A remarkable similarity in the behaviour of the US S&P500 index from 1996 to August 2002 and of the Japanese Nikkei index from 1985 to 1992 (11 year shift) is presented, with particular emphasis on the structure of the bearish phases. Extending a previous analysis of Johansen and Sornette on the...

We introduce a novel non-parametric methodology to test for the dynamical time evolution of the lag-lead structure between two arbitrary time series. The method consists of constructing a distance matrix based on the matching of all sample data pairs between the two time series. Then, the...

<title>Abstract</title> This paper conducts an empirical study on trade packages of 23 stocks of the Chinese stock market, each composed of a sequence of consecutive purchases or sales of a stock. We investigate the probability distributions of the execution time, the number of trades, and the total trading...

The trade size ω has a direct impact on the price formation of the stock traded. Econophysical analyses of transaction data for the US and Australian stock markets have uncovered market-specific scaling laws, where a master curve of price impact can be obtained in each market when stock...

Didier Sornette and Wei-Xing Zhou respond to the issues raised by Anders Johansen in his comment 'An alternative view' published in Quantitative Finance 3 C6.