Related papers: Universal Fluctuations of the FTSE100
We study the global fluctuations for linear statistics of the form $\sum_{i=1}^n f(\lambda_i)$ as $n \rightarrow \infty$, for $C^1$ functions $f$, and $\lambda_1, ..., \lambda_n$ being the eigenvalues of a (general) $\beta$-Jacobi ensemble,…
We present a complete theory for the full particle statistics of the positions of bulk and extremal particles in a one-dimensional Coulomb Gas (CG) with an arbitrary potential, in the typical and large deviations regimes. Typical…
We introduce a multiple testing procedure that controls the median of the proportion of false discoveries (FDP) in a flexible way. The procedure only requires a vector of p-values as input and is comparable to the Benjamini-Hochberg method,…
The classical Luria-Delbr\"uck model for fluctuation analysis is extended to the case where cells can either divide or die at the end of their generation time. This leads to a family of probability distributions generalizing the…
We consider the asymptotic behaviour of the fluctuation process for large stochastic systems of interacting particles driven by both idiosyncratic and common noise with an interaction kernel \(k \in L^2(\R^d) \cap L^\infty(\R^d)\). Our…
Often it is not easy to choose between estimators, based on the estimated MSE and bias using simulation studies. Normality in small samples and a variance of the estimator, which is correct and easy to calculate using a single sample, give…
Aims: To provide a significantly improved probability distribution for the H-test for periodicity in X-ray and $\gamma$-ray arrival times, which is already extensively used by the $\gamma$-ray pulsar community. Also, to obtain an analytical…
The true probability of a European call option to achieve positive return is investigated under the Black-Scholes model. It is found that the probability is determined by those market factors appearing in the BS formula, besides the growth…
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…
The scaling function $F(s)$ in detrended fluctuation analysis (DFA) scales as $F(s)\sim s^{H}$ for stochastic processes with Hurst exponents $H$. We prove this scaling law for both stationary stochastic processes with $0<H<1$, and…
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…
We present a general procedure for obtaining the present density fluctuation probability distribution given the statistics of the initial conditions. The main difficulties faced with regard to this problem are those related to the…
In this paper, we derive closed-form exact expressions for the main statistics of the ratio of squared alpha-mu random variables, which are of interest in many scenarios for future wireless networks where generalized distributions are more…
Fox's H-function provide a unified and elegant framework to tackle several physical phenomena. We solve the space fractional diffusion equation on the real line equipped with a delta distribution initial condition and identify the…
This paper investigates the scaling dependencies between measures of "activity" and of "size" for companies included in the FTSE 100. The "size" of companies is measured by the total market capitalization. The "activity" is measured with…
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…
In this paper we use a probabilistic approach to derive the expressions for the characteristic functions of basic statistics defined on permutation tableaux. Since our expressions are exact, we can identify the distributions of basic…
We study the Tracy-Widom (TW) distribution $f_\beta(a)$ in the limit of large Dyson index $\beta \to +\infty$. This distribution describes the fluctuations of the rescaled largest eigenvalue $a_1$ of the Gaussian (alias Hermite) ensemble…
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…
A stochastic model for intermittent fluctuations in the scrape-off layer of magnetically confined plasmas has been constructed based on a super-position of uncorrelated pulses arriving according to a Poisson process. In the most common…