Related papers: Multifractal regime transition in a modified minor…
A regime-switching multivariate time series model which is closed under margins is built. The model imposes a restriction on all lower-dimensional sub-processes to follow a regime-switching process sharing the same latent regime sequence…
The Random Parameters model was proposed to explain the structure of the covariance matrix in problems where most, but not all, of the eigenvalues of the covariance matrix can be explained by Random Matrix Theory. In this article, we…
Many multi-dimensional signals appear in the real world, such as digital images and data that has spatial and temporal dimensions. How to show the spectrum of these multi-dimensional signals correctly is a key challenge in the field of…
The Fractional Stochastic Regularity Model (FSRM) is an extension of Black-Scholes model describing the multifractal nature of prices. It is based on a multifractional process with a random Hurst exponent $H_t$, driven by a fractional…
We consider a self-similar phase space with specific fractal dimension $d$ being distributed with spectrum function $f(d)$. Related thermostatistics is shown to be governed by the Tsallis formalism of the non-extensive statistics, where the…
By adopting Multifractal detrended fluctuation (MF-DFA) analysis methods, the multifractal nature is revealed in the high-frequency data of two typical indexes, the Shanghai Stock Exchange Composite 180 Index (SH180) and the Shenzhen Stock…
To demonstrate the usefulness of physical approaches for the study of realistic economic systems, we investigate the inequality of players' wealth in one of the most extensively studied econophysical models, namely, the minority game (MG).…
Wavelets provide the flexibility to analyse stochastic processes at different scales. Here, we apply them to multivariate point processes as a means of detecting and analysing unknown non-stationarity, both within and across data streams.…
We study the multifractal temporal scaling properties of river discharge and precipitation records. We compare the results for the multifractal detrended fluctuation analysis method with the results for the wavelet transform modulus maxima…
Based on a criterium of mathematical simplicity and consistency with empirical market data, a stochastic volatility model has been obtained with the volatility process driven by fractional noise. Depending on whether the stochasticity…
Multiplicative random cascade model naturally reproduces the intermittency or multifractality, which is frequently shown among hierarchical complex systems such as turbulence and financial markets. As described herein, we investigate the…
A thin layer of liquid in a horizontal cell is subjected to a periodic vertical force with two control parameters: acceleration and frequency. The influence of the rheological behavior of the fluid was considered over the empirically…
Highly nonlinear behavior of a system of discrete sites on a lattice is observed when a specific feedback loop is introduced into models employing coupled map lattices, quantum cellular automata, or the real-valued analogues of the latter.…
Dynamics of many-body Hamiltonian systems with long range interactions is studied, in the context of the so called $\alpha-$HMF model. Building on the analogy with the related mean field model, we construct stationary states of the…
We present a dynamical theory of a multi-agent market game, the so-called Minority Game (MG), based on crowds and anticrowds. The time-averaged version of the dynamical equations provides a quantitatively accurate, yet intuitively simple,…
We derive the multifractal analysis of the conformal measure (or equivalently, the invariant measure) associated to a family of weights imposed upon a (multi-dimensional) graph directed Markov system (GDMS) using balls as the filtration.…
We use the Minority Game as a testing frame for the problem of the emergence of diversity in socio-economic systems. For the MG with heterogeneous impacts, we show that the direct generalization of the usual agents' profit does not fit some…
We discuss in detail the derivation of stochastic differential equations for the continuum time limit of the Minority Game. We show that all properties of the Minority Game can be understood by a careful theoretical analysis of such…
We study multifield contributions to the scalar power spectrum in an ensemble of six-field inflationary models obtained in string theory. We identify examples in which inflation occurs by chance, near an approximate inflection point, and we…
Systems with the power-law quasiparticle dispersion $\epsilon_{\bf k}\propto k^\alpha$ exhibit non-Anderson disorder-driven transitions in dimensions $d>2\alpha$, as exemplified by Weyl semimetals, 1D and 2D arrays of ultracold ions with…