Related papers: Conditional statistical properties of the complex …
We propose the sum and the difference of the normalized velocity of two-joint systems to describe its long-range interaction. It is found that the conditional probability distribution function (CPDF) of the normalized velocity between…
We introduce a conditional pair distribution function (CPDF) which characterizes the probability density of finding an object (e.g., a particle in a fluid) to certain distance of other, with each of these two having a nearest neighbor to a…
A new concept of the available force in long-range interaction complex systems is proposed. The relationship between the available force in different time intervals and the interaction parameters of complex systems is described. It is found…
For a linear combination of random variables, fix some confidence level and consider the quantile of the combination at this level. We are interested in the partial derivatives of the quantile with respect to the weights of the random…
A step by step procedure to derive analytically the exact dynamical evolution equations of the probability density functions (PDF) of well known kinetic wealth exchange economic models is shown. This technique gives a dynamical insight into…
Inspired by applications in sports where the skill of players or teams competing against each other varies over time, we propose a probabilistic model of pairwise-comparison outcomes that can capture a wide range of time dynamics. We…
This paper is concerned with test of the conditional independence. We first establish an equivalence between the conditional independence and the mutual independence. Based on the equivalence, we propose an index to measure the conditional…
We introduce a new stochastic duration model for transaction times in asset markets. We argue that widely accepted rules for aggregating seemingly related trades mislead inference pertaining to durations between unrelated trades: while any…
We define Conditional quasi concave Performance Measures (CPMs), on random variables bounded from below, to accommodate for additional information. Our notion encompasses a wide variety of cases, from conditional expected utility and…
If two probability density functions (PDFs) have values for their first $n$ moments which are quite close to each other (upper bounds of their differences are known), can it be expected that the PDFs themselves are very similar? Shown below…
We derive the asymptotic distribution of ordinal-pattern frequencies under weak dependence conditions and investigate the long-run covariance matrix not only analytically for moving-average, Gaussian, and the novel generalized coin-tossing…
We extend conformal prediction methodology beyond the case of exchangeable data. In particular, we show that a weighted version of conformal prediction can be used to compute distribution-free prediction intervals for problems in which the…
We consider a financial market in discrete time and study pricing and hedging conditional on the information available up to an arbitrary point in time. In this conditional framework, we determine the structure of arbitrage-free prices.…
Autoregressive conditional duration (ACD) models are primarily used to deal with data arising from times between two successive events. These models are usually specified in terms of a time-varying conditional mean or median duration. In…
Forecasting conditional stochastic nonlinear dynamical systems is a fundamental challenge repeatedly encountered across the biological and physical sciences. While flow-based models can impressively predict the temporal evolution of…
The goal of developing a firmer theoretical understanding of inhomogenous temporal processes -- in particular, the waiting times in some collective dynamical system -- is attracting significant interest among physicists. Quantifying the…
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price…
Employing molecular dynamics simulations of jammed soft particles, we study microscopic responses of force-chain networks to quasi-static isotropic (de)compressions. We show that not only contacts but also interparticle gaps between the…
In this paper, a new approach to bivariate modeling of autoregressive conditional duration (ACD) models is proposed. Specifically, we consider the joint modeling of durations and the number of transactions made during the spell. The…
An Entropic Dynamics of exchange rates is laid down to model the dynamics of foreign exchange rates, FX, and European Options on FX. The main objective is to represent an alternative framework to model dynamics. Entropic inference is an…