Search results for "Exchange"
showing 10 items of 2035 documents
There's more to volatility than volume
2006
It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion reflect bursts of frequent or less frequent trading, which cause both clustered volatility and heavy tails in price returns. We investigate this hypothesis using tick by tick data from the New York and London Stock Exchanges and show that only a small fraction of volatility fluctuations are explained in this manner. Clustered volatility is still very strong even if price changes are recorded on intervals in which the total transaction volume or number of…
How does the market react to your order flow?
2012
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. We find evidence that (1) brokers are very heterogeneous in liquidity provision -- some are consistently liquidity providers while others are consistently liquidity takers. (2) The behaviour of brokers is strongly conditioned on the actions of {\it other} brokers. In contrast brokers are only weakly influenced by the impact of their own previous ord…
Spanning Trees and bootstrap reliability estimation in correlation based networks
2007
We introduce a new technique to associate a spanning tree to the average linkage cluster analysis. We term this tree as the Average Linkage Minimum Spanning Tree. We also introduce a technique to associate a value of reliability to links of correlation based graphs by using bootstrap replicas of data. Both techniques are applied to the portfolio of the 300 most capitalized stocks traded at New York Stock Exchange during the time period 2001-2003. We show that the Average Linkage Minimum Spanning Tree recognizes economic sectors and sub-sectors as communities in the network slightly better than the Minimum Spanning Tree does. We also show that the average reliability of links in the Minimum …
Scaling laws of strategic behavior and size heterogeneity in agent dynamics
2008
The dynamics of many socioeconomic systems is determined by the decision making process of agents. The decision process depends on agent's characteristics, such as preferences, risk aversion, behavioral biases, etc.. In addition, in some systems the size of agents can be highly heterogeneous leading to very different impacts of agents on the system dynamics. The large size of some agents poses challenging problems to agents who want to control their impact, either by forcing the system in a given direction or by hiding their intentionality. Here we consider the financial market as a model system, and we study empirically how agents strategically adjust the properties of large orders in orde…
Economic Sector Identification in a Set of Stocks Traded at the New York Stock Exchange: A Comparative Analysis
2006
We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a set of stocks traded at the New York Stock Exchange. The investigated time series are recorded at a daily time horizon. All the considered methods are able to detect economic information and the presence of clusters characterized by the economic sector of stocks. However, different methodologies provide different information about the considered set. Our comparative analysis suggests that th…
Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode
2007
We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New York, Paris, London, Milano) and with different methods. Result crucially depends on whether the data is restricted to the ``internal'' dynamics of the market, where the ``center of mass'' motion (the market mode) is removed or not. If the market mode is not removed, we find that the structure emerges, as the time-horizon increases, from splitting a single large cluster. In NYSE we find that when the market mode is removed, the structure of correlation at t…
Correlation based networks of equity returns sampled at different time horizons
2006
We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest paths, the betweenness and the degree are computed on different planar maximally filtered graphs generated by sampling the returns at different time horizons ranging from 5 min up to one trading day. This analysis confirms that the selected stocks compose a hierarchical system progressively structuring as the sampling time horizon increases. Finally, a cluster formation, associated to economic sectors, is quantitatively investigated.
Ultrafast dynamics of indirect exchange interaction and transient spin current generation in a two-dimensional electron gas
2017
We predict that a driven localized magnetic moment coupled to mobile carriers of a metal or semiconductor surface or interface generates a specific dynamics of the carrier spin density as well as a transient spin current. Numerical results illustrate the time-dependent Friedel oscillations and the associated ultrafast Ruderman-Kittel- Kasuya-Yosida (RKKY) interaction as well as the spin current generated by the impurity spin flipping. Retardation effects of the indirect exchange interaction of the impurity spins via the conduction electrons are found and discussed. Our results point to an alternative way of controlling the local magnetization on a subpicosecond time scale via appropriate tu…
Charge-exchange reactions on double-βdecaying nuclei populatingJπ=2−states
2017
The $(\phantom{\rule{0.16em}{0ex}}^{3}\mathrm{He},t)$ charge-exchange reaction populating ${J}^{\ensuremath{\pi}}={2}^{\ensuremath{-}}$ states has been examined at 420 MeV incident energy for a series of double-$\ensuremath{\beta}$ decaying nuclei, i.e., $^{76}\mathrm{Ge}$, $^{82}\mathrm{Se}$, $^{96}\mathrm{Zr}$, $^{100}\mathrm{Mo}$, $^{128}\mathrm{Te}$, $^{130}\mathrm{Te}$, and $^{136}\mathrm{Xe}$. The measurements were carried out at the Grand Raiden spectrometer of the Research Center for Nuclear Physics at the University Osaka with typical spectral resolution of 30--40 keV. It is found that the charge-exchange reaction leading to ${2}^{\ensuremath{-}}$ spin-dipole states is selective to…
Modelling the properties of magnetic clusters with complex structures: how symmetry can help us
2020
The purpose of this article is to answer the question of how symmetry helps us to investigate and understand the properties of nanoscopic magnetic clusters with complex structures. The systems of choice will be the three types of polyoxometalates (POMs): (1) POMs containing localised spins; (2) reduced mixed-valence (MV) POMs; (3) partially delocalised POMs in which localised and delocalised subunits coexist and interact. The theoretical tools based on various kinds of symmetry are the following: (1) irreducible tensor operator (ITO) approach based on the so-called 'spin-symmetry' and MAGPACK program; (2) group-theoretical assignment of the exchange multiplets based on spin- and point symme…