Showing 1 - 10 of 78
Planar Maximally Filtered Graphs (PMFG) are an important tool for filtering the most relevant information from correlation based networks such as stock market networks. One of the main characteristics of a PMFG is the number of its 3- and 4-cliques. Recently in a few high impact papers it was...
Persistent link: https://www.econbiz.de/10011077831
We investigate multifractal properties of daily price changes in currency rates using the multifractal detrended fluctuation analysis (MF-DFA). We analyze managed and independent floating currency rates in eight countries, and determine the changes in multifractal spectrum when transitioning...
Persistent link: https://www.econbiz.de/10011209654
The cascading failure can bring a huge loss for most real-world networks; but, we cannot uncover fully the mechanism and law of the cascading events occurrence. Most networks in which the cascading failure occurred are based on the various ‘flows’, such as power, oils, and information;...
Persistent link: https://www.econbiz.de/10011209713
In this paper we present a new measure to investigate the functional structure of financial markets, the Sector Dominance Ratio (SDR). We study the information embedded in raw and partial correlations using random matrix theory (RMT) and examine the evolution of economic sectoral makeup on a...
Persistent link: https://www.econbiz.de/10011194012
We calculate the Shannon entropy of a time series by using the probability density functions of the characteristic sizes of the long-range correlated clusters introduced in [A. Carbone, G. Castelli, H.E. Stanley, Phys. Rev. E 69 (2004) 026105]. We define three different measures of the entropy...
Persistent link: https://www.econbiz.de/10010871579
We step toward the elucidation of the relation between the structural and dynamic anomalies in supercooled water. We present the results of molecular dynamics simulations of the extended simple point charge (SPC/E) model of water for the translational and rotational diffusion and for the number...
Persistent link: https://www.econbiz.de/10010871978
Recent empirical research has uncovered regularities in financial fluctuations. Those are: (i) the cubic law of returns: returns follow a power law distribution with exponent 3; (ii) the half cubic law of volumes: volumes follow a power law distribution with exponent 32; (iii) Approximate cubic law...
Persistent link: https://www.econbiz.de/10010872112
We compare our results on empirical analysis of financial data with simulations of two stochastic models of the dynamics of stock market prices. The two models are (i) the truncated Lévy flight recently introduced by us and (ii) the ARCH(1) and GARCH(1,1) processes. We find that the TLF well...
Persistent link: https://www.econbiz.de/10010872394
This paper examines whether we can improve the predictability of financial return series by exploiting the effect of cross-correlations among different financial markets. We forecast financial return series based on the support vector machines (SVM) method, which can surpass the random-walk...
Persistent link: https://www.econbiz.de/10010873057
The unique scaling behavior of financial time series have attracted the research interest of physicists. Variables such as stock returns, share volume, and number of trades have been found to display distributions that are consistent with a power-law tail. We present an overview of recent...
Persistent link: https://www.econbiz.de/10010873741