Profit realization is the dominant feature of market-based economic systems, determining their dynamics to a large extent. Rather than attaining an equilibrium, profit rates vary widely across firms, and the variation persists over time. Differing definitions of profit result in differing...

This paper addresses the topic of classifying financial time series in a fuzzy framework proposing two fuzzy clustering models both based on GARCH models. In general clustering of financial time series, due to their peculiar features, needs the definition of suitable distance measures. At this...

By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the investors’ global behavior are found to be closely related...

This paper constructs the positive arbitrage position by alternating the spot index with Chinese Exchange Traded Fund (ETF) portfolio and estimating the arbitrage-free interval of futures with the latest trade data. Then, an improved Delta-normal method was used, which replaces the simple linear...

The conditionally exponential decay (CED) model is used to explain the scaling laws observed in financial data. This approach enables us to identify the distributions of currency exchange rate or economic indices returns (changes) corresponding to the empirical scaling laws. This is illustrated...

We investigate the cross-correlation between price returns and trading volumes for the China Securities Index 300 (CSI300) index futures, which are the only stock index futures traded on the China Financial Futures Exchange (CFFEX). The basic statistics suggest that distributions of these two...

In this paper we propose to use the principle of absence of arbitrage opportunities in its entropic interpretation to obtain the distribution of stock price fluctuations by maximizing its information entropy. We show that this approach leads to a physical description of the underlying dynamics...

Following the thermodynamic formulation of a multifractal measure that was shown to enable the detection of large fluctuations at an early stage, here we propose a new index which permits us to distinguish events like financial crises in real time. We calculate the partition function from which...

The detrended fluctuation analysis (DFA) is used to sort out temporal correlations in financial data. Its usefulness for the investigations of long-range power-law correlations in economic sequences is shown. Our findings of persistent and antipersistent sequences are suprisingly similar to...