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Time reversal invariance in finance

Citations

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Cited by:

  1. Wang, Yuanyuan & Shang, Pengjian, 2018. "A new measurement of financial time irreversibility based on information measures method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 221-230.
  2. Léo Parent, 2022. "The EWMA Heston model," Post-Print hal-04431111, HAL.
  3. Zumbach, Gilles, 2012. "Option pricing and ARCH processes," Finance Research Letters, Elsevier, vol. 9(3), pages 144-156.
  4. Kevin Primicerio & Damien Challet, 2018. "Large large-trader activity weakens the long memory of limit order markets," Papers 1803.08390, arXiv.org.
  5. Michele Vodret & Iacopo Mastromatteo & Bence Tóth & Michael Benzaquen, 2023. "Microfounding GARCH models and beyond: a Kyle-inspired model with adaptive agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(3), pages 599-625, July.
  6. Pierre Blanc & Jonathan Donier & Jean-Philippe Bouchaud, 2015. "Quadratic Hawkes processes for financial prices," Papers 1509.07710, arXiv.org.
  7. Rudy Morel & Gaspar Rochette & Roberto Leonarduzzi & Jean-Philippe Bouchaud & St'ephane Mallat, 2022. "Scale Dependencies and Self-Similar Models with Wavelet Scattering Spectra," Papers 2204.10177, arXiv.org, revised Jun 2023.
  8. Axel Ciceri & Austin Cottrell & Joshua Freeland & Daniel Fry & Hirotoshi Hirai & Philip Intallura & Hwajung Kang & Chee-Kong Lee & Abhijit Mitra & Kentaro Ohno & Das Pemmaraju & Manuel Proissl & Brian, 2025. "Enhanced fill probability estimates in institutional algorithmic bond trading using statistical learning algorithms with quantum computers," Papers 2509.17715, arXiv.org.
  9. Julien Guyon & Jordan Lekeufack, 2023. "Volatility is (mostly) path-dependent," Quantitative Finance, Taylor & Francis Journals, vol. 23(9), pages 1221-1258, September.
  10. Ranieri Dugo & Giacomo Giorgio & Paolo Pigato, 2024. "Multivariate Rough Volatility," Papers 2412.14353, arXiv.org, revised Aug 2025.
  11. Takaishi, Tetsuya, 2025. "Multifractality and sample size influence on Bitcoin volatility patterns," Finance Research Letters, Elsevier, vol. 74(C).
  12. R'emy Chicheportiche & Jean-Philippe Bouchaud, 2012. "The fine-structure of volatility feedback I: multi-scale self-reflexivity," Papers 1206.2153, arXiv.org, revised Sep 2013.
  13. Olivares, Felipe & Sun, Xiaoqian & Wandelt, Sebastian & Zanin, Massimiliano, 2023. "Measuring landing independence and interactions using statistical physics," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 170(C).
  14. Gilles Zumbach, 2011. "Characterizing heteroskedasticity," Quantitative Finance, Taylor & Francis Journals, vol. 11(9), pages 1357-1369, October.
  15. Omar El Euch & Jim Gatheral & Radov{s} Radoiv{c}i'c & Mathieu Rosenbaum, 2018. "The Zumbach effect under rough Heston," Papers 1809.02098, arXiv.org.
  16. Wu, Zhenyu & Shang, Pengjian & Xiong, Hui, 2018. "An improvement of the measurement of time series irreversibility with visibility graph approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 370-378.
  17. Huang, Yong & Yang, Dongqing & Wang, Lei & Wang, Kehong, 2020. "Classifying of welding time series based on multi-scale time irreversibility analysis and extreme learning machine," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
  18. Gilles Zumbach, 2021. "On the short term stability of financial ARCH price processes," Papers 2107.06758, arXiv.org.
  19. Eduardo Abi Jaber & Shaun & Li, 2025. "Capturing Smile Dynamics with the Quintic Volatility Model: SPX, Skew-Stickiness Ratio and VIX," Papers 2503.14158, arXiv.org.
  20. Marcus Cordi & Serge Kassibrakis & Damien Challet, 2018. "The market nanostructure origin of asset price time reversal asymmetry," Working Papers hal-01966419, HAL.
  21. Fabio Baschetti & Giacomo Bormetti & Pietro Rossi, 2025. "Joint deep calibration of the 4-factor PDV model," Papers 2507.09412, arXiv.org.
  22. R'emy Chicheportiche, 2013. "Non-linear dependences in finance," Papers 1309.5073, arXiv.org.
  23. Marcus Cordi & Damien Challet & Serge Kassibrakis, 2021. "The market nanostructure origin of asset price time reversal asymmetry," Quantitative Finance, Taylor & Francis Journals, vol. 21(2), pages 295-304, February.
  24. Ofelia Bonesini & Emilio Ferrucci & Ioannis Gasteratos & Antoine Jacquier, 2024. "Rough differential equations for volatility," Papers 2412.21192, arXiv.org.
  25. Jean-Philippe Bouchaud, 2021. "Radical Complexity," Papers 2103.09692, arXiv.org.
  26. Kim, Min Jae & Kim, Sehyun & Jo, Yong Hwan & Kim, Soo Yong, 2011. "Dependence structure of the commodity and stock markets, and relevant multi-spread strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3842-3854.
  27. Tetsuya Takaishi, 2025. "Impact of the COVID-19 pandemic on the financial market efficiency of price returns, absolute returns, and volatility increment: Evidence from stock and cryptocurrency markets," Papers 2504.18960, arXiv.org.
  28. Guido Gazzani & Julien Guyon, 2024. "Pricing and calibration in the 4-factor path-dependent volatility model," Papers 2406.02319, arXiv.org, revised Feb 2025.
  29. Jessica Morales Herrera & Ra'ul Salgado-Garc'ia, 2023. "Trend patterns statistics for assessing irreversibility in cryptocurrencies: time-asymmetry versus inefficiency," Papers 2307.08612, arXiv.org.
  30. Jim Gatheral & Paul Jusselin & Mathieu Rosenbaum, 2020. "The quadratic rough Heston model and the joint S&P 500/VIX smile calibration problem," Papers 2001.01789, arXiv.org.
  31. Wei-Ru Chen & A. Christian Silva & Shen-Ning Tung, 2024. "Stylized facts in Web3," Papers 2408.07653, arXiv.org, revised Dec 2024.
  32. Aditi Dandapani & Paul Jusselin & Mathieu Rosenbaum, 2019. "From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect," Papers 1907.06151, arXiv.org, revised Jan 2021.
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