https://www.econbiz.de/10012257370

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

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

Econophysical bourse volatility : global evidence

Ghosh, Bikramaditya; Krishna Mysore Chidambareswaran - In: Journal of central banking theory and practice 9 (2020) 2, pp. 87-107

Financial Reynolds number (Re) has been proven to have the capacity to predict volatility, herd behaviour and nascent … embedded volatility, herd behaviour and nascent bubble. Overall the volatility distribution has been found to be Gaussian in … nature, as far as volatility, herd behaviour and nascent bubble are concerned. …

Persistent link: https://www.econbiz.de/10012305755

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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