The non-random walk of stock prices: the long-term correlation between signs and sizes

DOI10.1140/EPJB/E2008-00244-4zbMath1189.91226arXiv0711.4596OpenAlexW2014046799MaRDI QIDQ978611

J. Doyne Farmer, Gabriele La Spada, Fabrizio Lillo

Publication date: 25 June 2010

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.4596

zbMATH Keywords

stochastic processesfinancial marketseconophysicsbusiness and management

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Economic time series analysis (91B84)

Related Items (6)

Correlated continuous time random walk and option pricing ⋮ Heterogeneous memorized continuous time random walks in an external force fields ⋮ Effect of different waiting time processes with memory to anomalous diffusion dynamics in an external force fields ⋮ Correlated continuous time random walk with time averaged waiting time ⋮ Did long-memory of liquidity signal the European sovereign debt crisis? ⋮ Binary versus non-binary information in real time series: empirical results and maximum-entropy matrix models

Uses Software

• longmemo

Cites Work

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• Modeling and Forecasting Realized Volatility
• Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
• Random walks, liquidity molasses and critical response in financial markets

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