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In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…
We extend the exploration regarding dynamical approach of macroeconomic variables by tackling systematically expenditure using Statistical Physics models (for the first time to the best of our knowledge). Also, using polynomial distribution…
The CoHSI (Conservation of Hartley-Shannon Information) distribution is at the heart of a wide-class of discrete systems, defining (amongst other properties) the length distribution of their components. Discrete systems such as the known…
Employing a recent technique which allows the representation of nonstationary data by means of a juxtaposition of locally stationary patches of different length, we introduce a comprehensive analysis of the key observables in a financial…
Stock markets are complex systems exhibiting collective phenomena and particular features such as synchronization, fluctuations distributed as power-laws, non-random structures and similarity to neural networks. Such specific properties…
The correlation function of a financial index of the New York stock exchange, the S&P 500, is analyzed at 1 min intervals over the 13-year period, Jan 84 -- Dec 96. We quantify the correlations of the absolute values of the index increment.…
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…
We study the Heston model, where the stock price dynamics is governed by a geometrical (multiplicative) Brownian motion with stochastic variance. We solve the corresponding Fokker-Planck equation exactly and, after integrating out the…
We develop theory leading to testing procedures for the presence of a change point in the intraday volatility pattern. The new theory is developed in the framework of Functional Data Analysis. It is based on a model akin to the stochastic…
Traditional member-based two-step design approaches included in current structural codes for steel structures, as well as more recent system-based direct-design alternatives, require building rigorous structural reliability frameworks for…
The structural relaxation of amorphous materials is described as arising from the superposition of elementary processes with varying activation energies. We show that it is possible to obtain the kinetic parameters of these processes from…
This paper establishes the functional average as an important estimand for causal inference. The significance of the estimand lies in its robustness against traditional issues of confounding. We prove that this robustness holds even when…
Empirical evidence is given for a significant difference in the collective trend of the share prices during the stock index rising and falling periods. Data on the Dow Jones Industrial Average and its stock components are studied between…
We study the complexity of the stock market by constructing $\epsilon$-machines of Standard and Poor's 500 index from February 1983 to April 2006 and by measuring the statistical complexities. It is found that both the statistical…
In this paper we provide compelling evidence of cyclical mean reversion and multiperiod stock return predictability over horizons of about 30 years with a half-life of about 15 years. This implies that the US stock market follows a…
Human language has a distinct systematic structure, where utterances break into individually meaningful words which are combined to form phrases. We show that natural-language-like systematicity arises in codes that are constrained by a…
Recurrent boom-and-bust cycles are a salient feature of economic and financial history. Cycles found in the data are stochastic, often highly persistent, and span substantial fractions of the sample size. We refer to such cycles as "long".…
In this pre-print we explore the multi-fractal properties of 1 minute traded volume of the equities which compose the Dow Jones 30. We also evaluate the weights of linear and non-linear dependences in the multi-fractal structure of the…
The analysis of the intraday dynamics of correlations among high-frequency returns is challenging due to the presence of asynchronous trading and market microstructure noise. Both effects may lead to significant data reduction and may…
While we are usually focused on forecasting future values of time series, it is often valuable to additionally predict their entire probability distributions, e.g. to evaluate risk, Monte Carlo simulations. On example of time series of…