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Levels of complexity in financial markets

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arxiv cond-mat/0104369 v1 pith:VQ64MZUB submitted 2001-04-19 cond-mat.stat-mech q-fin.ST

Giovanni Bonanno , Fabrizio Lillo , Rosario N. Mantegna This is my paper · ORCID
classification cond-mat.stat-mechq-fin.ST
keywords financialpropertiescomplexcomplexityempiricalensemblelevelsseries
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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.

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Cited by 1 Pith paper

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  1. Second-order Control of Complex Systems with Correlated Synthetic Data

    stat.AP 2019-08 conditional novelty 5.0 of 10

    A method to generate synthetic datasets with controlled covariance structure is introduced and demonstrated on socio-spatial systems and financial time-series.

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