Related papers: Multifractal regime transition in a modified minor…
This paper analyzes a class of infinite-time-horizon stochastic games with singular controls motivated from the partially reversible problem. It provides an explicit solution for the mean-field game (MFG) and presents sensitivity analysis…
We consider the set of monofractals within a multifractal related to the phase space being the support of a generalized thermostatistics. The statistical weight exponent $\tau(q)$ is shown to can be modeled by the hyperbolic tangent…
We propose non-phase-matched sum frequency generation (SFG) as a method for characterizing broadband multimode light. We demonstrate its advantages using high-gain parametric down conversion (PDC) as an example. By generating the sum…
The presence of large-scale real-world networks with various architectures has motivated an active research towards a unified understanding of diverse topologies of networks. Such studies have revealed that many networks with the scale-free…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
The earth's ionosphere is well recognized as a dynamical system and non-linearly coupled with the magnetosphere above and natural atmosphere below.The shape and time variability of the ionosphere indeed shows chaos, pattern formation,…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
Among the statistical models employed to approximate nonlinear interactions in biological and psychological processes, one prominent framework is that of cascades. Despite decades of empirical work using multifractal formalisms, a…
We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…
Multiple inflation is a model based on N=1 supergravity wherein there are sudden changes in the mass of the inflaton because it couples to 'flat direction' scalar fields which undergo symmetry breaking phase transitions as the universe…
Financial markets are of much interest to researchers due to their dynamic and stochastic nature. With their relations to world populations, global economies and asset valuations, understanding, identifying and forecasting trends and…
Non-stationary extremal dependence, whereby the relationship between the extremes of multiple variables evolves over time, is commonly observed in many environmental and financial data sets. However, most multivariate extreme value models…
We introduce a Multifractal Random Walk (MRW) defined as a stochastic integral of an infinitely divisible noise with respect to a dependent fractional Brownian motion. Using the techniques of the Malliavin calculus, we study the existence…
We study the multifractal behavior of coherent states projected in the energy eigenbasis of the spin-boson Dicke Hamiltonian, a paradigmatic model describing the collective interaction between a single bosonic mode and a set of two-level…
In this paper we will try to assess the multifractality displayed by the high-frequency returns of Madrid's Stock Exchange IBEX35 index. A Multifractal Detrended Fluctuation Analysis shows that this index has a wide singularity spectrum…
Several phenomena are available representing market activity: volumes, number of trades, durations between trades or quotes, volatility - however measured - all share the feature to be represented as positive valued time series. When…
Simultaneous reproduction of all financial stylized facts is so difficult that most existing stochastic process-based and agent-based models are unable to achieve the goal. In this study, by extending the decision-making structure of…
Continuous wavelet transform (CWT) based time-scale and multi-fractal analyses have been carried out on the anode glow related nonlinear floating potential fluctuations in a hollow cathode glow discharge plasma. CWT has been used to obtain…
This work builds upon the long-standing conjecture that linear diffusion models are inadequate for complex market dynamics. Specifically, it provides experimental validation for the author's prior arguments that realistic market dynamics…
Comparing with traditional fixed formation for a group of dynamical systems, time-varying formation can produce the following benefits: i) covering the greater part of complex environments; ii) collision avoidance. This paper studies the…