Related papers: Analysis of market weights under volatility-stabil…

We establish asymptotic normality of weighted sums of periodograms of a stationary linear process where weights depend on the sample size. Such sums appear in numerous statistical applications and can be regarded as a discretized versions…

We consider a mean-reverting stochastic volatility model which satisfies some relevant stylized facts of financial markets. We introduce an algorithm for the detection of peaks in the volatility profile, that we apply to the time series of…

In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted indexed…

We present a model of financial markets originally proposed for a turbulent flow, as a dynamic basis of its intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential,…

We consider a size-structured aggregation and growth model of phytoplankton community proposed by Ackleh and Fitzpatrick [2]. The model accounts for basic biological phenomena in phytoplankton community such as growth, gravitational…

We study discretizations of Hamiltonian systems on the probability density manifold equipped with the $L^2$-Wasserstein metric. Based on discrete optimal transport theory, several Hamiltonian systems on graph (lattice) with different…

The Wright-Fisher model, originating in Wright (1931) is one of the canonical probabilistic models used in mathematical population genetics to study how genetic type frequencies evolve in time. In this paper we bound the rate of convergence…

In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…

In this paper we present a thorough study on the existence of traveling waves in a mathematical model of dispersal in a partially sedentary age-structured population. This type of model was first proposed by Veit and Lewis in [{\it Am.…

A striking feature of the marine ecosystem is the regularity in its size spectrum: the abundance of organisms as a function of their weight approximately follows a power law over almost ten orders of magnitude. We interpret this as evidence…

Stock markets can be characterized by fat tails in the volatility distribution, clustering of volatilities and slow decay of their time correlations. For an explanation models with several mechanisms and consequently many parameters as the…

We study a generalized discrete-time multi-type Wright-Fisher population process. The mean-field dynamics of the stochastic process is induced by a general replicator difference equation. We prove several results regarding the asymptotic…

This paper describes the dependence of market-based statistical moments of returns on statistical moments and correlations of the current and past trade values. We use Markowitz's definition of value weighted return of a portfolio as the…

We reformulate the Cont-Bouchaud model of financial markets in terms of classical "super-spins" where the spin value is a measure of the number of individual traders represented by a portfolio manager of an investment agency. We then extend…

Here we show that a particular one-parameter generalization of the exponential function is suitable to unify most of the popular one-species discrete population dynamics models into a simple formula. A physical interpretation is given to…

We analyze the Standard & Poor's 500 stock market index from the last 22 years. The probability density function of price returns exhibits two well-distinguished regimes with self-similar structure: the first one displays strong…

A unified framework is presented to study the two-sample Behrens--Fisher problem -- testing equality of means when two normal populations have unequal, unknown variances -- and a compact expression is derived for the null distribution of…

We study a class of Markov chains that describe reversible stochastic dynamics of a large class of disordered mean field models at low temperatures. Our main purpose is to give a precise relation between the metastable time scales in the…

In populations competing for resources, it is natural to ask whether consuming fewer resources provides any selective advantage. To answer this question, we propose a Wright- Fisher model with two types of individuals: the inefficient…

Consider an equity market with $n$ stocks. The vector of proportions of the total market capitalizations that belong to each stock is called the market weight. The market weight defines the market portfolio which is a buy-and-hold portfolio…