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q-fin.ST2024
Model-based and empirical analyses of stochastic fluctuations in economy and finance
Rubina Zadourian
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical me…
q-fin.ST2015
Asymmetry of cross correlations between intra-day and overnight volatilities
Rubina Zadourian, Peter Grassberger
We point out a stunning time asymmetry in the short time cross correlations between intra-day and overnight volatilities (absolute values of log-returns of stock prices). While ove…