Related papers: Resilience of Volatility
Complex systems are often non-stationary, typical indicators are continuously changing statistical properties of time series. In particular, the correlations between different time series fluctuate. Models that describe the multivariate…
Volatility clustering, long-range dependence, and non-Gaussian scaling are stylized facts of financial assets dynamics. They are ignored in the Black & Scholes framework, but have a relevant impact on the pricing of options written on…
The statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is…
The use of factor stochastic volatility models requires choosing the number of latent factors used to describe the dynamics of the financial returns process; however, empirical evidence suggests that the number and makeup of pertinent…
The purpose of this research article is to discover how the econophysics analysis can complement the econometrics models in application to the risk management in the central banks and financial institutions, operating within the nonlinear…
In order to deal with the question of the existence of a calibrated local stochastic volatility model in finance, we investigate a class of McKean--Vlasov equations where a minimal continuity assumption is imposed on the coefficients.…
We develop theory leading to testing procedures for the presence of a change point in the intraday volatility pattern. The new theory is developed in the framework of Functional Data Analysis. It is based on a model akin to the stochastic…
In a recent article (Forterre, PRL, 2001), we have reported a new instability observed in rapid granular flows down inclined planes that leads to the spontaneous formation of longitudinal vortices. From the experimental observations, we…
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…
In a recent formulation of a quantum field theory of forward rates, the volatility of the forward rates was taken to be deterministic. The field theory of the forward rates is generalized to the case of stochastic volatility. Two cases are…
The paper considers a stabilizing stochastic control which can be applied to a variety of unstable and even chaotic maps. Compared to previous methods introducing control by noise, we relax assumptions on the class of maps, as well as…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashes can be viewed as two high-profile manifestations of such…
We propose an informal test for stationarity in a time series which checks for the compatibility of nonlinear approximations to the dynamics made in different segments of the sequence. The segments are compared directly, rather than via…
Stochastic roughness is widespread feature of natural surfaces and is an inherent by-product of most fabrication techniques. In view of rapid development of microfluidics, the important question is how this inevitable evil affects the…
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…
This paper expands the notion of robust profit opportunities in financial markets to incorporate distributional uncertainty using Wasserstein distance as the ambiguity measure. Financial markets with risky and risk-free assets are…
Caustics in the dynamics of heavy particles in turbulence accelerate particle collisions. The rate $\mathscr{J}$ at which these singularities form depends sensitively on the Stokes number St, the non-dimensional inertia parameter. Exact…
Gravity is a non-linear theory, and hence, barring cancellations, the initial super-horizon perturbations produced by inflation must contain some minimum amount of mode coupling, or primordial non-Gaussianity. In single-field slow-roll…