Related papers: Universality in DAX index returns fluctuations

We explore constraints on the spectral index $n$ of density fluctuations and the neutrino energy density fraction $\Omega_{HDM}$, employing data from a variety of large scale observations. The best fits occur for $n\approx 1$ and…

We test for departures from normal and independent and identically distributed (NIID) returns, when returns under the alternative hypothesis are self-affine. Self-affine returns are either fractionally integrated and long-range dependent,…

We use the replica method of statistical mechanics to examine a typical performance of correctly reconstructing $N$-dimensional sparse vector $bx=(x_i)$ from its linear transformation $by=bF bx$ of $P$ dimensions on the basis of…

We present new analysis and algorithm of the dual-averaging-type (DA-type) methods for solving the composite convex optimization problem ${\min}_{x\in\mathbb{R}^n} \, f(\mathsf{A} x) + h(x)$, where $f$ is a convex and globally Lipschitz…

Within the Tsallis thermodynamics' framework, and using scaling properties of the entropy, we derive a generalization of the Gibbs-Duhem equation. The analysis suggests a transformation of variables that allows standard thermodynamics to be…

Electricity is traded on various markets with different time horizons and regulations. Short-term intraday trading becomes increasingly important due to the higher penetration of renewables. In Germany, the intraday electricity price…

The paper examines the Fractional Fourier Transform (FRFT) based technique as a tool for obtaining probability density function and its derivatives, and mainly for fitting stochastic model with the fundamental probabilistic relationships of…

We consider a renormalization transformation $R$ for skew-product maps of the type that arise in a spectral analysis of the Hofstadter Hamiltonian. Periodic orbits of $R$ determine universal constants analogous to the critical exponents in…

We show that under minimal assumptions on a class of functions $\mathcal{H}$ defined on a probability space $(\mathcal{X},\mu)$, there is a threshold $\Delta_0$ satisfying the following: for every $\Delta\geq\Delta_0$, with probability at…

Two conditional averages for the increment Delta(x,x+r) = T(x)-T(x+r) of the scalar field are estimated for DNS data: H(Delta)=<nabla^2 Delta(x,x+r)|Delta(x,x+r)> and G(Delta)=<|nabla Delta(x,x+r)|^2| Delta(x,x+r)>. The probability density…

The Spectral Form Factor (SFF) measures the fluctuations in the density of states of a Hamiltonian. We consider a generalization of the SFF called the Loschmidt Spectral Form Factor, $\textrm{tr}[e^{iH_1T}]\textrm{tr} [e^{-iH_2T}]$, for…

In this paper, we study the uniform H\"older continuity of the generalized Riemann function $R_{\alpha,\beta}$ (with $\alpha>1$ and $\beta>0$) defined by \[ R_{\alpha,\beta}(x)=\sum_{n=1}^{+\infty}\frac{\sin(\pi n^\beta x)}{n^\alpha},\quad…

We propose a confirmatory dynamic factor model for a large number of stocks whose returns are observed daily across multiple time zones. The model has a global factor and a continental factor that both drive the individual stock return…

The dynamics of prices in financial markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, a complete stochastic characterization of volatility is still lacking. What it is well…

The Pinsker inequality lower bounds the Kullback--Leibler divergence $D_{\textrm{KL}}$ in terms of total variation and provides a canonical way to convert $D_{\textrm{KL}}$ control into $\lVert \cdot \rVert_1$-control. Motivated by…

We discuss the phenomenon of universal fluctuations in mesoscopic systems and nuclei. For this purpose we use Random Matrix Theory (RMT). The statistical $S$-matrix is used to obtain the physical observables in the case of Quantum Dots,…

Rubinstein and Sarnak investigated systems of inequalities of the form pi(x;q,a_1) > ... > pi(x;q,a_r), where pi(x;q,a) denotes the number of primes up to x that are congruent to a mod q. They showed, under standard hypotheses on the zeros…

In this paper we investigate the problem of detecting a change in the drift parameters of a generalized Ornstein-Uhlenbeck process which is defined as the solution of $dX_t=(L(t)-\alpha X_t) dt + \sigma dB_t$, and which is observed in…

Reviewing the semiclassical theory for the parametric level density fluctuations, we show that for large parametric changes the density correlation function, after rescaling, becomes universal and coincides with the leading asymptotic term…

We introduce a new generalization of the Pseudo-Lindley distribution by applying alpha power transformation. The obtained distribution is referred as the Pseudo-Lindley alpha power transformed distribution (\textit{PL-APT}). Some tractable…