Probability of large movements in financial markets
TLDR
Based on empirical financial time series, it is shown that the “silence-breaking” probability follows a super-universal power law: the probability of observing a large movement is inversely proportional to the length of the on-going low-variability period.Abstract:
Based on empirical financial time series, we show that the “silence-breaking” probability follows a super-universal power law: the probability of observing a large movement is inversely proportional to the length of the on-going low-variability period . Such a scaling law has been previously predicted theoretically [R. Kitt, J. Kalda, Physica A 353 (2005) 480], assuming that the length-distribution of the low-variability periods follows a multi-scaling power law.read more
Citations
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Memory in the Occurrence of Earthquakes
TL;DR: It is found that the distribution of the recurrence times strongly depends on the previous recurrence time tau0, such that small and largeRecurrence times tend to cluster in time, and the risk of encountering the next event within a certain time span after the last event depends significantly on the past.
Journal ArticleDOI
An adaptive stochastic model for financial markets
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Improving Long-Term Financial Risk Forecasts using High-Frequency Data and Scaling Laws
TL;DR: In this paper, the authors use the abundance of high frequency data to estimate scaling law models and then apply appropriately scaled measures to provide long-term market risk forecasts, making use of the scale invariance property of the scaling law.
References
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Low q-moment multifractal analysis of Gold price, Dow Jones Industrial Average and BGL-USD exchange rate
Kristinka Ivanova,Marcel Ausloos +1 more
TL;DR: In this article, an estimate of the low q-moment values of the assumed multifractal spectrum of Gold price, Dow Jones Industrial Average (DJIA) and Bulgarian Lev - USA Dollar (BGL-USD) exchange rate over a 6 1/2 year time span has been made.
Journal ArticleDOI
Indication of multiscaling in the volatility return intervals of stock markets
Fengzhong Wang,Kazuko Yamasaki,Kazuko Yamasaki,Shlomo Havlin,Shlomo Havlin,H. Eugene Stanley +5 more
TL;DR: This work investigates intraday data sets of 500 stocks and finds that the cumulative distribution of return intervals has systematic deviations from scaling, and investigates the moments in the range 10
Journal ArticleDOI
Relation between volatility correlations in financial markets and Omori processes occurring on all scales
Philipp Weber,Philipp Weber,Fengzhong Wang,Irena Vodenska-Chitkushev,Shlomo Havlin,Shlomo Havlin,H. Eugene Stanley +6 more
TL;DR: The results support the hypothesis that the memory in the volatility is related to the Omori processes present on different time scales, which are found when studying long-term correlated fractional Brownian motion and autoregressive fractionally integrated moving average artificial models for volatilities.
Journal ArticleDOI
Size effects on the quenching to the normal state in YBa2Cu3O7-delta thin film superconductors
TL;DR: In this article, currentvoltage curves have been measured in YBa2Cu3O7-delta thin film microbridges with widths lower than the thermal diffusion length.
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