Time dependent correlations and response in stock market data and models

János Kertész; László Kullmann; Adam Gabor  Zawadowski; R. Karádi; K. Kaski

doi:10.1007/978-4-431-53947-6_5

Time dependent correlations and response in stock market data and models

János Kertész
, László Kullmann
, Adam Gabor Zawadowski
, R. Karádi
, K. Kaski

Budapest University of Technology and Economics
Helsinki University of Technology

Research output: Contribution to Book/Report types › Conference contribution › peer-review

Abstract (may include machine translation)

We study some consequences of the absence of microscopic reversibility on financial processes. We analyze high resolution data and find asymmetric time dependent cross correlation functions indicating dominance of some companies in the price formation procedure. These effects can be summarised in a directed netowrk of influence. Furthermore, we show that in the Lux-Marchesi multi agent market model spontaneous fluctuations decay differently from perturbations caused by external effects. The latter are easily controlled in the model, however, in real data the separation of the internal and the external effects is a highly nontrivial task.

Original language	English
Title of host publication	The Application of Econophysics
Subtitle of host publication	Proceedings of the Second Nikkei Econophysics Symposium
Editors	Hideki Takayasu
Publisher	Springer
Pages	43-50
Number of pages	8
ISBN (Electronic)	9784431539476
ISBN (Print)	9784431140283, 9784431679615
DOIs	https://doi.org/10.1007/978-4-431-53947-6_5
State	Published - 2004
Externally published	Yes

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10.1007/978-4-431-53947-6_5

Cite this

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title = "Time dependent correlations and response in stock market data and models",

abstract = "We study some consequences of the absence of microscopic reversibility on financial processes. We analyze high resolution data and find asymmetric time dependent cross correlation functions indicating dominance of some companies in the price formation procedure. These effects can be summarised in a directed netowrk of influence. Furthermore, we show that in the Lux-Marchesi multi agent market model spontaneous fluctuations decay differently from perturbations caused by external effects. The latter are easily controlled in the model, however, in real data the separation of the internal and the external effects is a highly nontrivial task.",

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Time dependent correlations and response in stock market data and models. / Kertész, János; Kullmann, László; Zawadowski, Adam Gabor et al.
The Application of Econophysics: Proceedings of the Second Nikkei Econophysics Symposium. ed. / Hideki Takayasu. Springer, 2004. p. 43-50.

Research output: Contribution to Book/Report types › Conference contribution › peer-review

TY - GEN

T1 - Time dependent correlations and response in stock market data and models

AU - Kertész, János

AU - Kullmann, László

AU - Zawadowski, Adam Gabor

AU - Karádi, R.

AU - Kaski, K.

PY - 2004

Y1 - 2004

N2 - We study some consequences of the absence of microscopic reversibility on financial processes. We analyze high resolution data and find asymmetric time dependent cross correlation functions indicating dominance of some companies in the price formation procedure. These effects can be summarised in a directed netowrk of influence. Furthermore, we show that in the Lux-Marchesi multi agent market model spontaneous fluctuations decay differently from perturbations caused by external effects. The latter are easily controlled in the model, however, in real data the separation of the internal and the external effects is a highly nontrivial task.

AB - We study some consequences of the absence of microscopic reversibility on financial processes. We analyze high resolution data and find asymmetric time dependent cross correlation functions indicating dominance of some companies in the price formation procedure. These effects can be summarised in a directed netowrk of influence. Furthermore, we show that in the Lux-Marchesi multi agent market model spontaneous fluctuations decay differently from perturbations caused by external effects. The latter are easily controlled in the model, however, in real data the separation of the internal and the external effects is a highly nontrivial task.

U2 - 10.1007/978-4-431-53947-6_5

DO - 10.1007/978-4-431-53947-6_5

M3 - Conference contribution

SN - 9784431140283

SN - 9784431679615

SP - 43

EP - 50

BT - The Application of Econophysics

A2 - Takayasu, Hideki

PB - Springer

ER -

Time dependent correlations and response in stock market data and models

Abstract (may include machine translation)

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