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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
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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
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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
returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent stocks of SSEC. The scaling behavior and … distribution for the realized volatility shows a better scaling behavior since 20 stocks (out of 22 stocks) and the SSEC pass the … Kolmogorov–Smirnov (KS) test and exhibit scaling behaviors, among which the scaling function for 8 stocks could be approximated …
Persistent link: https://www.econbiz.de/10011064679
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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
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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
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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
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Power-law distribution in Japanese racetrack betting
Ichinomiya, Takashi - In: Physica A: Statistical Mechanics and its Applications 368 (2006) 1, pp. 207-213
provides deep insights into the economic actions of people and sheds lights on the study of econophysics. In this paper we …
Persistent link: https://www.econbiz.de/10011060838
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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
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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
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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