Related papers: Slide Statistics And Financial Returns
A sofic approximation to a countable group is a sequence of partial actions on finite sets that asymptotically approximates the action of the group on itself by left-translations. A group is sofic if it admits a sofic approximation. Sofic…
Systems with a long-term stationary state that possess as a spatio-temporally fluctuation quantity $\beta$ can be described by a superposition of several statistics, a "super statistics". We consider first, the Gamma, log-normal and…
Ensembles of interacting drops that slide down an inclined plate show a dramatically different coarsening behavior as compared to drops on a horizontal plate: As drops of different size slide at different velocities, frequent collisions…
We present results about financial market observables, specifically returns and traded volumes. They are obtained within the current nonextensive statistical mechanical framework based on the entropy $S_{q}=k\frac{1-\sum\limits_{i=1}^{W}…
Astute variations in the geometry of mathematical billiard tables have been and continue to be a source of understanding their wide range of dynamical behaviors, from regular to chaotic. Viewing standard specular billiards in the broader…
This paper mainly contributes to a classification of statistical Einstein manifolds, namely statistical manifolds at the same time are Einstein manifolds. A statistical manifold is a Riemannian manifold, each of whose points is a…
In this communication, we introduce a new statistical model and study its various mathematical properties. The expressions for hazard rate, reversed hazard rate, and odd functions are provided. We explore the asymptotic behaviors of the…
Finite differences have been widely used in mathematical theory as well as in scientific and engineering computations. These concepts are constantly mentioned in calculus. Most frequently-used difference formulas provide excellent…
The vast majority of the literature on stochastic semidefinite programs (stochastic SDPs) with recourse is concerned with risk-neutral models. In this paper, we introduce mean-risk models for stochastic SDPs and study structural properties…
We introduce a novel entropy-related function, \textit{non-repeatability}, designed to capture dynamical behaviors in complex systems. Its normalized form, \textit{mutability}, has been previously applied in statistical physics as a…
We study Poincar\'e recurrence from a purely geometrical viewpoint. We prove that the metric entropy is given by the exponential growth rate of return times to dynamical balls. This is the geometrical counterpart of Ornstein-Weiss theorem.…
The inverse problem of backward diffusion is known to be ill-posed and highly unstable. Backward diffusion processes appear naturally in image enhancement and deblurring applications. It is therefore greatly desirable to establish a…
A new approach of obtaining stratified random samples from statistically dependent random variables is described. The proposed method can be used to obtain samples from the input space of a computer forward model in estimating expectations…
Financial markets are highly non-linear and non-equilibrium systems. Earlier works have suggested that the behavior of market returns can be well described within the framework of non-extensive Tsallis statistics or superstatistics. For…
A new family of multivariate distributions, which shall be termed multivector variate distributions, based in the family of the multivariate contoured elliptically distribution is proposed. Several particular cases of multivector variate…
This paper provides evidence that stock returns, after truncation, might be modeled by a special type of continuous mixtures or normals, so-called $q$-Gaussians. Negative binomial distributions might model the counts for extreme returns. A…
The relation between time series irreversibility and entropy production has been recently investigated in thermodynamic systems operating away from equilibrium. In this work we explore this concept in the context of financial time series.…
Computing the similarity between two probability distributions is a recurring theme across control. We introduce a unified family of distances between the probability distributions of two random variables that is based on the discrepancy…
We construct semi-infinite billiard domains which reverse the direction of most incoming particles. We prove that almost all particles will leave the open billiard domain after a finite number of reflections. Moreover, with high probability…
In this paper, we introduce two bounds which we call the Upper Differential Entropy and the Lower Differential Entropy for an infinite family of intervals(strips) in quantum field theory. The two bounds are equal provided that the theory is…