Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10481782 | Physica A: Statistical Mechanics and its Applications | 2012 | 12 Pages |
Abstract
⺠We test for feature patterns in weekly metal returns in the London Metal Exchange. ⺠The Kuramoto model for collective synchronization is applied to finding the patterns. ⺠The rank test combined with the random shuffling surrogate method is also applied. ⺠Our results suggest the existence of day-of-the-week anomalies in the metal returns. ⺠Such anomalies may stem from synchronously accumulated actions of market players.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Takaya Miyano, Kenichi Tatsumi,