Related papers: Universal Fluctuations of the FTSE100
We investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets. An empirical probability density function (pdf) of volatility is obtained and compared with the theoretical predictions of a lognormal…
We analyze fluctuations of random walks with generally distributed increments. Integral representations for key performance measures are obtained by extending an inversion theorem of Hewitt [11] for Laplace-Stieltjes transforms. Another…
The behavior of stock market returns over a period of 1-60 days has been investigated for S&P 500 and Nasdaq within the framework of nonextensive Tsallis statistics. Even for such long terms, the distributions of the returns are…
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 discuss the non-self-averaging phenomena in the critical point of weakly disordered Ising ferromagnet. In terms of the renormalized replica Ginzburg-Landau Hamiltonian in dimensions D <4, we derive an explicit expression for the…
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…
We find that in generic field theories the combined effect of fluctuations and interactions leads to a probability distribution function which describes fractional Brownian Motion (fBM) and ``complex behavior''. To show this we use the…
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…
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…
The standard Black-Scholes theory of option pricing is extended to cope with underlying return fluctuations described by general probability distributions. A Langevin process and its related Fokker-Planck equation are devised to model the…
It is assumed the existence of the universal potential fluctuations valid for all scales in the universe which follow the fractal law $\delta_U=(\Delta r/r)^2$. The value of the universal potential fluctuations is determined from the data…
Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in log normalized returns, the…
As for the Fourier transforms of positive and integrable functions supported in the unit interval, we make a list of improvements for P\'olya's results on the distribution of their positive zeros and give new sufficient conditions under…
We derive a closed form portfolio optimization rule for an investor who is diffident about mean return and volatility estimates, and has a CRRA utility. The novelty is that confidence is here represented using ellipsoidal uncertainty sets…
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…
The theory of mesoscopic fluctuations is applied to inhomogeneous solids consisting of chaotically distributed regions with different crystalline structure. This approach makes it possible to describe statistical properties of such mixture…
In an earlier study, we showed that Tsallis relative entropy (TRE), which is the generalization of Kullback-Leibler relative entropy (KLRE) to non-extensive systems, can be used as a possible risk measure in constructing risk optimal…
We develop a General Fluctuation Formula for phase variables that are odd under time reversal. Simulations are used to verify the new formula.
The fluctuations of the current for the one-dimensional totally asymmetric exclusion process with $L$ sites are studied in the relaxation regime of times $T\sim L^{3/2}$. Using Bethe ansatz for the periodic system with an evolution…
The supremum of the standardized empirical process is a promising statistic for testing whether the distribution function $F$ of i.i.d. real random variables is either equal to a given distribution function $F_0$ (hypothesis) or $F \ge F_0$…