Levels of complexity in financial markets
Giovanni Bonanno, Fabrizio Lillo, Rosario N. Mantegna
Abstract
We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather complex under several ways. Specifically, they are complex with respect to their (i) temporal and (ii) ensemble properties. Moreover, the ensemble return properties show a behavior which is specific to the nature of the trading day reflecting if it is a normal or an extreme trading day.
Create a lesson
Related papers
Robust Golden Ratio universality as a consequence of a circulant symmetry
Luka Paljk, Johannes Schmidt, Vladislav Popkov
Replica Transition at Measurement-Altered Ising Criticality
Kabir Khanna, Sara Murciano, Romain Vasseur
Scalene Yang-Baxter triples realize all nearest-neighbour Hamiltonians with global additive symmetries
Pramod Padmanabhan, Somnath Maity, Akash Sinha et al.
Graph-theoretic framework for semi-Markov networks: transient and stationary occupation probabilities, hitting times and weak ergodicity breaking
Julian Voits
Spectral optimization of spherical lattices and applications to classical and quantum interacting spin systems
Jonas Völler, Grigorios Makris, Fabian Hassler et al.
Entropic-ordered superfluid
Isabella Zane, Andrew Lucas