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Time dependent correlations and response in stock market data and models

  • J. Kertész
  • L. Kullmann
  • A. G. Zawadowski
  • R. Karädi
  • K. Kaski
Conference paper

Summary

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.

Keywords

Price Minimum High Resolution Data Artificial Market Terror Attack Price Drop 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

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Copyright information

© Springer Japan 2004

Authors and Affiliations

  • J. Kertész
    • 1
    • 2
  • L. Kullmann
    • 1
  • A. G. Zawadowski
    • 1
  • R. Karädi
    • 1
  • K. Kaski
    • 2
  1. 1.Department of Theoretical PhysicsBudapest University of Technology and EconomicsBudapestHungary
  2. 2.Laboratory of Computational EngineeringHelsinki University of TechnologyFinland

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