Search results for " Financial Markets"
showing 10 items of 24 documents
Segmentation algorithm for non-stationary compound Poisson processes
2010
We introduce an algorithm for the segmentation of a class of regime switching processes. The segmentation algorithm is a non parametric statistical method able to identify the regimes (patches) of a time series. The process is composed of consecutive patches of variable length. In each patch the process is described by a stationary compound Poisson process, i.e. a Poisson process where each count is associated with a fluctuating signal. The parameters of the process are different in each patch and therefore the time series is non-stationary. Our method is a generalization of the algorithm introduced by Bernaola-Galván, et al. [Phys. Rev. Lett. 87, 168105 (2001)]. We show that the new algori…
Identification of clusters of investors from their real trading activity in a financial market
2012
We use statistically validated networks, a recently introduced method to validate links in a bipartite system, to identify clusters of investors trading in a financial market. Specifically, we investigate a special database allowing to track the trading activity of individual investors of the stock Nokia. We find that many statistically detected clusters of investors show a very high degree of synchronization in the time when they decide to trade and in the trading action taken. We investigate the composition of these clusters and we find that several of them show an over-expression of specific categories of investors.
High-frequency trading and networked markets
2021
Financial markets have undergone a deep reorganization during the last 20 y. A mixture of technological innovation and regulatory constraints has promoted the diffusion of market fragmentation and high-frequency trading. The new stock market has changed the traditional ecology of market participants and market professionals, and financial markets have evolved into complex sociotechnical institutions characterized by a great heterogeneity in the time scales of market members’ interactions that cover more than eight orders of magnitude. We analyze three different datasets for two highly studied market venues recorded in 2004 to 2006, 2010 to 2011, and 2018. Using methods of complex network th…
Modeling the coupled return-spread high frequency dynamics of large tick assets
2015
Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We introduce a Markov-switching modeling approach for price change, where the latent Markov process is the transition between spreads. We then use a finite Markov mixture of logit regressions on past squared returns to describe the dependence of the probability of price changes. The model can thus be seen as a Double Chain Markov Model. We show that the model describes the shape of return distribution at different time aggregations, volatility clustering, and the anomalo…
Calibration of optimal execution of financial transactions in the presence of transient market impact
2012
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution strategy strongly depends on a careful modeling of market impact, i.e. how the price reacts to trades. In this paper we consider a recently introduced market impact model (Bouchaud et al., 2004), which has the property of describing both the volume and the temporal dependence of price change due to trading. We show how this model can be used to describe price impact also in aggregated trade time or in real time. We then solve analytically and calibrate wit…
Univariate and multivariate statistical aspects of equity volatility
2004
We discuss univariate and multivariate statistical properties of volatility time series of equities traded in a financial market. Specifically, (i) we introduce a two-region stochastic volatility model able to well describe the unconditional pdf of volatility in a wide range of values and (ii) we quantify the stability of the results of a correlation-based clustering procedure applied to synchronous time evolution of a set of volatility time series.
Hierarchical structures in Complex Systems: from DNA to financial markets
2000
In this paper we discuss the concepts of short-range and long-range correlated stochastic processes and we investigate the presence of such variables in two model complex systems. The selected model systems are DNA sequences of complete genomes and financial time series of equities traded in a stock market. Specifically, by starting from our research results, we discuss the statistical properties of (i) coding and non-coding regions of DNA and (ii) equity returns and volatility in financial markets. The stylized facts about these variables are presented and discussed with a focus on the statistical tools already used and/or still needed to better characterize these model complex systems.
Notations et écarts de rentabilité : le marché français avant l'euro
2003
The main task of this paper is to confront two classical measures of default risk of the issuer, the rating and the spread. The first is attributed by agencies specialized in this activity (Standard and Poor's or Moody's) while the second results directly from the market price of the bond. This article studies this link over a period of two years for about forty French denominated bonds. Two measures of the spread are used and the results obtained show the very partial consideration of this information by the investors on the French bond market.
Geometric Brownian Motion (GBM) of Stock Indexes and Financial Market Uncertainty in the Context of Non-Crisis and Financial Crisis Scenarios
2022
The present article proposes a methodology for modeling the evolution of stock market indexes for 2020 using geometric Brownian motion (GBM), but in which drift and diffusion are determined considering two states of economic conjunctures (states of the economy), i.e., non-crisis and financial crisis. Based on this approach, we have found that the GBM proved to be a suitable model for making forecasts of stock market index values, as it describes quite well their future evolution. However, the model proposed by us, modified geometric Brownian motion (mGBM), brings some contributions that better describe the future evolution of stock indexes. Evidence in this regard was provided by analyzing …
The emergence and development of the cryptocurrency as a sign of global financial markets financialisation
2022
The article presents one of the most important, in the author's opinion, manifestations of further intensification of the processes of financialisation of global financial markets, which was the emergence of decentralized digital currencies (so-called cryptocurrencies) based on blockchain technology. Their creation and existence on the global financial market have been widely considered as one of significant effect of the global financial crisis, which symbolic beginning is September 15, 2008, when one of the largest US investment banks Lehman Brothers collapsed. The worldwide COVID-19 pandemic has only highlighted the importance of this effect of financialization. The purpose of the articl…