Search results for "Econophysics"

showing 5 items of 45 documents

Understanding the determinants of volatility clustering in terms of stationary Markovian processes

2016

Abstract Volatility is a key variable in the modeling of financial markets. The most striking feature of volatility is that it is a long-range correlated stochastic variable, i.e. its autocorrelation function decays like a power-law τ − β for large time lags. In the present work we investigate the determinants of such feature, starting from the empirical observation that the exponent β of a certain stock’s volatility is a linear function of the average correlation of such stock’s volatility with all other volatilities. We propose a simple approach consisting in diagonalizing the cross-correlation matrix of volatilities and investigating whether or not the diagonalized volatilities still kee…

Statistics and ProbabilityVolatility clusteringVolatility Econophysics Long-range correlation Stochastic processes First passage timeStochastic volatilityProbability density functionCondensed Matter PhysicsSABR volatility model01 natural sciencesSettore FIS/07 - Fisica Applicata(Beni Culturali Ambientali Biol.e Medicin)010305 fluids & plasmasHeston modelFinancial models with long-tailed distributions and volatility clustering0103 physical sciencesForward volatilityEconometricsVolatility (finance)010306 general physicsMathematics
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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.

Stochastic volatilityFinancial models with long-tailed distributions and volatility clusteringVolatility smileUnivariateEconometricsForward volatilityEconomicsVolatility (finance)Implied volatilitySettore FIS/07 - Fisica Applicata(Beni Culturali Ambientali Biol.e Medicin)volatility financial markets econophysics log range correlated processes stochastic processesHeston model
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Some past and present challenges of econophysics

2016

We discuss the cultural background that was shared by some of the first econophysicists when they started to work on economic and financial problems with methods and tools of statistical physics. In particular we discuss about the role of stylized facts and statistical physical laws in economics and statistical physics respectively. As an example of the problems and potentials associated with the interaction of different communities of scholars dealing with problems observed in economic and financial systems we briefly discuss the development and the perspectives of the use of tools and concepts of networks in econophysics, economics and finance.

Stylized factEconophysicsGeneral Physics and AstronomyStatistical finance01 natural sciences010305 fluids & plasmasCultural backgroundPhysics and Astronomy (all)Work (electrical)0103 physical sciencesEconomicsGeneral Materials ScienceMaterials Science (all)Positive economicsPhysical and Theoretical Chemistry010306 general physicsPhysical law
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Statistics of order flow

2010

market microstructureeconophysicsfinancial marketOrder flow market microstructure financial markets econophysicsOrder flow
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High frequency data entry: statistical findings at high frequency

2010

We introduce some of the most common types of high-frequency financial data: tick-by-tick data, trade andquote data, order bookdata, andmarket member data. We describe the types of variables that are usually available in the most popular high-frequency financial databases. We discuss the issues related to the handling of these data, including cleaning protocols, timing issues, and issues related to data size. We then briefly consider the issues related to the stylized facts detected in the empirical analysis of high- frequency data. Specifically, we consider (i) the irregular temporal spacing of the events at high frequency and its relevance for the econometric modeling of financial variables, (…

financial markets high-frequency data data analysis tick-by-tick data order bookdata market microstructure econophysicsSettore FIS/07 - Fisica Applicata(Beni Culturali Ambientali Biol.e Medicin)
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