Related papers: Multifactor Analysis of Multiscaling in Volatility…
Multiplicity fluctuations are studied both globaly (in terms of high-order moments) and locally (in terms of small phase-space intervals). The ratio of cumulant factorial to factorial moments of the charged-particle multiplicity…
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 study the statistics, in stationary conditions, of the work $W_\tau$ done by the active force in different systems of self-propelled particles in a time $\tau$. We show the existence of a critical value $W_\tau ^\dag$ such that…
We show that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-law tails of volatility and stock returns. We also show that…
Multifractal processes are a relatively new tool of stock market analysis. Their power lies in the ability to take multiple orders of autocorrelations into account explicitly. In the first part of the paper we discuss the framework of the…
This paper mainly utilizes the ARDL model and principal component analysis to investigate the relationship between the volatility of China's Shanghai Composite Index returns and the variables of exchange rate and domestic and foreign bond…
Using available data from the New York stock market (NYSM) we test four different bi-parametric models to fit the correspondent volume-price distributions at each $10$-minute lag: the Gamma distribution, the inverse Gamma distribution, the…
Correlations between asset returns are important in many financial applications. In recent years, multivariate volatility models have been used to describe the time-varying feature of the correlations. However, the curse of dimensionality…
The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i)…
This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analytically under the worst-case scenario with or without…
This paper introduces a new framework to study the asymptotical behavior of the empirical distribution function (e.d.f.) of Gaussian vector components, whose correlation matrix $\Gamma^{(m)}$ is dimension-dependent. Hence, by contrast with…
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countries. We find long-range power-law…
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…
Fluctuation scaling is observed phenomenon from complex networks through finance to ecology. It means that the variance and the mean of a specific quantity are related as $\ev{\sigma^2|n}\propto \ev{n|A}^{2\alpha}$ with $1/2\geq \alpha \geq…
The irreversibility of trajectories in stochastic dynamical systems is linked to the structure of their causal representation in terms of Bayesian networks. We consider stochastic maps resulting from a time discretization with interval \tau…
The dynamics of a complex system is usually recorded in the form of time series, which can be studied through its visibility graph from a complex network perspective. We investigate the visibility graphs extracted from fractional Brownian…
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that jointly estimates volatility, skewness and kurtosis over…
A simple model accounting for the ejection of heavy particles from the vortical structures of a turbulent flow is introduced. This model involves a space and time discretization of the dynamics and depends on only two parameters: the…
The analysis of the linearization effect in multifractal analysis, and hence of the estimation of moments for multifractal processes, is revisited borrowing concepts from the statistical physics of disordered systems, notably from the…