We test for the performance of a series of volatility forecasting models (GARCH 1,1; EGARCH 1,1; CGARCH) in the context of several indices from the two oldest cross-border exchanges (Euronext; OMX). Our findings overall indicate that the EGARCH (1,1) model outperforms the other two, both before...

This study investigates intraday herding on the Euronext, the world's first cross-border consolidated exchange. Intraday herding is significant in the Euronext as a group and presents us with size, industry and country effects. Importantly, the trading dynamics of the group's member markets...

The present paper analyzes the forecastability and tradability of volatility on the large S&P500 index and the liquid SPY ETF, VIX index and VXX ETN. Even though there is already a huge array of literature on forecasting high frequency volatility, most publications only evaluate the forecast in...

This manuscript is a brief summary of a talk designed to address the question of whether two of the pillars of the field of phase transitions and critical phenomena—scale invariance and universality—can be useful in guiding research on interpreting empirical data on economic fluctuations....

In recent years, physicists have started applying concepts and methods of statistical physics to study economic problems. The word “Econophysics” is sometimes used to refer to this work. Much recent work is focused on understanding the statistical properties of financial time series. One...

A time series can be decomposed into two sub-series: a magnitude series and a sign series. Here we analyze separately the scaling properties of the magnitude series and the sign series using the increment time series of cardiac interbeat intervals as an example. We find that time series having...