arXiv research

We analyze realized volatilities constructed using high-frequency stock data on the Tokyo Stock Exchange. In order to avoid non-trading hours issue in volatility calculations we define two realized volatilities calculated separately in the two trading sessions of the Tokyo Stock Exchange, i.e. morning and afternoon ses…

We calculate realized volatility of the Nikkei Stock Average (Nikkei225) Index on the Tokyo Stock Exchange and investigate the return dynamics. To avoid the bias on the realized volatility from the non-trading hours issue we calculate realized volatility separately in the two trading sessions, i.e. morning and afternoo…

Study confirms the square-root law in price impact across Tokyo stocks.

We confirm universal behaviors such as eigenvalue distribution and spacings predicted by Random Matrix Theory (RMT) for the cross correlation matrix of the daily stock prices of Tokyo Stock Exchange from 1993 to 2001, which have been reported for New York Stock Exchange in previous studies. It is shown that the random …

We carry out a large-scale empirical data analysis to examine the efficiency of the so-called pairs trading. On the basis of relevant three thresholds, namely, starting, profit-taking, and stop-loss for the `first-passage process' of the spread (gap) between two highly-correlated stocks, we construct an effective strat…

The tick value is a crucial component of market design and is often considered the most suitable tool to mitigate the effects of high frequency trading. The goal of this paper is to demonstrate that the approach introduced in Dayri and Rosenbaum (2015) allows for an ex ante assessment of the consequences of a tick valu…

In this paper we quantitatively investigate the statistical properties of an ensemble of {\it stock prices}. We selected 1200 stocks traded in the Tokyo Stock Exchange and formed a statistical ensemble of daily stock prices for each trading day in the 5 year period from January 4, 1988 to December 30, 1992. We found th…

As described in this paper, we study market-wide price co-movements around crashes by analyzing a dataset of high-frequency stock returns of the constituent issues of Nikkei 225 Index listed on the Tokyo Stock Exchange for the three years during 2007--2009. Results of day-to-day principal component analysis of the time…

Study uses DNM theory to detect early warning signals of market instability.

We examine the relationship between trading volumes, number of transactions, and volatility using daily stock data of the Tokyo Stock Exchange. Following the mixture of distributions hypothesis, we use trading volumes and the number of transactions as proxy for the rate of information arrivals affecting stock volatilit…

Study finds price impact follows a 'double' square-root law, suggesting mechanical origin.

Method aligns multilingual news for better stock return prediction.

Study improves Cox model for predicting stock trading signs using Japanese market data.

This study conducts a comprehensive analysis of time series segmentation on the Japanese stock prices listed on the first section of the Tokyo Stock Exchange during the period from 4 January 2000 to 30 January 2012. A recursive segmentation procedure is used under the assumption of a Gaussian mixture. The daily number …

In this paper, we quantitatively investigate the statistical properties of a statistical ensemble of stock prices. We selected 1200 stocks traded on the Tokyo Stock Exchange, and formed a statistical ensemble of daily stock prices for each trading day in the 3-year period from January 4, 1999 to December 28, 2001, corr…

The stochastic volatility model is one of volatility models which infer latent volatility of asset returns. The Bayesian inference of the stochastic volatility (SV) model is performed by the hybrid Monte Carlo (HMC) algorithm which is superior to other Markov Chain Monte Carlo methods in sampling volatility variables. …

We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to December 30, 2013. To investigate the dynamical evolution of the cross-correlations, cross-correlation matrices are calculated with a rolling win…

In this paper, we describe a newly discovered statistical property of time series data for daily price changes. We conducted quantitative investigation of the {\it calm-time intervals} of price changes for 800 companies listed in the Tokyo Stock Exchange, and for the Nikkei 225 index over a 27-year period from January …

Study uses VC correlation to uncover directional financial relationships.

We propose a novel approach that allows to calculate Hilbert transform based complex correlation for unevenly spaced data. This method is especially suitable for high frequency trading data, which are of a particular interest in finance. Its most important feature is the ability to take into account lead-lag relations …

The original research question here is given by marketers in general, i.e., how to explain the changes in the desired timescale of the market. Tangled String, a sequence visualization tool based on the metaphor where contexts in a sequence are compared to tangled pills in a string, is here extended and diverted to dete…

We show power-scaling behaviors for fluctuations in share volume, which no other studies have so far done. After analyzing a database of the daily transactions for all securities listed on the Tokyo Stock Exchange, we selected 1050 large companies that each had an unbroken series of daily trading activity from January …

We use the GARCH model with a fat-tailed error distribution described by a rational function and apply it for the stock price data on the Tokyo Stock Exchange. To determine the model parameters we perform the Bayesian inference to the model. The Bayesian inference is implemented by the Metropolis-Hastings algorithm wit…

Trading system uses NP-hard optimization to select stocks for high Sharpe ratio trading.

Model identifies order splitting and liquidity replenishment as necessary for the square-root law of market impact.

We look at the effect of the tick size changes on the TOPIX 100 index names made by the Tokyo Stock Exchange on Jan-14-2014 and Jul-22-2104. The intended consequence of the change is price improvement and shorter time to execution. We look at security level metrics that include the spread, trading volume, number of tra…

Study finds GBM model accurately predicts stock prices on Ghana Stock Exchange.

We use insight from a model of earth tectonic plate movement to obtain a new understanding of the build up and release of stress in the price dynamics of the worlds stock exchanges. Nonlinearity enters the model due to a behavioral attribute of humans reacting disproportionately to big changes. This nonlinear response …

This study analyzes how colonial rice trade in prewar Japan affected its rice market, considering several government interventions in the two rice futures exchanges in Tokyo and Osaka. We explore the interventions in the futures markets using two procedures. First, we measure the joint degree of efficiency in the marke…

Study shows negative stock returns after Moroccan companies issue profit warnings.

Study the Mexican stock market's interdependency structure from 2000-2019.

Study shows demonetization strengthened Indian currency and stock market.

We analyze the constituents stocks of the Dow Jones Industrial Average (DJIA30) and the Standard & Poor's 100 index (S&P100) of the NYSE stock exchange market. Surprisingly, we discover the data collapse of the histograms of the DJIA30 price fluctuations and of the S&P100 price fluctuations to the universal non-paramet…

Stock exchanges are considered major players in financial sectors of many countries. Most Stockbrokers, who execute stock trade, use technical, fundamental or time series analysis in trying to predict stock prices, so as to advise clients. However, these strategies do not usually guarantee good returns because they gui…

The nature of fluctuations in the Indian financial market is analyzed in this paper. We have looked at the price returns of individual stocks, with tick-by-tick data from the National Stock Exchange (NSE) and daily closing price data from both NSE and the Bombay Stock Exchange (BSE), the two largest exchanges in India.…

This paper is trying to unveil general statistical characteristic of financial; time series data that is subjected to several financial time series data present in Indonesia, e.g. individual index such as stock price of PT. TELKOM, stock price of PT HM SAMPOERNA, and compiled stock price index (Jakarta Stock Exchange I…

The Moscow Stock Exchange was inefficient for most of 2012-2021.

We use the correlation matrix of stocks returns in order to create maps of the São Paulo Stock Exchange (BM&F-Bovespa), Brazil's main stock exchange. The data reffer to the year 2010, and the correlations between stock returns lead to the construction of a minimum spanning tree and of asset graphs with a variety of thr…

Quantitative analysis of order-splitting behavior in Japanese stock market.

Study finds similar companies in Dhaka Stock Exchange using technical data.

In this paper we study BSE Index financial time series for fractal and multifractal behaviour. We show that Bombay stock Exchange (BSE)Index time series is mono-fractal and can be represented by a fractional Brownian motion.

Article proposes a profitable intraday trading strategy for Chinese stocks.

We scale and analyze the empirical data of return from New York and Vilnius stock exchanges matching it to the same nonlinear double stochastic model of return in financial market.

We investigate the average frequency of positive slope $ν_α^{+}$, crossing for the returns of market prices. The method is based on stochastic processes which no scaling feature is explicitly required. Using this method we define new quantity to quantify stage of development and activity of stocks exchange. We compare …

In this paper we attempt to introduce an econophysics approach to evaluate some aspects of the risks in financial markets. For this purpose, the thermodynamical methods and statistical physics results about entropy and equilibrium states in the physical systems are used. Some considerations on economic value and financ…

LSTM model predicts stock prices with high accuracy in stable sectors but struggles with volatile ones.

Study examines how BRICS nations' economies respond to COVID-19.

We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may significantly change the dynamics of the overall system. We explicitely insert a term descr…