Volatilities and correlations rise with trend strength via quadratic polynomials, refining mean-reversion models and supporting lattice gas modeling of markets near criticality.
”International Financial Markets Through 150 Years: Evaluating Stylized Facts.” arXiv preprint arXiv:2504.08611 (2025), to appear in the Journal of Finance and Data Science
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Trends, Volatility, Correlations, and Critical Phenomena in Financial Markets
Volatilities and correlations rise with trend strength via quadratic polynomials, refining mean-reversion models and supporting lattice gas modeling of markets near criticality.