Related papers: Universal Fluctuations of AEX index
In terms of the stock exchange returns, we compute the analytic expression of the probability distributions F{DAX,+} and F{DAX,-} of the normalized positive and negative DAX (Germany) index daily returns r(t). Furthermore, we define the…
We compute the analytic expression of the probability distributions F{FTSE100,+} and F{FTSE100,-} of the normalized positive and negative FTSE100 (UK) index daily returns r(t). Furthermore, we define the alpha re-scaled FTSE100 daily index…
We analyze the constituents stocks of the Dow Jones Industrial Average (DJIA30) and the Standard & Poor's 100 index (S&P100) of the NYSE stock exchange market. Surprisingly, we discover the data collapse of the histograms of the DJIA30…
In this work, a statistical analysis of the distribution of daily fluctuations of the IPC, the Mexican Stock Market Index is presented. A sample of the IPC covering the 13-year period 04/19/1990 - 08/21/2003 was analyzed and the cumulative…
Classic studies of the probability density of price fluctuations $g$ for stocks and foreign exchanges of several highly developed economies have been interpreted using a {\it power-law} probability density function $P(g) \sim…
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…
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…
We study the distribution of fluctuations over a time scale $\Delta t$ (i.e., the returns) of the S&P 500 index by analyzing three distinct databases. Database (i) contains approximately 1 million records sampled at 1 min intervals for 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…
The principle of absence of arbitrage opportunities allows obtaining the distribution of stock price fluctuations by maximizing its information entropy. This leads to a physical description of the underlying dynamics as a random walk…
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…
An analytical formula for the probability distribution of stock-market returns, derived from the Heston model assuming a mean-reverting stochastic volatility, was recently proposed by Dragulescu and Yakovenko in Quantitative Finance 2002.…
Consider random matrices $A$, of dimension $m\times (m+n)$, drawn from an ensemble with probability density $f(\rmtr AA^\dagger)$, with $f(x)$ a given appropriate function. Break $A = (B,X)$ into an $m\times m$ block $B$ and the…
We study the effect of long range algebraic correlations on extreme value statistics and demonstrate that correlations can produce a limit distribution which is indistinguishable from the ubiquitous Bramwell-Holdsworth-Pinton distribution.…
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…
A simple quantum model explains the Levy-unstable distributions for individual stock returns observed by ref.[1]. The probability density function of the returns is written as the squared modulus of an amplitude. For short time intervals…
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…
We explore constraints on the spectral index $n$ of density fluctuations and the neutrino energy density fraction $\Omega_{HDM}$, employing data from a variety of large scale observations. The best fits occur for $n\approx 1$ and…
We consider the fluctuations of the number of eigenvalues of $n\times n$ random normal matrices depending on a potential $Q$ in a given set $A$. These eigenvalues are known to form a determinantal point process, and are known to accumulate…
We study the statistical properties of volatility---a measure of how much the market is likely to fluctuate. We estimate the volatility by the local average of the absolute price changes. We analyze (a) the S&P 500 stock index for the…