Limit order books (LOBs) match buyers and sellers in more than half of the world's financial
markets. This survey highlights the insights that have emerged from the wealth of empirical …

Classical option pricing schemes assume that the value of a financial asset follows a
geometric Brownian motion (GBM). However, a growing body of studies suggest that a …

We present an information-theoretical analysis of temporal dependencies in EEG microstate
sequences during wakeful rest. We interpret microstate sequences as discrete stochastic …

This paper proposes a new efficiency index to model time-varying inefficiency in stock
markets. We focus on European stock markets and show that they have different degrees of …

The evolution of the daily informational efficiency is measured for different stock market
indices (Japanese, Malaysian, Russian, Mexican, and the US markets) by using the local …

" This book moves beyond the disciplinary frontiers in order to initiate the development of a
common theoretical framework that makes sense for both traditionally trained financial …

We use generalized Hurst exponents to investigate long-range dependence across
countries that have implemented an inflation targeting monetary policy regime and have a …

The book is devoted to the fundamental relationship between three objects: a stochastic
process, stochastic differential equations driven by that process and their associated Fokker …

We analyze the power spectral density of a signal composed of nonoverlapping rectangular
pulses. First, we derive a general formula for the power spectral density of a signal …

This article focuses on the analysis of financial time series and their correlations. A method
is used for quantifying pattern based correlations of a time series. With this methodology …