Related papers: Characterizing price index behavior through fluctu…
We present a framework for describing the evolution of stochastic observables having a non-stationary distribution of values. The framework is applied to empirical volume-prices from assets traded at the New York stock exchange. Using…
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…
The Davenport spectrum is a modification of the classical Kolmogorov spectrum for the inertial range of turbulence that accounts for non-scaling low frequency behavior. Like the classical fractional Brownian motion vis-\`a-vis the…
We propose a mechanism to produce fluctuations in the viscosity parameter ($\alpha$) in differetially rotating discs. We carried out a nonlinear analysis of a general accretion flow, where any perturbation on the background $\alpha$ was…
By adopting Multifractal detrended fluctuation (MF-DFA) analysis methods, the multifractal nature is revealed in the high-frequency data of two typical indexes, the Shanghai Stock Exchange Composite 180 Index (SH180) and the Shenzhen Stock…
We study the multifractal temporal scaling properties of river discharge and precipitation records. We compare the results for the multifractal detrended fluctuation analysis method with the results for the wavelet transform modulus maxima…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
In certain applications, for instance biomechanics, turbulence, finance, or Internet traffic, it seems suitable to model the data by a generalization of a fractional Brownian motion for which the Hurst parameter $H$ is depending on the…
Apparently random financial fluctuations often exhibit varying levels of complexity, chaos. Given limited data, predictability of such time series becomes hard to infer. While efficient methods of Lyapunov exponent computation are devised,…
The price of financial assets are, since Bachelier, considered to be described by a (discrete or continuous) time sequence of random variables, i.e a stochastic process. Sharp scaling exponents or unifractal behavior of such processes has…
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…
It is demonstrated that in low multiplicity sample, the increase of the fluctuation of event-factorial-moments with the diminishing of phase space scale, called ``erraticity'', are dominated by the statistical fluctuations. The erraticity…
A level-dependent L\'evy process solves the stochastic differential equation $dU(t) = dX(t)-{\phi}(U(t)) dt$, where $X$ is a spectrally negative L\'evy process. A special case is a multi-refracted L\'evy process with…
This work develops techniques for the sequential detection and location estimation of transient changes in the volatility (standard deviation) of time series data. In particular, we introduce a class of change detection algorithms based on…
We investigate how price variations of a stock are transformed into profits and losses (P&Ls) of a trend following strategy. In the frame of a Gaussian model, we derive the probability distribution of P&Ls and analyze its moments (mean,…
Nonequilibrium complex systems are often effectively described by the mixture of different dynamics on different time scales. Superstatistics, which is "statistics of statistics" with two largely separated time scales, offers a consistent…
In order to emphasize cross-correlations for fluctuations in major market places, series of up and down spins are built from financial data. Patterns frequencies are measured, and statistical tests performed. Strong cross-correlations are…
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock…
We propose a new approach for properly analyzing stochastic time series by mapping the dynamics of time series fluctuations onto a suitable nonequilibrium surface-growth problem. In this framework, the fluctuation sampling time interval…
In wide enough systems, plane Couette flow, the flow established between two parallel plates translating in opposite directions, displays alternatively turbulent and laminar oblique bands in a given range of Reynolds numbers R. We show that…