Related papers: Multifractal regime transition in a modified minor…
We use a multifractal formalism to study the effect of stochastic resonance in a noisy bistable system driven by various input signals. To characterize the response of a stochastic bistable system we introduce a new measure based on the…
Multifractal properties of the distribution of topological invariants for a model of trajectories randomly entangled with a nonsymmetric lattice of obstacles are investigated. Using the equivalence of the model to random walks on a locally…
In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose Dow Jones Industrial Average. The analysis consists about…
We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is `monofractal' by construction, it shows apparent multiscaling as a…
Over the last decade, nonparametric methods have gained increasing attention for modeling complex data structures due to their flexibility and minimal structural assumptions. In this paper, we study a general multivariate nonparametric…
In this paper, we provide a simple, ``generic'' interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as observed…
Fluctuations in the return time statistics of a dynamical system can be described by a new spectrum of dimensions. Comparison with the usual multifractal analysis of measures is presented, and difference between the two corresponding sets…
Processes occurring in real open systems are far from equilibrium state and they can lead to synergetic effects, which are caused by coordinated behavior of system units. Traditional methods of analysis often just establish such behavior,…
We discuss a simple model based on the Minority Game which reproduces the main stylized facts of anomalous fluctuations in finance. We present the analytic solution of the model in the thermodynamic limit and show that stylized facts arise…
We study multifractal properties in time evolution of a single particle subject to repeated measurements. For quantum systems, we consider circuit models consisting of local unitary gates and local projective measurements. For classical…
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…
Various methods have been developed independently to study the multifractality of measures in many different contexts. Although they all convey the same intuitive idea of giving a "dimension" to sets where a quantity scales similarly within…
We discuss the origin of multiscaling in financial time-series and investigate how to best quantify it. Our methodology consists in separating the different sources of measured multifractality by analysing the multi/uni-scaling behaviour of…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
We discuss a simple version of the Minority Game (MG) in which agents hold only one strategy each, but in which their capitals evolve dynamically according to their success and in which the total trading volume varies in time accordingly.…
We consider the variational structure of a time-fractional second order Mean Field Games (MFG) system with local coupling. The MFG system consists of time-fractional Fokker-Planck and Hamilton-Jacobi-Bellman equations. In such a situation…
In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the…
Modeling the evolution of high-dimensional systems from limited snapshot observations at irregular time points poses a significant challenge in quantitative biology and related fields. Traditional approaches often rely on dimensionality…
The critical dynamics of conformal field theories on random surfaces is investigated beyond the previously studied dynamics of the overall area and the genus. It is found that the evolution of the order parameter in physical time performs a…
The dynamics of minority games with agents trading on different time scales is studied via dynamical mean-field theory. We analyze the case where the agents' decision-making process is deterministic and its stochastic generalization with…