Tobias Preis, Daniel Reith, and H. Eugene Stanley
Philosophical Transactions of the Royal Society A 368, 5707-5719 (2010) — We study weekly search volume data for various search terms from 2004 to 2010 that are offered by the search engine Google for scientific use. We ask the question whether there is a link between search volume data and financial market fluctuations on a weekly time scale. We find clear evidence that weekly transaction volumes of S&P 500 companies are correlated with weekly search volume of corresponding company names.

Tobias Preis and H. Eugene Stanley
Journal of Statistical Physics 138, 431-446 (2010) — Analysis of trend switching processes in financial markets. Such switching occurs on time scales ranging from macroscopic bubbles persisting for hundreds of days to microscopic bubbles persisting only for a few seconds. We find striking scale-free behavior of the volume and inter-trade times after each switching occurs.

Tobias Preis, Peter Virnau, Wolfgang Paul, and Johannes J. Schneider
New Journal of Physics 11, 093024 (2009) — The compute unified device architecture is a programming approach for managing computations on a graphics processing unit (GPU). We apply this technology to methods of fluctuation analysis, which includes determination of the scaling behavior of a stochastic process, the equilibrium autocorrelation function, and the pattern formation conformity. Results are obtained up to 84 times faster than on a central processing unit core.

Tobias Preis, Wolfgang Paul, and Johannes J. Schneider
Europhysics Letters 82, 68005 (2008) — We introduce a new method for quantifying pattern-based complex short-time correlations of a time series. Our correlation measure is 1 for a perfectly correlated and 0 for a random walk time series. When we apply this method to high-frequency time series data of the German DAX future, we find clear correlations on short time scales.

Tobias Preis, Sebastian Golke, Wolfgang Paul, and Johannes J. Schneider
Physical Review E 76, 016108 (2007) — We analyze the Order Bool Model in detail, explain the consequences of the use of different groups of traders, and focus on the foundation of a nontrivial Hurst exponent based on the introduction of a market trend. Our Order Book Model supports the theoretical argument that a nontrivial Hurst exponent implies not necessarily long-term correlations. A coupling of the order placement depth to the market trend can produce fat tails.

Tobias Preis, Sebastian Golke, Wolfgang Paul, and Johannes J. Schneider
Europhysics Letters 75, 510-516 (2006) — We introduce a simple model for simulating financial markets, based on an order book, in which several agents trade one asset at a virtual exchange continuously. We show that a market trend, i.e. an asymmetric order flow of any type, leads to a non-trivial Hurst exponent for the price development, but not to "fat-tailed" return distributions. When one additionally couples the order entry depth to the prevailing trend, also the stylized empirical fact of "fat tails" can be reproduced by our Order Book Model.