Related papers: Characterizing price index behavior through fluctu…
We introduce matrix H theory, a framework for analyzing collective behavior arising from multivariate stochastic processes with hierarchical structure. The theory models the joint distribution of the multiple variables (the measured signal)…
The problem of estimating trend and seasonal variation in time-series data has been studied over several decades, although mostly using single time series. This paper studies the problem of estimating these components from functional data,…
Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction…
Analogies between the price dynamics in the foreign exchange market and 3-dimensional fully developed turbulence were recently presented in Nature vol. 381, 767-769 (1996). Independently, we have carried out a study comparing the parallel…
The price clustering phenomenon manifesting itself as an increased occurrence of specific prices is widely observed and well-documented for various financial instruments and markets. In the literature, however, it is rarely incorporated…
Statistical fluctuations of the light emitted from amplifying random media are studied theoretically and numerically. The characteristic scales of the diffusive motion of light lead to Gaussian or power-law (Levy) distributed fluctuations…
Studying the micro-trading behaviors before stock price jumps is an important problem for financial regulations and investment decisions. In this study, we provide a new framework to study pre-jump trading behaviors based on multivariate…
The average wavelet coefficient method is applied to investigate the scaling features of heart rate variability during meditation, a state of induced mental relaxation. While periodicity dominates the behavior of the heart rate time series…
Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average <f(i)>: sigma(i) ~ f(i)^alpha, with a strong time scale dependence alpha(dt). The…
This paper develops a Bayesian procedure for estimation and forecasting of the volatility of multivariate time series. The foundation of this work is the matrix-variate dynamic linear model, for the volatility of which we adopt a…
Mapping time series onto graphs and the use of graph theory methods opens up the possibility to study the structure of the phase space manifolds underlying the fluctuations of a dynamical variable. Here, we propose to go beyond the standard…
We focus on the dynamics of a Brownian particle whose mass fluctuates. First we show that the behaviour is similar to that of a Brownian particle moving in a fluctuating medium, as studied by Beck [Phys. Rev. Lett. 87 (2001) 180601]. By…
We propose a simple stochastic model of market behavior. Dividing market participants into two groups: trend-followers and fundamentalists, we derive the general form of a stochastic equation of market dynamics. The model has two…
We present a general method to identify an arbitrary number of fluctuating quantities which satisfy a detailed fluctuation theorem for all times within the framework of time-inhomogeneous Markovian jump processes. In doing so we provide a…
Fluctuation theorems, which have been developed over the past 15 years, have resulted in fundamental breakthroughs in our understanding of how irreversibility emerges from reversible dynamics, and have provided new statistical mechanical…
A wavelet-based changepoint method is proposed that determines when the variability of the noise in a sequence of functional profiles goes out-of-control from a known, fixed value. The functional portion of the profiles are allowed to come…
To study subregions of a turbulence velocity field, a long record of velocity data of grid turbulence is divided into smaller segments. For each segment, we calculate statistics such as the mean rate of energy dissipation and the mean…
An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock markets, memory effect of the average…
Wavelet analysis is proposed as a new tool for studying the large-scale structure formation of the universe. To reveal its usefulness, the wavelet decomposition of one-dimensional cosmological density fluctuations is performed. In contrast…
Spectral statistics and correlations are the usual way to study the presence or absence of quantum chaos in quantum systems. We present our investigation on the study of the fluctuation average and variance of certain correlation functions…