The need to provide accurate value-at-risk (VaR) forecasting measures has triggered an important literature in econophysics. Although these accurate VaR models and methodologies are particularly demanded for hedge fund managers, there exist few articles specifically devoted to implement new...

We analyze intraday fluctuations in several stock indices to investigate the underlying stochastic processes using techniques appropriate for processes with nonstationary increments. The five most actively traded stocks each contains two time intervals during the day where the variance of...

2007–2008 US financial crisis adversely affected the stock markets all over the world.  Asian markets also came under pressure and were differently affected. As markets under stress could reveal features that remain hidden under normal conditions, we use MF-DFA technique to investigate the...

The EMH has been the subject of much debate over the past few decades, with a recent surge in interest in Asian markets. Asian markets which traditionally comprise of many emerging markets are more volatile and speculative in nature. The heart of our study focuses on the East Asian economies,...

The stock prices of companies with businesses that are closely related within a specific sector of economy might exhibit movement patterns and correlations in their dynamics. The idea in this work is to use the concept of autocatalytic network to model such correlations and patterns in the...

The de-trended cross-correlation analysis (DCCA) is converted to a new form, which turns out to be a periodic function modulated power-law, to evaluate discrete-scale long-range cross-correlation between time series. If the modulator is dominated with one frequency, the derived form will...

If stock markets are complex, monetary policy and even financial regulation may be useless to prevent bubbles and crashes. Here, we suggest the use of robot traders as an anti-bubble decoy. To make our case, we put forward a new stochastic cellular automata model that generates an emergent stock...