Related papers: Fractality feature in oil price fluctuations
We present results of the numerical simulations and the scaling characteristics of one-dimensional random fluctuations with heavy tailed probability distribution functions. Assuming that the distribution function of the random fluctuations…
The concepts of scale invariance, self-similarity and scaling have been fruitfully applied to the study of price fluctuations in financial markets. After a brief review of the properties of stable Levy distributions and their applications…
Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…
Many financial variables are found to exhibit multifractal nature, which is usually attributed to the influence of temporal correlations and fat-tailedness in the probability distribution (PDF). Based on the partition function approach of…
Probability density functions (PDFs) of scale-dependent energy fluctuations, $P[\delta E(\ell)]$, are studied in high-resolution direct numerical simulations of Navier-Stokes and incompressible magnetohydrodynamic (MHD) turbulence. MHD…
Scaling properties of time series are usually studied in terms of the scaling laws of empirical moments, which are the time average estimates of moments of the dynamic variable. Nonlinearities in the scaling function of empirical moments…
Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…
Price fluctuations of commodities like cotton and wheat are thought to display probability distributions of returns that follow a L\'evy stable distribution. Recent analysis of stocks and foreign exchange markets show that the probability…
Motivated by stochastic models of climate phenomena, the steady-state of a linear stochastic model with additive Gaussian white noise is studied. Fluctuation theorems for nonequilibrium steady-states provide a constraint on the character of…
The fluctuation scaling law has universally been observed in a wide variety of phenomena. For counting processes describing the number of events occurred during time intervals, it is expressed as a power function relationship between the…
Statistical properties of the interplanetary magnetic field fluctuations can provide an important insight into the solar wind turbulent cascade. Recently, analysis of the Probability Density Functions (PDF) of the velocity and magnetic…
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 study the distribution of fluctuations over a time scale $\Delta t$ (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately 1 million records sampled at 1 min intervals for the…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
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…
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…
The formula for probability density functions (PDFs) has been extended to include PDF for energy dissipation rates in addition to other PDFs such as for velocity fluctuations, velocity derivatives, fluid particle accelerations, energy…
In the study of complex networks (systems), the scaling phenomenon of flow fluctuations refers to a certain power-law between the mean flux (activity) $<F_i>$ of the $i$th node and its variance $\sigma_i$ as $\sigma_i \propto < F_{i} >…