Related papers: Different fractal properties of positive and negat…
We investigate how various linear and nonlinear transformations affect the scaling properties of a signal, using the detrended fluctuation analysis (DFA). Specifically, we study the effect of three types of transforms: linear, nonlinear…
Precise analyses of the statistical and scaling properties of galaxy distribution are essential to elucidate the large-scale structure of the universe. Given the ongoing debate on its statistical features, the development of statistical…
We uncover and identify the regime for a magnetically and ferroelectrically controllable negative refraction of light traversing multiferroic, oxide-based metastructure consisting of alternating nanoscopic ferroelectric (SrTiO$_2$) and…
The superfamily phenomenon of time series with different dynamics can be characterized by the motif rank patterns observed in the nearest-neighbor networks of the time series in phase space. However, the determinants of superfamily…
Based on geometrical considerations, we propose a new oscillator for technical market analysis, the tube oscillator. This oscillator measures the trending behavior of a fixed market instrument based on its past history. It is shown in an…
The statistical properties of the multipliers of the absolute returns are investigated using one-minute high-frequency data of financial time series. The multiplier distribution is found to be independent of the box size $s$ when $s$ is…
Sentiment analysis, widely used in product reviews, also impacts financial markets by influencing asset prices through microblogs and news articles. Despite research in sentiment-driven finance, many studies focus on sentence-level…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
We investigate whether the tails of firm-level idiosyncratic return distributions are driven by common shocks. We use quantile factor analysis to extract such common idiosyncratic quantile factors with asymmetric pricing effects and we find…
Influence of the weak electric field on the electronic structure of the Fibonacci superlattice is considered. The electric field produces a nonlinear dynamics of the energy spectrum of the aperiodic superlattice. Mechanism of the…
Recent studies show that a negative shock in stock prices will generate more volatility than a positive shock of similar magnitude. The aim of this paper is to appraise the hypothesis under which the conditional mean and the conditional…
The field-driven magnetisation reversal processes in disordered systems exhibit a collective behaviour that is manifested in the scale-invariance of avalanches, closely related to underlying dynamical mechanisms. Using the multifractal time…
We study, both analytically and numerically, an ARCH-like, multiscale model of volatility, which assumes that the volatility is governed by the observed past price changes on different time scales. With a power-law distribution of time…
Eye movements during fixation of a stationary target prevent the adaptation of the photoreceptors to continuous illumination and inhibit fading of the image. These random, involuntary, small, movements are restricted at long time scales so…
The system size dependence of the multifractal spectrum $f(\alpha)$ and its singularity strength $\alpha$ is investigated numerically. We focus on one-dimensional (1D) and 2D disordered systems with long-range random hopping amplitudes in…
Background: Human gait exhibits complex fractal fluctuations among consecutive strides. The time series of gait parameters are long-range correlated (statistical persistence). In contrast, when gait is synchronized with external rhythmic…
Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to…
We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small time scales. The multifractal description of asset fluctuations is generalized into a multivariate…
This paper reviews some of the phenomenological models which have been introduced to incorporate the scaling properties of financial data. It also illustrates a microscopic model, based on heterogeneous interacting agents, which provides a…
There is a large body of work, built on tools developed in mathematics and physics, demonstrating that financial market prices exhibit self-similarity at different scales. In this paper, we explore the use of analytical topology to…