Related papers: From short to fat tails in financial markets: A un…
The effects induced by long temporal correlations of the velocity gradients on the dynamics of a flexible polymer are investigated by means of theoretical and numerical analysis of the Hookean and FENE dumbbell models in a random renewing…
It is well known that the distribution of returns from various financial instruments are leptokurtic, meaning that the distributions have "fatter tails" than a Normal distribution, and have skew toward zero. This paper presents a graceful…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
This paper aims to more effectively manage and mitigate stock market risks by accurately characterizing financial market returns and volatility. We enhance the Stochastic Volatility (SV) model by incorporating fat-tailed distributions and…
Unified description on the long-time tail of velocity autocorrelation function and the long-range correlation for the equal-time spatial correlation functions is developed based on the generalized fluctuating hydrodynamics. The cross-over…
We investigate relaxation and correlations in a class of mean-reverting models for stochastic variances. We derive closed-form expressions for the correlation functions and leverage for a general form of the stochastic term. We also discuss…
The tail of the distribution of primordial fluctuations (corresponding to the likelihood of realization of large fluctuations) is of interest, from both theoretical and observational perspectives. In particular, it is relevant for the…
We assume the market price to diffuse in a hierarchical comb of barriers, the heights of which represent the importance of new information entering the market. We find fat tails with the desired exponent for the price change distribution,…
An exact solution is presented to a model that mimics the crowding effect in financial markets which arises when groups of agents share information. We show that the size distribution of groups of agents has a power law tail with an…
We characterize the complex, heavy-tailed probability distribution functions (pdf) describing the response and its local extrema for structural systems subjected to random forcing that includes extreme events. Our approach is based on the…
Extreme values and the tail behavior of probability distributions are essential for quantifying and mitigating risk in complex systems of all kinds. In multivariate settings, accounting for correlations is crucial. Although extreme value…
We present a simple model based on the dark halo approach which provides a useful way to understand key points determining the shape of the non-Gaussian tails of the dark matter one-point probability distribution function(PDF). In…
Modelling non-homogeneous and multi-component data is a problem that challenges scientific researchers in several fields. In general, it is not possible to find a simple and closed form probabilistic model to describe such data. That is why…
This paper offers a precise analytical characterization of the distribution of returns for a portfolio constituted of assets whose returns are described by an arbitrary joint multivariate distribution. In this goal, we introduce a…
Dynamical systems in nature exhibit selfsimilar fractal fluctuations and the corresponding power spectra follow inverse power law form signifying long-range space-time correlations identified as self-organized criticality. The physics of…
In setting up a stochastic description of the time evolution of a financial index, the challenge consists in devising a model compatible with all stylized facts emerging from the analysis of financial time series and providing a reliable…
Despite the successes of probabilistic models based on passing noise through neural networks, recent work has identified that such methods often fail to capture tail behavior accurately, unless the tails of the base distribution are…
We consider the tails of probability density function (PDF) for the velocity that satisfies Burgers equation driven by a Gaussian large-scale force. The saddle-point approximation is employed in the path integral so that the calculation of…
The q-Gaussians are a class of stable distributions which are present in many scientific fields, and that behave as heavy tailed distributions for an especific range of q values. The identification of these values, which are used in the…
Implementing a set of microeconomic criteria, we develop price dynamics equations using a function of demand/supply with key symmetry properties. The function of demand/supply can be linear or nonlinear. The type of function determines the…