Michele Pasquini

Multiscale behaviour of volatility autocorrelations in a financial market

We perform a scaling analysis on NYSE daily returns. We show that volatility correlations are power-laws on a time range from one day to one year and, more important, that they exhibit a multiscale behaviour.

Multiscaling and clustering of volatility

The dynamics of prices in stock markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, while the distribution of returns of the most important indices is known to be a truncated Levy, the behaviour of volatility correlations is still poorly understood. What is well known is that absolute returns have memory on a long time range, this phenomenon is known in financial literature as clustering of volatility. In this paper we show that volatility correlations are power laws with a non-unique scaling exponent. This kind of multiscale phenomenology is known to be relevant in fully developed turbulence and in disordered systems and it is pointed out here for the first time for a financial series. In our study we consider the New York Stock Exchange (NYSE) daily index, from January 1966 to June 1998, for a total of 8180 working days.

Efficiency in Foreign Exchange Markets

A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We introduce a technique to measure the available information and show it can be profitable following a particular trading rule.

Characterization of chaos in random maps

We discuss the characterization of chaotic behaviors in random maps both in terms of the Lyapunov exponent and of the spectral properties of the Perron-Frobenius operator. In particular, we study a logistic map where the control parameter is extracted at random at each time step by considering finite-dimensional approximation of the Perron-Frobenius operator.

Correlations and multi-affinity in high frequency financial datasets

In this paper we perform a quantitative check of long term correlations and multi-affinity in Deutsche Mark/US Dollar exchange rates using high frequency data. We show that the use of business time, i.e., the ranking of the quotes in the sequences, eliminates most of the seasonality in financial-time series, allowing a precise estimation of some return anomalies.

Optimal Strategies for Prudent Investors

We consider a stochastic model of investment on an asset of a stock market for a prudent investor. She decides to buy permanent goods with a fraction

Antipersistent Markov behavior in foreign exchange markets

\a

A variational approach to Ising spin glasses in finite dimensions

of the maximum amount of money owned in her life in order that her economic level never decreases. The optimal strategy is obtained by maximizing the exponential growth rate for a fixed

Constrained Annealing for Spin Glasses

\a

MOVING AVERAGES AND PRICE DYNAMICS

. We derive analytical expressions for the typical exponential growth rate of the capital and its fluctuations by solving an one-dimensional random walk with drift.