Search results for "Stock"
showing 10 items of 878 documents
The Heisenberg picture in the analysis of stock markets and in other sociological contexts
2007
We review some recent results concerning some toy models of stock markets. Our models are suggested by the discrete nature of the number of shares and of the cash which are exchanged in a real market, and by the existence of conserved quantities, like the total number of shares or some linear combination of the cash and the shares. This suggests to use the same tools used in quantum mechanics and, in particular, the Heisenberg picture to describe the time behavior of the portfolio of each trader. We finally propose the use of this same framework in other sociological contexts.
Empirical investigation of stock price dynamics in an emerging market
1999
Abstract We study the development of an emerging market – the Budapest Stock Exchange – by investigating the time evolution of some statistical properties of heavily traded stocks. Moving quarter by quarter over a period of two and a half years we analyze the scaling properties of the standard deviation of intra-day log-price changes. We observe scaling using both seconds and ticks as units of time. For the investigated stocks a Levy shape is a good approximation to the probability density function of tick-by-tick log-price changes in each quarter: the index of the distribution follows an increasing trend, suggesting it could be used as a measure of market efficiency.
Stock market dynamics and turbulence: parallel analysis of fluctuation phenomena
1997
Abstract We report analogies and differences between the fluctuations in an economic index and the fluctuations in velocity of a fluid in a fully turbulent state. Specifically, we systematically compare (i) the statistical properties of the S&P 500 cash index recorded during the period January 84–December 89 with (ii) the statistical properties of the velocity of turbulent air measured in the atmospheric surface layer about 6 m above a wheat canopy in the Connecticut Agricultural Research Station. We find non-Gaussian statistics, and intermittency, for both processes (i) and (ii) but the deviation from a Gaussian probability density function are different for stock market dynamics and turbu…
Hitting Time Distributions in Financial Markets
2006
We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the 12-year period 1987-1998, the second one is composed by high frequency data for 100 stocks for the 4-year period 1995-1998. We compare the probability distribution obtained by our empirical analysis with those obtained from different models for stock market evolution. Specifically by focusing on the statistical properties of the hitting times to reach a barrier or a given threshold, we compare the prob…
Degree stability of a minimum spanning tree of price return and volatility
2002
We investigate the time series of the degree of minimum spanning trees obtained by using a correlation based clustering procedure which is starting from (i) asset return and (ii) volatility time series. The minimum spanning tree is obtained at different times by computing correlation among time series over a time window of fixed length $T$. We find that the minimum spanning tree of asset return is characterized by stock degree values, which are more stable in time than the ones obtained by analyzing a minimum spanning tree computed starting from volatility time series. Our analysis also shows that the degree of stocks has a very slow dynamics with a time-scale of several years in both cases.
Damping in quantum love affairs
2011
In a series of recent papers we have used an operatorial technique to describe stock markets and, in a different context, {\em love affairs} and their time evolutions. The strategy proposed so far does not allow any dumping effect. In this short note we show how, within the same framework, a strictly non periodic or quasi-periodic effect can be introduced in the model by describing in some details a linear Alice-Bob love relation with damping.
Dynamics of the Number of Trades of Financial Securities
1999
We perform a parallel analysis of the spectral density of (i) the logarithm of price and (ii) the daily number of trades of a set of stocks traded in the New York Stock Exchange. The stocks are selected to be representative of a wide range of stock capitalization. The observed spectral densities show a different power-law behavior. We confirm the $1/f^2$ behavior for the spectral density of the logarithm of stock price whereas we detect a $1/f$-like behavior for the spectral density of the daily number of trades.
Identification of clusters of companies in stock indices via Potts super-paramagnetic transitions
2000
The clustering of companies within a specific stock market index is studied by means of super-paramagnetic transitions of an appropriate q-state Potts model where the spins correspond to companies and the interactions are functions of the correlation coefficients determined from the time dependence of the companies' individual stock prices. The method is a generalization of the clustering algorithm by Domany et. al. to the case of anti-ferromagnetic interactions corresponding to anti-correlations. For the Dow Jones Industrial Average where no anti-correlations were observed in the investigated time period, the previous results obtained by different tools were well reproduced. For the Standa…
A quantum statistical approach to simplified stock markets
2009
We use standard perturbation techniques originally formulated in quantum (statistical) mechanics in the analysis of a toy model of a stock market which is given in terms of bosonic operators. In particular we discuss the probability of transition from a given value of the {\em portfolio} of a certain trader to a different one. This computation can also be carried out using some kind of {\em Feynman graphs} adapted to the present context.
The role of information in a two-traders market
2014
In a very simple stock market, made by only two \emph{initially equivalent} traders, we discuss how the information can affect the performance of the traders. More in detail, we first consider how the portfolios of the traders evolve in time when the market is \emph{closed}. After that, we discuss two models in which an interaction with the outer world is allowed. We show that, in this case, the two traders behave differently, depending on \textbf{i)} the amount of information which they receive from outside; and \textbf{ii)}the quality of this information.