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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

Droplet shape fluctuations in agitated emulsions—Beyond the dilute limit

Frenkel, Gad - In: Physica A: Statistical Mechanics and its Applications 427 (2015) C, pp. 251-261

The paper investigates the interaction between dispersed droplets in an emulsion under random stirring of the host fluid. The main interest is to examine the autocorrelation of the shape fluctuations in such randomly stirred host fluids, beyond the dilute limit regime. Keeping expressions to...

Persistent link: https://www.econbiz.de/10011209645

Wavelet correlation coefficient of ‘strongly correlated’ time series

Razdan, Ashok - In: Physica A: Statistical Mechanics and its Applications 333 (2004) C, pp. 335-342

wavelet spectra, we also calculate the wavelet correlation coefficient and show that strong correlation or strong anti-correlation …

Persistent link: https://www.econbiz.de/10010872729

The correlation between intrinsic noise and extrinsic noise

Liu, Shengjun; Wang, Qi; Feng, Hai - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 20, pp. 5138-5142

The correlation between intrinsic noise and extrinsic noise in a stochastic system is reviewed in this paper. And the … contribution of the correlation between intrinsic noise and extrinsic noise to the power spectrum is quantified by simulation …

Persistent link: https://www.econbiz.de/10010873291

Correlations and multi-affinity in high frequency financial datasets

Baviera, Roberto; Pasquini, Michele; Serva, Maurizio; … - In: Physica A: Statistical Mechanics and its Applications 300 (2001) 3, pp. 551-557

In this paper we perform a quantitative check of long term correlations and multi-affinity in Deutsche Mark/US Dollar exchange rates using high frequency data. We show that the use of business time, i.e., the ranking of the quotes in the sequences, eliminates most of the seasonality in...

Persistent link: https://www.econbiz.de/10010873578

Measuring time dependent volatility and cross-sectional correlation in Australian equity returns

Bertram, William K. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 13, pp. 3183-3191

In this study we examine the time-dependent nature of volatility and cross-correlation of Australian equity returns … data. Volatility and correlation estimates are calculated using methods that allow for non-stationary behaviour. By … averaging the estimates across the entire data set we show that the correlation in ASX stock returns displays evidence of …

Persistent link: https://www.econbiz.de/10010874474

Analysis of high-resolution foreign exchange data of USD-JPY for 13 years

Mizuno, Takayuki; Kurihara, Shoko; Takayasu, Misako; … - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 1, pp. 296-302

We analyze high-resolution foreign exchange data consisting of 20 million data points of USD-JPY for 13 years to report firm statistical laws in distributions and correlations of exchange rate fluctuations. A conditional probability density analysis clearly shows the existence of trend-following...

Persistent link: https://www.econbiz.de/10010874673

Grafting of higher-order correlations of real financial markets into herding models

Ahn, Sanghyun; Lim, Gyuchang; Kim, Sooyong; Kim, Kyungsik - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 15, pp. 3195-3201

more fat-tailed distribution compared to real data, and a long-range correlation of absolute returns that underlie the … a sorting method to incorporate the nonlinear correlation structure of a real financial time series into the generated …

Persistent link: https://www.econbiz.de/10010874869

The diffusion behavior of a simple map with periodic quenched disorder

Tseng, Hsen-Che; Huang, Peng-Ru; Chen, Hung-Jung; Hu, … - In: Physica A: Statistical Mechanics and its Applications 281 (2000) 1, pp. 323-336

correlation behavior of the sequences of +1 or −1, which are determined by the kinds of disorder (represented by +1 or −1) visited …

Persistent link: https://www.econbiz.de/10011057015

Yet on statistical properties of traded volume: Correlation and mutual information at different value magnitudes

Duarte Queirós, S.M.; Moyano, L.G. - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 1, pp. 10-15

In this article we analyse linear correlation and non-linear dependence of traded volume, v, of the 30 constituents of …

Persistent link: https://www.econbiz.de/10011058294