Related papers: Universal Fluctuations of the FTSE100
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Let G be a finite group. Let pi be a permutation from S{n}. We study the distribution of probabilities of equality a{1} a{2} ...a{n-1}a{n}=a{pi{1}}^{epsilon{1}} a{pi_{2}}^{epsilon{2}}...a{pi{n-1}}^{epsilon_{n-1}} a_{pi_{n}}^{epsilon{n}},…
In this article we refine well-known results concerning the fluctuations of one-dimensional random walks. More precisely, if $(S_n)_{n \geq 0}$ is a random walk starting from 0 and $r\geq 0$, we obtain the precise asymptotic behavior as…
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Detrended Fluctuation Analysis (DFA) is the most popular fractal analytical technique used to evaluate the strength of long-range correlations in empirical time series in terms of the Hurst exponent, $H$. Specifically, DFA quantifies the…
We introduce a non-parametric method to recover physical probability distributions of asset returns based on their European option prices and some other sparse parametric information. Thus the main problem is similar to the one considered…
The financial market is nonpredictable, as according to the Bachelier, the mathematical expectation of the speculator is zero. Nevertheless, we observe in the price fluctuations the two distinct scales, short and long time. Behaviour of a…
In the present work, we provide the general expression of the normalized centered moments of the Fr\'echet extreme-value distribution. In order to try to represent a set of data corresponding to rare events by a Fr\'echet distribution, it…
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Financial time series typically exhibit strong fluctuations that cannot be described by a Gaussian distribution. In recent empirical studies of stock market indices it was examined whether the distribution P(r) of returns r(tau) after some…
We analyze the energy density fluctuations contributed by scalar fields $\Phi$ with vanishing expectation values, $\langle\Phi\rangle=0$, which are present in addition to the inflaton field. For simplicity we take $\Phi$ to be…
The major goal of the present paper is to find out the manifestation of the boundedness of fluctuations. Two different subjects are considered: (i) an ergodic Markovian process associated with a new type of large scaled fluctuations at…
The equation of state with quantum statistics corrections is used for particle number fluctuations $\omega$ of isotopically symmetric nuclear matter with interparticle van der Waals and Skyrme local density interactions. The fluctuations,…
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