Related papers: Universality in DAX index returns fluctuations
The optimal allocation of assets has been widely discussed with the theoretical analysis of risk measures, and pessimism is one of the most attractive approaches beyond the conventional optimal portfolio model. The $\alpha$-risk plays a…
A previous work (Joshi et al., arXiv:1912.08822) found a deconfined critical point at non-zero doping in a $t$-$J$ model with all-to-all and random hopping and spin exchange, and argued for its relevance to the phenomenology of the…
Modeling stock returns is not a new task for mathematicians, investors, and portfolio managers, but it remains a difficult objective due to the ebb and flow of stock markets. One common solution is to approximate the distribution of stock…
More than one billion data sampled with different frequencies from several financial instruments were investigated with the aim of testing whether they involve power law. As a result, a known power law with the power exponent around -4 was…
We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble returns and varieties defined respectively as the mean and the standard deviation of the ensemble daily price returns of…
A bound for functional $\Delta(F)=\sup_{x\in\mathbb R}|F(x)-\Phi(x)|$ is obtained, which is uniform for all distribution functions $F$ of random variables with zero mean-value and unity variance. Moreover, a two-point distribution is found,…
We consider fluctuations of error terms $\Delta(x)$ appearing in the asymptotic formula for a summatory function of coefficients of the Dirichlet series. These are quantified via $\Omega$ and $\Omega_{\pm}$ estimates. We obtain $\Omega$…
From the stock markets of six countries with high GDP, we study the stock indices, S&P 500 (NYSE, USA), SSE Composite (SSE, China), Nikkei (TSE, Japan), DAX (FSE, Germany), FTSE 100 (LSE, Britain) and NIFTY (NSE, India). The daily mean…
The probability distribution for the relative return of a portfolio constructed from a subset n of the assets from a benchmark, consisting of N assets whose returns are multivariate normal, is completely characterized by its tracking error.…
We consider approximate pricing formulas for European options based on approximating the logarithmic return's density of the underlying by a linear combination of rescaled Hermite polynomials. The resulting models, that can be seen as…
We study the average shape of a fluctuation of a time series x(t), that is the average value <x(t)-x(0)>_T before x(t) first returns, at time T, to its initial value x(0). For large classes of stochastic processes we find that a scaling law…
These notes are devoted to fluctuations of one-dimensional random walks. We discuss various approaches to first-passage times and to the corresponding conditional distributions. After discussion of some classical methods, such as reflection…
Fluctuations of global additive quantities, like total energy or magnetization for instance, can in principle be described by statistics of sums of (possibly correlated) random variables. Yet, it turns out that extreme values (the largest…
We discuss modelling of SPX and DAX index option prices using the Shifted Log-Normal (SLN) model, (also known as Displaced Diffusion), and the SABR model. We found out that for SPX options, an example of strongly skewed option prices, SLN…
We consider the inverse problem of reconstructing general solutions to the Helmholtz equation on some domain $\Omega$ from their values at scattered points $x_1,\dots,x_n\subset \Omega$. This problem typically arises when sampling acoustic…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
In this paper, we revisit the relationship between investors' utility functions and portfolio allocation rules. We derive portfolio allocation rules for asymmetric Laplace distributed $ALD(\mu,\sigma,\kappa)$ returns and compare them with…
In this paper, using the shrinkage-based approach for portfolio weights and modern results from random matrix theory we construct an effective procedure for testing the efficiency of the expected utility (EU) portfolio and discuss the…
Given a geometric Brownian motion wealth process, a log-Normal lower bound is constructed for the returns of a regular investing schedule. The distribution parameters of this bound are computed recursively. For dollar cost averaging (equal…
Maximum likelihood estimation applied to high-frequency data allows us to quantify intermittency in the fluctu- ations of asset prices. From time records as short as one month these methods permit extraction of a meaningful intermittency…