Related papers: Modeling the Epps effect of cross correlations in …
Exceptional points (EPs) are exotic degeneracies of non-Hermitian systems, where the eigenvalues and the corresponding eigenvectors simultaneously coalesce in parameter space, and these degeneracies are sensitive to tiny perturbations on…
Accurate estimation for extent of cross{sectional dependence in large panel data analysis is paramount to further statistical analysis on the data under study. Grouping more data with weak relations (cross{sectional dependence) together…
Verifying entanglement with experimental measurements requires that we take the limitations of experimental techniques into account, while still proving that the data obtained could not have been generated from a classical source. In the…
An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock markets, memory effect of the average…
The problem of disorder seeks to determine a stopping time which is as close as possible to the unknown time of ``disorder'' when the observed process changes its probability characteristics. We give a partial answer to this question for…
Comprehensive characterization of non-Poissonian, bursty temporal patterns observed in various natural and social processes is crucial to understand the underlying mechanisms behind such temporal patterns. Among them bursty event sequences…
The usage of a spot volatility estimate based on a volatility decomposition in a time-changed price-model according to the trading times is investigated. In this model clock-time volatility splits up into the product of tick-time volatility…
Random walk is one of the most classical and well-studied model in probability theory. For two correlated random walks on lattice, every step of the random walks has only two states, moving in the same direction or moving in the opposite…
We determine the amount of information contained in a time series of price returns at a given time scale, by using a widespread tool of the information theory, namely the Shannon entropy, applied to a symbolic representation of this time…
For a sensor network, a tractable spatially-dependent node deployment model is presented with the property that the density is inversely proportional to the sink distance. A stochastic model is formulated to examine message advancements…
We establish upper bounds on the rate of decay of correlations of tower systems with summable variation of the Jacobian and integrable return time. That is, we consider situations in which the Jacobian is not Holder and the return time is…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
In Part II of this paper, we concentrate our analysis on the price dynamical model with the moving average rules developed in Part I of this paper. By decomposing the excessive demand function, we reveal that it is the interplay between…
As a tool for capturing irregular temporal dependencies (rather than resorting to binning temporal observations to construct time series), Hawkes processes with exponential decay have seen widespread adoption across many application…
The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…
Understanding and characterizing treatment effect variation in randomized experiments has become essential for going beyond the "black box" of the average treatment effect. Nonetheless, traditional statistical approaches often ignore or…
Twenty five years ago, several authors proposed to describe the forward interest rate curve (FRC) as an elastic string along which idiosyncratic shocks propagate, accounting for the peculiar structure of the return correlation across…
A signal recovery scheme is developed for linear observation systems based on expectation consistent (EC) mean field approximation. Approximate message passing (AMP) is known to be consistent with the results obtained using the replica…
Research on Poisson regression analysis for dependent data has been developed rapidly in the last decade. One of difficult problems in a multivariate case is how to construct a cross-correlation structure and at the meantime make sure that…
We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between…