Multifractal analysis of financial markets: A review
Multifractality is ubiquitously observed in complex natural and socioeconomic systems.
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …
Quantifying the behavior of stock correlations under market stress
Understanding correlations in complex systems is crucial in the face of turbulence, such as
the ongoing financial crisis. However, in complex systems, such as financial systems …
the ongoing financial crisis. However, in complex systems, such as financial systems …
Measuring critical transitions in financial markets
J Jurczyk, T Rehberg, A Eckrot, I Morgenstern - Scientific reports, 2017 - nature.com
Tipping points in complex systems are structural transitions from one state to another. In
financial markets these critical points are connected to systemic risks, which have led to …
financial markets these critical points are connected to systemic risks, which have led to …
Eigenvector dynamics: general theory and some applications
R Allez, JP Bouchaud - Physical Review E—Statistical, Nonlinear, and Soft …, 2012 - APS
We propose a general framework to study the stability of the subspace spanned by P
consecutive eigenvectors of a generic symmetric matrix H 0 when a small perturbation is …
consecutive eigenvectors of a generic symmetric matrix H 0 when a small perturbation is …
Individual and collective stock dynamics: intra-day seasonalities
R Allez, JP Bouchaud - New Journal of Physics, 2011 - iopscience.iop.org
We establish several new stylized facts concerning the intra-day seasonalities of stock
dynamics. Beyond the well-known U-shaped pattern of the volatility, we find that the average …
dynamics. Beyond the well-known U-shaped pattern of the volatility, we find that the average …
How news may affect markets' complex structure: The case of Cambridge Analytica
The claim of Cambridge Analytica, a political consulting firm, that it was possible to influence
voting behavior by using data mined from the social platform Facebook created a sudden …
voting behavior by using data mined from the social platform Facebook created a sudden …
Principal regression analysis and the index leverage effect
PA Reigneron, R Allez, JP Bouchaud - Physica A: Statistical Mechanics and …, 2011 - Elsevier
We revisit the index leverage effect, that can be decomposed into a volatility effect and a
correlation effect. We investigate the latter using a matrix regression analysis, that we call …
correlation effect. We investigate the latter using a matrix regression analysis, that we call …
How high frequency trading affects a market index
The relationship between a market index and its constituent stocks is complicated. While an
index is a weighted average of its constituent stocks, when the investigated time scale is one …
index is a weighted average of its constituent stocks, when the investigated time scale is one …
Quantifying meta-correlations in financial markets
Financial markets are modular multi-level systems, in which the relationships between the
individual components are not constant in time. Sudden changes in these relationships …
individual components are not constant in time. Sudden changes in these relationships …
[图书][B] An introduction to socio-finance
JV Andersen, A Nowak - 2013 - Springer
The word “socio-finance” used in the title of this book is meant as a description that catches
the underlying nature of price formation in financial markets. Since the term as such does not …
the underlying nature of price formation in financial markets. Since the term as such does not …