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The structural role of weak and strong links in a financial market network
structural role weak strong links financial market network
2010/12/20
We investigate the properties of correlation based networks originating from economic complex systems, such as the network of stocks traded at the New York Stock Exchange (NYSE). The weaker links (lo...
Role of scaling in the statistical modeling of finance
Role scaling statistical modeling finance
2010/12/17
Modeling the evolution of a financial index as a stochastic process is a problem awaiting a full, satisfactory solution since it was first formulated by Bachelier in 1900. Here it is shown that the s...
Stock price jumps: news and volume play a minor role
Stock price jumps news volume play minor role
2010/12/17
In order to understand the origin of stock price jumps, we cross-correlate high-frequency time series of stock returns with different news feeds. We find that neither idiosyncratic news nor market wid...