Related papers: Analyses of Statistical Structures in Economic Ind…
In this report, we talked about a new quantitative strategy for choosing the optimal(s) stock(s) to trade. The basic notions are generally very known by the financial community. The key here is to understand 1) the standard score applied to…
Normal human heart rate shows complex fluctuations in time, which is natural, since heart rate is controlled by a large number of different feedback control loops. These unpredictable fluctuations have been shown to display fractal…
This dissertation reports work where physics methods are applied to financial and economical problems. The first part studies stock market data (chapter 1 to 5). The second part is devoted to personal income in the USA (chapter 6). We first…
Stochastic kinetic models are often used to describe complex biological processes. Typically these models are analytically intractable and have unknown parameters which need to be estimated from observed data. Ideally we would have…
This paper revisits Menzerath's Law, also known as the Menzerath-Altmann Law, which models a relationship between the length of a linguistic construct and the average length of its constituents. Recent findings indicate that simple…
We build a simple diagnostic criterion for approximate factor structure in large cross-sectional equity datasets. Given a model for asset returns with observable factors, the criterion checks whether the error terms are weakly…
The exit time statistics of experimental turbulent data is analyzed. By looking at the exit-time moments (Inverse Structure Functions) it is possible to have a direct measurement of scaling properties of the laminar statistics. It turns out…
This paper introduces a general regularized thresholded least-square procedure estimating a structured signal $\theta_*\in\mathbb{R}^d$ from the following observations: $y_i = f(\langle\mathbf{x}_i, \theta_*\rangle,…
In this paper we explore the specific role of randomness in financial markets, inspired by the beneficial role of noise in many physical systems and in previous applications to complex socio- economic systems. After a short introduction, we…
The eigenvalue statistics of quantum ideal gases with single particle energies $e_n=n^\alpha$ are studied. A recursion relation for the partition function allows to calculate the mean density of states from the asymptotic expansion for the…
Financial networks are typically estimated by applying standard time series analyses to price-based economic variables collected at low-frequency (e.g., daily or monthly stock returns or realized volatility). These networks are used for…
On a daily investment decision in a security market, the price earnings (PE) ratio is one of the most widely applied methods being used as a firm valuation tool by investment experts. Unfortunately, recent academic developments in financial…
In the present report the author presents a simple and systematically defined formula for the fine structure constant based only on the number $\pi$. The difference between the suggested value and the currently known experimental one is…
We study the price dynamics of stocks traded in the NASDAQ market by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of our database, we study the ensemble return distribution by…
The time dependence of the $h$-index is analyzed by considering the average behaviour of $h$ as a function of the academic age $A_A$ for about 1400 Italian physicists, with career lengths spanning from 3 to 46 years. The individual…
In this paper, results of investigations of the simplest mechanisms of a structure formation are presented. In frameworks of the suggested model the main attention was focused on such characteristics as wiring of the system, clusters…
Classical technical analysis methods of stock evolution are recalled, i.e. the notion of moving averages and momentum indicators. The moving averages lead to define death and gold crosses, resistance and support lines. Momentum indicators…
The uniform information density (UID) hypothesis proposes that speakers aim to distribute information evenly throughout a text, balancing production effort and listener comprehension difficulty. However, language typically does not maintain…
Many complex systems, including networks, are not static but can display strong fluctuations at various time scales. Characterizing the dynamics in complex networks is thus of the utmost importance in the understanding of these networks and…
Motivated by the need to statistically quantify differences between modern (complex) data-sets which commonly result as high-resolution measurements of stochastic processes varying over a continuum, we propose novel testing procedures to…