Related papers: Non stationary multifractality in stock returns
While the fat tailed jump size and the waiting time distributions characterizing individual human trajectories strongly suggest the relevance of the continuous time random walk (CTRW) models of human mobility, no one seriously believes that…
We introduce a family of random measures $M_{H,T} (d t)$, namely log S-fBM, such that, for $H>0$, $M_{H,T}(d t) = e^{\omega_{H,T}(t)} d t$ where $\omega_{H,T}(t)$ is a Gaussian process that can be considered as a stationary version of an…
In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the…
Recently has been investigated that the ground-state wavefunction of the one dimensional quantum spin-1/2 chain models is multifractal in general with non-trivial fractal dimension. We are studying this phenomena for the quantum Ising chain…
Risk assessment for rare events is essential for understanding systemic stability in complex systems. As rare events are typically highly correlated, it is important to study heavy-tailed multivariate distributions of the relevant…
A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to…
This article proposes a novel Bayesian multivariate quantile regression to forecast the tail behavior of energy commodities, where the homoskedasticity assumption is relaxed to allow for time-varying volatility. In particular, we exploit…
Some asymptotic properties of a Brownian motion in multifractal time, also called multifractal random walk, are established. We show the almost sure and $L^1$ convergence of its structure function. This is an issue directly connected to the…
Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking…
Pedestrian arrival times exhibit complex temporal organization across multiple scales, shaped by working hours, transportation schedules, and collective behaviors - features often neglected in conventional pedestrian arrival models. Using a…
The creativity and emergence of biological and psychological behavior are nonlinear. However, that does not necessarily mean only that the measurements of the behaviors are curvilinear. Furthermore, the linear model might fail to reduce…
The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. In this Letter, we propose to verify the inversion formula using high-frequency…
We establish and generalise several bounds for various random walk quantities including the mixing time and the maximum hitting time. Unlike previous analyses, our derivations are based on rather intuitive notions of local expansion…
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…
Several phenomena are available representing market activity: volumes, number of trades, durations between trades or quotes, volatility - however measured - all share the feature to be represented as positive valued time series. When…
Although stochastic volatility and GARCH (generalized autoregressive conditional heteroscedasticity) models have successfully described the volatility dynamics of univariate asset returns, extending them to the multivariate models with…
In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price dynamics on the abstract resource. The model was…
The numerical experiments of turbulence conducted by Gotoh et al. are analyzed precisely with the help of the formulae for the scaling exponents of velocity structure function and for the probability density function (PDF) of velocity…
In this paper we present results on dynamic multivariate scalar risk measures, which arise in markets with transaction costs and systemic risk. Dual representations of such risk measures are presented. These are then used to obtain the main…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…