Related papers: Brownian markets
Financial markets provide an ideal frame for the study of crossing or first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures markets are herein considered…
Finding the dynamical law of observable quantities lies at the core of physics. Within the particular field of statistical mechanics, the generalized Langevin equation (GLE) comprises a general model for the evolution of observables…
A spin model relating physical to financial variables is presented. This work is the first to introduce the concept of negative absolute temperature into stock market dynamics by establishing a rigorous formal analogy between physical and…
Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…
The generalized Langevin equation is a model for the motion of coarse-grained particles where dissipative forces are represented by a memory term. The numerical realization of such a model requires the implementation of a stochastic…
We propose coalescent mechanism of economic grow because of redistribution of external resources. It leads to Zipf distribution of firms over their sizes, turning to stretched exponent because of size-dependent effects, and predicts…
In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment…
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…
The decision process requires information about the present state of the system, but in economy acquiring data and processing them is an expensive and time consuming process. Therefore the state of the system is measured and announced at…
We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset…
The Brownian motion of a particle immersed in a medium of charged particles is considered when the system is placed in magnetic or electric fields. Coming from the Zwanzig-Caldeira-Legget particle-bath model, we modify it so that not only…
This paper is concerned with correlation functions of stochastic systems with memory, a prominent example being a molecule or colloid moving through a complex (e.g., viscoelastic) fluid environment. Analytical investigations of such systems…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…
Motivated by subdiffusive motion of bio-molecules observed in living cells we study the stochastic properties of a non-Brownian particle whose motion is governed by either fractional Brownian motion or the fractional Langevin equation and…
We propose a group model for correlations in stock markets. In the group model the markets are composed of several groups, within which the stock price fluctuations are correlated. The spectral properties of empirical correlation matrices…
The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting…
A Brownian motion model is proposed to study parametric correlations in the transmission eigenvalues of open ballistic cavities. We find interesting universal properties when the eigenvalues are rescaled at the hard edge of the spectrum. We…
The Black-Scholes implied volatility skew at the money of SPX options is known to obey a power law with respect to the time-to-maturity. We construct a model of the underlying asset price process which is dynamically consistent to the power…
We review statistical properties of models generated by the application of a (positive and negative order) fractional derivative operator to a standard random walk and show that the resulting stochastic walks display slowly-decaying…