Related papers: Analyses of Statistical Structures in Economic Ind…
It has been understood that the "local" existence of the Markowitz' optimal portfolio or the solution to the local-risk minimization problem is guaranteed by some specific mathematical structures on the underlying assets price processes…
We apply a recently developed wavelet based approach to characterize the correlation and scaling properties of non-stationary financial time series. This approach is local in nature and it makes use of wavelets from the Daubechies family…
These Lecture Notes are devoted to an introductory description of some of the most widely applied statistical methods for the analysis of the Large-Scale Structure (LSS) of the Universe. Rather than providing technical details about the…
Starting from the characterization of the past time evolution of market prices in terms of two fundamental indicators, price velocity and price acceleration, we construct a general classification of the possible patterns characterizing the…
A growing empirical literature suggests that equity-premium predictability is state dependent, with much of the forecasting power concentrated around recessionary periods (Henkel et al., 2011; Dangl and Halling, 2012; Devpura et al., 2018).…
We calculated the cross correlations between the half-hourly times series of the ten Dow Jones US economic sectors over the period February 2000 to August 2008, the two-year intervals 2002--2003, 2004--2005, 2008--2009, and also over 11…
In this paper we explore the life expectancy limits by based on the stochastic modeling of mortality and applying the first exit or hitting time theory of a stochastic process. The main assumption is that the health state or the "vitality",…
The \emph{index set} of a computable structure $\mathcal{A}$ is the set of indices for computable copies of $\mathcal{A}$. We determine the complexity of the index sets of various mathematically interesting structures, including arbitrary…
We report in details the observations of structures in coupled map lattice during its chaotic evolution, both in one and two dimension, driven by identical noise on each site (by a structure we mean a group of neighboring lattice-sites for…
The dependence of the statistics of energy dissipation on the Reynolds number is investigated in an experimental jet flow. In a range of about one decade of $Re_{\lambda}$ (from about 200 to 2000) the adimensional mean energy dissipation is…
Understanding the dynamical behavior of complex systems is of exceptional relevance in everyday life, from biology to economy. In order to describe the dynamical organization of complex systems, existing methods require the knowledge of the…
Understanding the structure of financial markets deals with suitably determining the functional relation between financial variables. In this respect, important variables are the trading activity, defined here as the number of trades $N$,…
The complexity of financial markets arise from the strategic interactions among agents trading stocks, which manifest in the form of vibrant correlation patterns among stock prices. Over the past few decades, complex financial markets have…
We show that typical behaviors of market participants at the high frequency scale generate leverage effect and rough volatility. To do so, we build a simple microscopic model for the price of an asset based on Hawkes processes. We encode in…
This paper analyzes a stochastic logistic difference equation under the assumption that the population distribution follows a normal distribution. Our focus is on the mathematical relationship between the average growth rate and a newly…
A new statistical technique for constructing linear latent structure (LLS) models from available data, supported by well established theoretical results and an efficient algorithm, is presented. The method reduces the problem of estimating…
The study and measurement of economic resilience is ruled by high level of complexity related to the diverse structure, functionality, spatiality, and dynamics describing economic systems. Towards serving the demand of integration, this…
Density functional theory (DFT) primarily provides a good description of the electronic structure. Thus, DFT primarily deals with length scales as those of a chemical bond, i.e. 10^-10 meter, and with time scales of the order of atomic…
Many recent studies use individual longitudinal data to analyze job search behaviors. Such data allow the use of fixed-effects models, which supposedly address the issue of dynamic selection and make it possible to identify the structural…
A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…