Related papers: Statistical Properties of Fluctuations: A Method t…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
Digital currencies have become popular in the last decade due to their non-dependency and decentralized nature. The price of these currencies has seen a lot of fluctuations at times, which has increased the need for prediction. As their…
In this work, we study the problem of learning the volatility under market microstructure noise. Specifically, we consider noisy discrete time observations from a stochastic differential equation and develop a novel computational method to…
We present a numerical scheme to calculate fluctuation identities for exponential L\'evy processes in the continuous monitoring case. This includes the Spitzer identities for touching a single upper or lower barrier, and the more difficult…
Marketing is the way we ensure our sales are the best in the market, our prices the most accessible, and our clients satisfied, thus ensuring our brand has the widest distribution. This requires sophisticated and advanced understanding of…
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…
We present a new framework for modeling the statistical behavior of both fully developed turbulence and short-term dynamics of financial markets based on the nonextensive thermostatistics proposed by Tsallis. We also show that intermittency…
Based on a continuous-time stochastic volatility model with a linear drift, we develop a test for explosive behavior in financial asset prices at a low frequency when prices are sampled at a higher frequency. The test exploits the…
We propose a new approach for analyzing price fluctuations in their strongly correlated regime ranging from minutes to months. This is done by employing a self-similarity assumption for the magnitude of coarse-grained price fluctuation or…
This study aims to investigate the behavior of stock prices throughout the episodes of foreign capital flows using data of daily stock prices and quarterly foreign capital flows from 14 EMEs. To this end, the episodes of capital flows are…
Stock market indices are one of the most investigated complex systems in econophysics. Here we extend the existing literature on stock markets in connection with nonextensive statistical mechanics. We explore the nonextensivity of price…
By applying the multifractal detrended fluctuation analysis to the high-frequency tick-by-tick data from Deutsche B\"orse both in the price and in the time domains, we investigate multifractal properties of the time series of logarithmic…
In order to emphasize cross-correlations for fluctuations in major market places, series of up and down spins are built from financial data. Patterns frequencies are measured, and statistical tests performed. Strong cross-correlations are…
Wavelet analysis is proposed as a new tool for studying the large-scale structure formation of the universe. To reveal its usefulness, the wavelet decomposition of one-dimensional cosmological density fluctuations is performed. In contrast…
The refractive index fluctuations in the connective tissue layer (stroma) of human cervical tissues having different grades of precancers (dysplasia) was quantified using a wavelet-based multifractal detrended fluctuation analysis model.…
One of the most celebrated findings in complex systems in the last decade is that different indexes y (e.g., patents) scale nonlinearly with the population~x of the cities in which they appear, i.e., $y\sim x^\beta, \beta \neq 1$. More…
A direct numerical simulation of an oblique shock wave impinging on a turbulent boundary layer at Mach number 2.28 is carried out at moderate Reynolds number, simulating flow conditions similar to those of the experiment by Dupont et al.…
Selfsimilar space-time fractal fluctuations are generic to dynamical systems in nature such as atmospheric flows, heartbeat patterns, population dynamics, etc. The physics of the long-range correlations intrinsic to fractal fluctuations is…
We present a set of models of the main stylized facts of market price fluctuations. These models comprise dynamical evolution with threshold dynamics and Langevin price equation with multiplicative noise, percolation models to describe the…
The statistics of return distributions on various time scales constitutes one of the most informative characteristics of the financial dynamics. Here we present a systematic study of such characteristics for the Polish stock market index…