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In the framework of ab initio dynamical mean field theory for realistic electronic structure calculations a new perturbation scheme which combine the T-matrix and fluctuating exchange approximations has been proposed. This method is less…
We propose a reduced form set of two coupled continuous time equations linking the price of a representative asset and the price of a bond, the later quantifying the cost of borrowing. The feedbacks between asset prices and bonds are…
The responses of synapses in the neocortex show highly stochastic and nonlinear behavior. The microscopic dynamics underlying this behavior, and its computational consequences during natural patterns of synaptic input, are not explained by…
Cross-sectional signatures of market panic were recently discussed on daily time scales in [1], extended here to a study of cross-sectional properties of stocks on intra-day time scales. We confirm specific intra-day patterns of dispersion…
Within a Monte Carlo simulation we investigate the statistical properties of an electron flow injected with a Poissonian distribution and transmitted under ballistic regime in the presence of long-range Coulomb interaction. Electrons are…
The abundance of data produced daily from large variety of sources has boosted the need of novel approaches on causal inference analysis from observational data. Observational data often contain noisy or missing entries. Moreover, causal…
We report relationships between the effects of noise and applied constant currents on the behavior of a system of excitable elements. The analytical approach based on the nonlinear Fokker-Planck equation of a mean-field model allows us to…
Sequences of events in noise-driven excitable systems with slow variables often show serial correlations among their intervals of events. Here, we employ a master equation for general non-renewal processes to calculate the interval and…
We propose that predictability is a prerequisite for profitability on financial markets. We look at ways to measure predictability of price changes using information theoretic approach and employ them on all historical data available for…
The presence of significant cross-correlations between the synchronous time evolution of a pair of equity returns is a well-known empirical fact. The Pearson correlation is commonly used to indicate the level of similarity in the price…
Gravitational wave backgrounds generate correlated noises to separated detectors. This correlation can induce statistical losses to actual detector networks, compared with idealized noise-independent networks. Assuming that the backgrounds…
Recent advances in AdS/CFT holography have suggested that the near-horizon dynamics of black holes can be described by random matrix systems. We study how the energy spectrum of a system with a generic random Hamiltonian matrix affects its…
Financial empirical correlation matrices of all the companies which both, the Deutsche Aktienindex (DAX) and the Dow Jones comprised during the time period 1990-1999 are studied using a time window of a limited, either 30 or 60, number of…
A multi-scale approach to the inverse reconstruction of a pattern's microstructure is reported. Instead of a correlation function, a pair of entropic descriptors (EDs) is proposed for stochastic optimization method. The first of them…
Time series analysis is fundamental to characterizing the variability inherent in multi-wavelength emissions from blazars. However, a major observational challenge lies in the need for well-sampled, temporally uniform data, which is often…
Besides the well-known effect of autocorrelations in time series of Monte Carlo simulation data resulting from the underlying Markov process, using the same data pool for computing various estimates entails additional cross correlations.…
We analyse the structure of the distribution of eigenvalues of the stock market correlation matrix with increasing length of the time series representing the price changes. We use 100 highly-capitalized stocks from the American market and…
Spurious correlations occur when a model learns unreliable features from the data and are a well-known drawback of data-driven learning. Although there are several algorithms proposed to mitigate it, we are yet to jointly derive the…
Free electrons in the interstellar medium cause frequency-dependent delays in pulse arrival times due to both scattering and dispersion. Multi-frequency measurements are used to estimate and remove dispersion delays. In this paper, we focus…
This paper derives the expressions of correlations between prices of two assets, returns of two assets, and price-return correlations of two assets that depend on statistical moments and correlations of the current values, past values, and…