Related papers: Universal Fluctuations of AEX index
The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and…
We use a continuous-time random walk (CTRW) to model market fluctuation data from times when traders experience excessive losses or excessive profits. We analytically derive "superstatistics" that accurately model empirical market activity…
Fluctuations of local fields are crucial for the prediction of failure in random composites across different scales as well as estimating the inelastic behaviour of it. This can be quantified statistically through second moments of the…
We analyze the non-equilibrium fluctuations of the partial symmetric simple exclusion process, SEP($\alpha$), which allows at most $\alpha \in \mathbb{N}$ particles per site, and we put it in contact with stochastic reservoirs whose…
The exact expression is derived for the expected value, $< {p_i}> $, for the parameter for any bin $i$ of a histogram following a multinomial distribution derived by sorting $N$ observations into bins of $B$ classes, if $n_i$ of the…
Finite heat reservoir capacity and temperature fluctuations lead to modification of the well known canonical exponential weight factor. Requiring that the corrections least depend on the one-particle energy, we derive a deformed entropy,…
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…
In a seminal paper in 1973, Black and Scholes argued how expected distributions of stock prices can be used to price options. Their model assumed a directed random motion for the returns and consequently a lognormal distribution of asset…
We study the evolution of probability distribution functions of returns, from the tick data of the Korean treasury bond (KTB) futures and the S$&$P 500 stock index, which can be described by means of the Fokker-Planck equation. We show that…
The level crossing and inverse statistics analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, $\nu_{\alpha}^+$, where $T_{\alpha} =1/\nu_{\alpha}^+ $ is the average waiting…
We discuss the phenomenon of universal fluctuations in mesoscopic systems and nuclei. For this purpose we use Random Matrix Theory (RMT). The statistical $S$-matrix is used to obtain the physical observables in the case of Quantum Dots,…
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…
We derive a Fokker-Planck equation for joint probability density for an active particle coupled two heat reservoirs with harmonic, viscous, random forces. The approximate solution for the joint distribution density of all-to-all and three…
We derive the representative Bernstein measure of the density of $(X_{\alpha})^{-\alpha/(1-\alpha)}, 0 < \alpha < 1$, where $X_{\alpha}$ is a positive stable random variable, as a Fox-H function. When $1-\alpha = 1/j$ for some integer $j…
In this paper, we develop a general approach for probabilistic estimation and optimization. An explicit formula and a computational approach are established for controlling the reliability of probabilistic estimation based on a mixed…
We present a general approach to the problem of determining the asymptotic order of the variance of the optimal score between two independent random sequences defined over an arbitrary finite alphabet. Our general approach is based on…
We study the asymptotic normality of two feasible estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation of the spot volatility. We show that the bias-corrected…
We perform a comparative study for multiple equity indices of different countries using different models to determine the best fit using the Kolmogorov-Smirnov statistic, the Anderson-Darling statistic, the Akaike information criterion and…
Given a probability density $P({\bf x}|{\boldsymbol \lambda})$, where $\bf x$ represents continuous degrees of freedom and $\lambda$ a set of parameters, it is possible to construct a general identity relating expectations of observable…
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using…