High frequency statistical arbitrage via the optimal thermal causal path

We consider the problem of identifying similarities and causality relationships in a given set of financial time series data streams. We develop further the “Optimal Thermal Causal Path” method, which is a non-parametric method proposed by Sornette et al. The method considers the mismatch between a given pair of time series in order to identify the expected minimum energy path lead-lag structure between the pair. Traders may find this a useful tool for directional trading, to spot arbitrage opportunities. We add a curvature energy term to the method and we propose an approximation technique to reduce the computational time. We apply the method and approximation technique on various market sectors of NYSE data and extract the highly correlated pairs of time series. We show how traders could exploit arbitrage opportunities by using the method

Regularity of center-of-pressure trajectories depends on the amount of attention invested in postural control

The influence of attention on the dynamical structure of postural sway was examined in 30 healthy young adults by manipulating the focus of attention. In line with the proposed direct relation between the amount of attention invested in postural control and regularity of center-of-pressure (COP) time series, we hypothesized that: (1) increasing cognitive involvement in postural control (i.e., creating an internal focus by increasing task difficulty through visual deprivation) increases COP regularity, and (2) withdrawing attention from postural control (i.e., creating an external focus by performing a cognitive dual task) decreases COP regularity. We quantified COP dynamics in terms of sample entropy (regularity), standard deviation (variability), sway-path length of the normalized posturogram (curviness), largest Lyapunov exponent (local stability), correlation dimension (dimensionality) and scaling exponent (scaling behavior). Consistent with hypothesis 1, standing with eyes closed significantly increased COP regularity. Furthermore, variability increased and local stability decreased, implying ineffective postural control. Conversely, and in line with hypothesis 2, performing a cognitive dual task while standing with eyes closed led to greater irregularity and smaller variability, suggesting an increase in the “efficiency, or “automaticity” of postural control”. In conclusion, these findings not only indicate that regularity of COP trajectories is positively related to the amount of attention invested in postural control, but also substantiate that in certain situations an increased internal focus may in fact be detrimental to postural control

FinTech revolution: the impact of management information systems upon relative firm value and risk

The FinTech or ‘financial technology’ revolution has been gaining increasing interest as technologies are fundamentally changing the business of financial services. Consequently, financial technology is playing an increasingly important role in providing relative performance growth to firms. It is also well known that such relative performance can be observed through pairs trading investment. Therefore pairs trading have implications for understanding financial technology performance, yet the relationships between relative firm value and financial technology are not well understood. In this paper we investigate the impact of financial technology upon relative firm value in the banking sector. Firstly, using pairs trade data we show that financial technologies reveal differences in relative operational performance of firms, providing insight on the value of financial technologies. Secondly, we find that contribution of relative firm value growth from financial technologies is dependent on the specific business characteristics of the technology, such as the business application and activity type. Finally, we show that financial technologies impact the operational risk of firms and so firms need to take into account both the value and risk benefits in implementing new technological innovations. This paper will be of interest to academics and industry professionals