Related papers: Universality in DAX index returns fluctuations
We investigate the relation between the fair price for European-style vanilla options and the distribution of short-term returns on the underlying asset ignoring transaction and other costs. We compute the risk-neutral probability density…
We derive a closed-form expression capturing the degree of Relative Risk Aversion (RRA) of investors for non-"fair" lotteries. We argue that our formula is superior to earlier methods that have been proposed, as it is a function of only…
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…
We introduce matrix H theory, a framework for analyzing collective behavior arising from multivariate stochastic processes with hierarchical structure. The theory models the joint distribution of the multiple variables (the measured signal)…
We calculate analytically the probability of large deviations from its mean of the largest (smallest) eigenvalue of random matrices belonging to the Gaussian orthogonal, unitary and symplectic ensembles. In particular, we show that the…
The XY-model shows in two dimensions in the strong coupling regime a universal distribution, named BHP, which in turn also describes other models of criticality and self-organized criticality and even describes natural data as river level…
We reconsider the problem of option pricing using historical probability distributions. We first discuss how the risk-minimisation scheme proposed recently is an adequate starting point under the realistic assumption that price increments…
Let g : $\Omega$ = [0, 1] d $\rightarrow$ R denote a Lipschitz function that can be evaluated at each point, but at the price of a heavy computational time. Let X stand for a random variable with values in $\Omega$ such that one is able to…
The total value of domestic market capitalization of the Mexican Stock Exchange was calculated at 520 billion of dollars by the end of November 2013. To manage this system and make optimum capital investments, its dynamics needs to be…
A general class of probability density functions \[u(x,t)=Ct^{-\alpha d}\left (1-\left (\frac{\|x\|}{ct^{\alpha}}\right )^{\beta}\right )_+^{\gamma},\quad x\in \mathbb{R}^d,t>0,\] is considered, containing as particular case the Barenblatt…
The interpretation of redshift surveys requires modeling the relationship between large-scale fluctuations in the observed number density of tracers, $\delta_\mathrm{h}$, and the underlying matter density, $\delta$. Bias models often…
It is shown how the universal correlation function of Brezin and Zee, and Beenakker, for random matrix ensembles of Wigner-Dyson type with density support on a finite interval can be derived using a linear response argument and macroscopic…
A new method is proposed to obtain the risk neutral probability of share prices without stochastic calculus and price modeling, via an embedding of the price return modeling problem in Le Cam's statistical experiments framework.…
The Weibull distribution can be obtained using a power transformation from the standard exponential distribution. In this article, we will consider a symmetrized power transformation of a random variable with the standard normal…
A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to…
Specialized topics on financial data analysis from a numerical and physical point of view are discussed. They pertain to the analysis of crash prediction in stock market indices and to the persistence or not of coherent and random sequences…
A new theory for pricing options of a stock is presented. It is based on the assumption that while successive variations in return are uncorrelated, the frequency with which a stock is traded depends on the value of the return. The solution…
We significantly advance the research program initiated in "Moment-Based Evidence for Simple Rational-Valued Hilbert-Schmidt Generic 2 x 2 Separability Probabilities" (J. Phys. A, 45, 095305 [2012]). A function P(alpha), incorporating a…
We show that the stationary density fluctuations of exclusion processes with long jumps, whose rates are of the form $c^\pm |y-x|^{-(1+\alpha)}$ where $c\pm$ depends on the sign of $y-x$, are given by a fractional Ornstein-Uhlenbeck process…
We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets: (a) the New York Stock Exchange, (b) the…