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We present results of the numerical simulations and the scaling characteristics of one-dimensional random fluctuations with heavy tailed probability distribution functions. Assuming that the distribution function of the random fluctuations…
Financial market dynamics is rigorously studied via the exact generalized Langevin equation. Assuming market Brownian self-similarity, the market return rate memory and autocorrelation functions are derived, which exhibit an…
A surprising feature of flow in slowly sheared model foam (bubble raft) is a measured discontinuity in the rate of strain as a function of position such that part of the system is ``flowing'' and the rest is undergoing ``elastic''…
Full orbit dynamics of charged particles in a $3$-dimensional helical magnetic field in the presence of $\alpha$-stable L\'evy electrostatic fluctuations and linear friction modeling collisional Coulomb drag is studied via Monte Carlo…
The stochastic leverage effect, defined as the standardized covariation between the returns and their related volatility, is analyzed in a stochastic volatility model set-up. A novel estimator of the effect is defined using a pre-estimation…
This note proves an upper bound for the fluctuations of a second-class particle in the totally asymmetric simple exclusion process. The proof needs a lower tail estimate for the last-passage growth model associated with the exclusion…
American options are financial instruments that can be exercised at any time before expiration. In this paper we study the problem of pricing this kind of derivatives within a framework in which some of the properties --volatility and…
We show power-scaling behaviors for fluctuations in share volume, which no other studies have so far done. After analyzing a database of the daily transactions for all securities listed on the Tokyo Stock Exchange, we selected 1050 large…
We present a complete theory for the full particle statistics of the positions of bulk and extremal particles in a one-dimensional Coulomb Gas (CG) with an arbitrary potential, in the typical and large deviations regimes. Typical…
Far too often are multiparticle final states studied and models tested on merely single-particle spectra and their integrals, the average multiplicities: A multiparticle final state is a non-linear, complex system and the essential…
We investigate the spatio-temporal quantity of coherence for turbulent velocity fluctuations at spatial distances of the order or larger than the integral length scale $l_{0}$. Using controlled laboratory experiments, an exponential decay…
The correlated stochastic volatility models constitute a natural extension of the Black and Scholes-Merton framework: here the volatility is not a constant, but a stochastic process correlated with the price log-return one. At present,…
This paper considers utility indifference valuation of derivatives under model uncertainty and trading constraints, where the utility is formulated as an additive stochastic differential utility of both intertemporal consumption and…
We show that typical behaviors of market participants at the high frequency scale generate leverage effect and rough volatility. To do so, we build a simple microscopic model for the price of an asset based on Hawkes processes. We encode in…
Using intraday data for the cross-section of individual stocks, we show that both transitory and persistent fluctuations in realized market and average idiosyncratic volatility, skewness and kurtosis are differentially priced in the…
In the past few decades considerable effort has been expended in characterizing and modeling financial time series. A number of stylized facts have been identified, and volatility clustering or the tendency toward persistence has emerged as…
We study conductance fluctuations in a two-dimensional electron gas as a function of chemical potential (or gate voltage) from the strongly insulating to the metallic regime. Power spectra of the fluctuations decay with two distinct…
Perpetual American options are financial instruments that can be readily exercised and do not mature. In this paper we study in detail the problem of pricing this kind of derivatives, for the most popular flavour, within a framework in…
It is known that the probability is not a conserved quantity in the stock market, given the fact that it corresponds to an open system. In this paper we analyze the flow of probability in this system by expressing the ideal Black-Scholes…
This note continues investigation of randomness-type properties emerging in idealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variation exponent of…