Related papers: Universality in DAX index returns fluctuations
In this paper, a statistical analysis of log-return fluctuations of the IPC, the Mexican Stock Market Index is presented. A sample of daily data covering the period from $04/09/2000-04/09/2010$ was analyzed, and fitted to different…
One of the main concepts in quantum physics is a density matrix, which is a symmetric positive definite matrix of trace one. Finite probability distributions are a special case where the density matrix is restricted to be diagonal. Density…
The thermodynamic parameter space is flat for an ideal classical gas with non-interacting particles. In contrast, for an ideal quantum Bose (Fermi) gas, the thermodynamic curvature is positive (negative), indicating intrinsic attractive…
It is an approach to introduce the forward Kolmogorov equation as an interesting natural ingredient in studying the evolution of the market stock prices.
When one deals with data drawn from continuous variables, a histogram is often inadequate to display their probability density. It deals inefficiently with statistical noise, and binsizes are free parameters. In contrast to that, the…
Given a random sample from a distribution with density function that depends on an unknown parameter $\theta$, we are interested in accurately estimating the true parametric density function at a future observation from the same…
This paper investigates the rank distribution, cumulative probability, and probability density of price returns for the stocks traded in the KSE and the KOSDAQ market. This research demonstrates that the rank distribution is consistent…
The problem of making predictions in eternally inflating universe that thermalizes by bubble nucleation is considered. A recently introduced regularization procedure is applied to find the probability distribution for the ensemble of…
While the investors' responses to price changes and their price forecasts are well accepted major factors contributing to large price fluctuations in financial markets, our study shows that investors' heterogeneous and dynamic risk aversion…
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…
The shape and tails of partial distribution functions (PDF) for a financial signal, i.e. the S&P500 and the turbulent nature of the markets are linked through a model encompassing Tsallis nonextensive statistics and leading to evolution…
The paper investigates the rich class of Generalized Tempered Stable distribution, an alternative to Normal distribution and the $\alpha$-Stable distribution for modelling asset return and many physical and economic systems. Firstly, we…
We propose a general approach, named by us hyperstatistics, to treat complex systems, in which Boltzmann-Gibbs statistics breaks down in domains of the system. Hyperstatistics preserves the concavity of nonadditive $q$-entropy. We obtain…
Generalized universality, as recently proposed, postulates a universal non-Gaussian form of the probability density function (PDF) of certain global observables for a wide class of highly correlated systems of finite volume N. Studying the…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
A novel application of the correlation matrix formalism to study dynamics of the financial evolution is presented. This formalism allows to quantify the memory effects as well as some potential repeatable intradaily structures in the…
By random complex zeroes we mean the zero set of a random entire function whose Taylor coefficients are independent complex-valued Gaussian variables, and the variance of the k-th coefficient is 1/k!. This zero set is distribution invariant…
Random integers, sampled uniformly from $[1,x]$, share similarities with random permutations, sampled uniformly from $S_n$. These similarities include the Erd\H{o}s--Kac theorem on the distribution of the number of prime factors of a random…
What is the probability that all the gas in a box accumulates in the same half of this box? Though amusing, this question underlies the fundamental problem of density fluctuations at equilibrium, which has profound implementations in many…
We consider here the recently proposed closed form formula in terms of the Meijer G-functions for the probability density functions $g_\alpha(x)$ of one-sided L\'evy stable distributions with rational index $\alpha=l/k$, with $0<\alpha<1$.…