Related papers: Fractality feature in oil price fluctuations
We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock market returns exhibit multi-fractal…
The phenomenology of velocity statistics in turbulent flows, up to now, relates to different models dealing with either signed or unsigned longitudinal velocity increments, with either inertial or dissipative fluctuations. In this paper, we…
Experimental data are presented on particle correlations and fluctuations in various high-energy multiparticle collisions, with special emphasis on evidence for scaling-law evolution in small phase-space domains. The notions of…
Non-equilibrium fluctuations of various stochastic variables, such as work and entropy production, have been widely discussed recently in the context of large deviations, cumulants and fluctuation relations. Typically, one looks at the…
Fractional generalizations of the Poisson process and branching Furry process are considered. The link between characteristics of the processes, fractional differential equations and Levy stable densities are discussed and used for…
Many growth processes lead to intriguing stochastic patterns and complex fractal structures which exhibit local scale invariance properties. Such structures can often be described effectively by space-time trajectories of interacting…
Diffusion processes driven by Fractional Brownian motion (FBM) have often been considered in modeling stock price dynamics in order to capture the long range dependence of stock price observed in reality. Option prices for such models had…
Recently, Portelli et al (2003) have semi-numerically obtained a functional form of the probability distribution of fluctuations in the total energy flow in a model for fluid turbulence. This follows earlier work suggesting that…
Low-frequency molecular fluctuations in the translational nonequilibrium zone of one-dimensional strong shock waves are characterised for the first time in a kinetic collisional framework in the Mach number range $2\le M\le 10$. Our…
Multi-scaling properties of one-dimensional truncated Levy flights are studied. Due to the broken self-similarity of the distribution of jumps, they are expected to possess multi-scaling properties in contrast to the ordinary Levy flights.…
We study the average shape of a fluctuation of a time series x(t), that is the average value <x(t)-x(0)>_T before x(t) first returns, at time T, to its initial value x(0). For large classes of stochastic processes we find that a scaling law…
A new stochastic theory of a foreign exchange markets dynamics is developed. As a result we have the new probability distribution which well describes statistical and scaling dependencies ''experimentally'' observed in foreign exchange…
We investigate evolution equations for anomalous diffusion employing fractional derivatives in space and time. Linkage between the space-time variables leads to a new type of fractional derivative operator. Fractional diffusion equations…
We study the Heston model, where the stock price dynamics is governed by a geometrical (multiplicative) Brownian motion with stochastic variance. We solve the corresponding Fokker-Planck equation exactly and, after integrating out the…
The ``Brownian bees'' model describes an ensemble of $N=$~const independent branching Brownian particles. The conservation of $N$ is provided by a modified branching process. When a particle branches into two particles, the particle which…
The numerical experiments of turbulence conducted by Gotoh et al. are analyzed precisely with the help of the formulae for the scaling exponents of velocity structure function and for the probability density function (PDF) of velocity…
The fractional Poisson process (FPP) is a counting process with independent and identically distributed inter-event times following the Mittag-Leffler distribution. This process is very useful in several fields of applied and theoretical…
Price fluctuations in financial markets can be characterized by L\'evy's stable distribution, which is supported by the generalized central limit system. When the stable parameters were estimated from four different stock markets in long…
We investigate a class of stochastic fragmentation processes involving stable and unstable fragments. We solve analytically for the fragment length density and find that a generic algebraic divergence characterizes its small-size tail.…
The exact large deviation function (ldf) for the fluctuations of the energy density field is computed for a chain of Ising (or more generally Potts) spins driven by a zero-temperature (dissipative) Glauber dynamics and sustained in a non…