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Study of statistical correlations in intraday and daily financial return time series
Study of statistical correlations intraday daily financial return time series Statistical Finance
2012/4/28
The aim of this article is to briefly review and make new studies of correlations and co-movements of stocks, so as to understand the "seasonalities" and market evolution. Using the intraday data of t...
Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series
Non-stationary Time Series Wavelet Transform Fractals, Power Law
2010/10/19
We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock mark...
The level crossing analysis of German stock market index (DAX) and daily oil price time series
stock market index (DAX) oil price time series
2010/10/18
The level crossing analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, $\nu_{\alpha}^+$, where $T_{\alpha} =1/\nu_{\alpha}^+ $ is the a...
Multiscaled Cross-Correlation Dynamics in Financial Time-Series
Multiscaled Cross-Correlation Dynamics Financial Time-Series
2010/10/18
The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Tran...
Gain/loss asymmetry in time series of individual stock prices and its relationship to the leverage effect
gain/loss asymmetry leverage effect EGARCH retarded volatility model
2010/11/3
Previous research has shown that for stock indices, the most likely time until a return of a
particular size has been observed is longer for gains than for losses. We establish that this so-called ga...
In this article we propose a generalization of the linear factor model, that combines hidden Markov chain Models (HMM) with latent factor models. The HMM generates a piece-wise constant state evoluti...