Extraction of phase information in daily stock prices

Fujiwara, Yoshi; Maekawa, Satoshi
June 2000
AIP Conference Proceedings;2000, Vol. 519 Issue 1, p711
Academic Journal
It is known that, in an intermediate time-scale such as days, stock market fluctuations possess several statistical properties that are common to different markets. Namely, logarithmic returns of an asset price have (i) truncated Pareto-Lévy distribution, (ii) vanishing linear correlation, (iii) volatility clustering and its powerlaw autocorrelation. The fact (ii) is a consequence of nonexistence of arbitragers with simple strategies, but this does not mean statistical independence of market fluctuations. Little attention has been paid to temporal structure of higher-order statistics, although it contains some important information on market dynamics. We applied a signal separation technique, called Independent Component Analysis (ICA), to actual data of daily stock prices in Tokyo and New York Stock Exchange (TSE/NYSE). ICA does a linear transformation of lag vectors from time-series to find independent components by a nonlinear algorithm. We obtained a similar impulse response for these dataset. If it were a Martingale process, it can be shown that impulse response should be a delta-function under a few conditions that could be numerically checked and as was verified by surrogate data. This result would provide information on the market dynamics including speculative bubbles and arbitraging processes.


Related Articles

  • The Impact of Macroeconomic Announcements on Stock Prices: In Search of State Dependence. Poitras, Marc // Southern Economic Journal;Jan2004, Vol. 70 Issue 3, p549 

    Studies the impact of macroeconomic announcement variables on the daily closing prices of Standard & Poor's 500 stocks in the U.S. Relationship of the announcements on financial markets and the state of the business cycle; Stability tests using slope-shift dummy variables.

  • Dual Class Stock in Russia: Explaining a Pricing Anomaly. Muravyev, Alexander // Emerging Markets Finance & Trade;Mar/Apr2009, Vol. 45 Issue 2, p21 

    This paper studies the determinants of the unusually high and volatile price differential between common (voting) shares and preferred (nonvoting) shares in Russia's emerging stock market. It focuses on three potential explanations for the price spread between these two classes of stock: the...

  • STOCK MARKET ANALYSIS THROUGH BUSINESS CYCLE APPROACH. Dzikevicius, Audrius; Vetrov, Jaroslav // Business: Theory & Practice;2012, Vol. 13 Issue 1, p36 

    It is often claimed that stock prices are determined on the basis of some key macroeconomic indicators. Presumably, stock market movements reflect positions taken by market participants based on their assessment about the current state of the economy. Given the forward-looking behaviour of OECD...

  • STOCK PRICES IN AN ARTIFICIAL STOCK MARKET WITH OPTIMISTIC AND PESSIMISTIC AGENTS. Kimura, Herbert; Guasti Lima, Fabiano; Jacob Perera, Luiz Carlos; Borges Kerr, Roberto // International Journal of Business Strategy;Jun2011, Vol. 11 Issue 2, p103 

    This research aims to investigate, through simulation models, how the interaction among agents in an artificial stock market can affect the dynamics of asset prices. Thus, the study follows a different methodology for the analysis of prices by exploring the simulation of agents' behavior in an...

  • 2007 YEAR-END STOCK PERFORMANCE.  // Resource Recycling;Feb2008, Vol. 27 Issue 2, p15 

    The article presents a discussion of the 2007 year-end stock performance and the effect of the economic recession in the United States. It is mentioned that the crisis hit banks, mortgage lenders, bond insurers, and home builders. Such crisis is said to have brought down shares more than fifty...

  • The Supply-Side Effect of a Stock Market Crash. Baker, Dean // Challenge (05775132);Sep/Oct2000, Vol. 43 Issue 5, p107 

    It is widely accepted among economists that the stock market is significantly overvalued. At present, the average price-to-earnings ratio for shares of stock is over 30 to 1. This ratio is more than twice the historic average of less than 15 to 1. This imbalance implies that to return to normal...

  • Firm Expansion and Stock Price Momentum*. Nyberg, Peter; Pöyry, Salla // Review of Finance;Jul2014, Vol. 18 Issue 4, p1465 

    We document a significant and robust connection between firm-level asset changes and return momentum. Momentum profits are large and significant for firms that have experienced large asset expansions or contractions, whereas they otherwise are small and often insignificant. The interaction...

  • The extreme-value dependence between the crude oil price and Chinese stock markets. Chen, Qian; Lv, Xin // International Review of Economics & Finance;Sep2015, Vol. 39, p121 

    This paper examines the asymptotic dependence between the Chinese stock market and the world crude oil market based on the Extreme Value Theory (EVT) and finds a positive extremal dependence. We explain this positive dependence in terms of economic cycles due to the co-movement between the...

  • Has Stock Market Volatility in the Kuala Lumpur Stock Exchange Returned to Pre-Asian Financial Crisis Levels? Siong Hook Law // ASEAN Economic Bulletin;Aug2006, Vol. 23 Issue 2, p212 

    The 1997-98 East Asian financial crisis was accompanied by high volatility in the Kuala Lumpur Stock Exchange (KLSE). This paper investigates whether stock return volatility has returned to pre-financial crisis levels, using the Exponential GARCH model combined with sudden changes of...


Read the Article


Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics