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Found 11 papers, 2 papers with code
Transitions between quasi-stationary states in traffic systems: Cologne orbital motorways as an example
Traffic systems can operate in different modes.
Risk Theory and Pricing of "Pay-for-Performance" Business Models
Technology trends as digitalization and Industry 4. 0 initiate a growing demand for new business models.
Identifying subdominant collective effects in a large motorway network
In a previous study, we focused on the collectivity motion present in the entire traffic network, i. e. the collectivity of the system as a whole.
New Collectivity Measures for Financial Covariances and Correlations
By removing the collective motion of the system as a whole, the latter effects are much better revealed.
A New Attempt to Identify Long-term Precursors for Endogenous Financial Crises in the Market Correlation Structures
Prediction of events in financial markets is every investor's dream and, usually, wishful thinking.
Two Price Regimes in Limit Order Books: Liquidity Cushion and Fragmented Distant Field
The distribution of liquidity within the limit order book is essential for the impact of market orders on the stock price and the emergence of price shocks.
Foreign exchange markets: price response and spread impact
We carry out a detailed large-scale data analysis of price response functions in the spot foreign exchange market for different years and different time scales.
Correlated power time series of individual wind turbines: A data driven model approach
In this context, we analyze the power time series measured in an offshore wind farm for a total period of one year with a time resolution of 10 min.
Time Series Analysis
Applications
Applied Physics
Data Analysis, Statistics and Probability
Price response functions and spread impact in correlated financial markets
Recent research on the response of stock prices to trading activity revealed long lasting effects, even across stocks of different companies.
Uncovering the Dynamics of Correlation Structures Relative to the Collective Market Motion
To this end we introduce a new approach by clustering reduced-rank correlation matrices which are obtained by subtracting the dyadic matrix belonging to the largest eigenvalue from the standard correlation matrices.
Regularities and Irregularities in Order Flow Data
This includes limit orders being placed outside of the spread, inside the spread and (effective) market orders.
