Related papers: Anomalous volatility scaling in high frequency fin…
Multifractional Brownian motion is an extension of the well-known fractional Brownian motion where the Holder regularity is allowed to vary along the paths. In this paper, two kind of multi-parameter extensions of mBm are studied: one is…
We analyze the Bombay stock exchange (BSE) price index over the period of last 12 years. Keeping in mind the large fluctuations in last few years, we carefully find out the transient, non-statistical and locally structured variations. For…
Correlations among stock returns during volatile markets differ substantially compared to those from quieter markets. During times of financial crisis, it has been observed that traditional dependency in global markets breaks down. However,…
It is widely accepted that there is strong persistence in the volatility of financial time series. The origin of the observed persistence, or long-range memory, is still an open problem as the observed phenomenon could be a spurious effect.…
The accurate estimation of scaling exponents is central in the observational study of scale-invariant phenomena. Natural systems unavoidably provide observations over restricted intervals; consequently a stationary stochastic process (time…
In this paper, we propose a minimal model beyond geometric Brownian motion that aims to describe price actions with market inefficiency. From simple financial theory considerations, we arrive at a simple two-variable hidden Markovian time…
Fractional Brownian motion (fBm) is an important scale-invariant Gaussian non-Markovian process with stationary increments, which serves as a prototypical example of a system with long-range temporal correlations and anomalous diffusion.…
The effects of a "diffusing diffusivity" (DD), a stochastically time-varying diffusion coefficient, are explored within the frameworks of three different forms of fractional Brownian motion (FBM): (i) the Langevin equation driven by…
This paper is an attempt at understanding the quantum-like dynamics of financial markets in terms of non-differentiable price-time continuum having fractal properties. The main steps of this development are the statistical scaling, the…
Fractional Brownian motion (fBm) is an experimentally-relevant, non-Markovian Gaussian stochastic process with long-ranged correlations between the increments, parametrised by the so-called Hurst exponent $H$; depending on its value the…
A perspective is taken on the intangible complexity of economic and social systems by investigating the underlying dynamical processes that produce, store and transmit information in financial time series in terms of the \textit{moving…
This paper presents an empirical investigation of the intraday Brazilian stock market price fluctuations, considering q-Gaussian distributions that emerge from a non-extensive statistical mechanics. Our results show that, when returns are…
This paper reviews and extends some recent results on the multivariate fractional Brownian motion (mfBm) and its increment process. A characterization of the mfBm through its covariance function is obtained. Similarly, the correlation and…
Consider a chaotic dynamical system generating Brownian motion-like diffusion. Consider a second, non-chaotic system in which all particles localize. Let a particle experience a random combination of both systems by sampling between them in…
Two models for quantum Brownian motion - the Oscillator Bath (OB) model and the Random-Band-Matrix (RBM) model - are compared and a relation between the spectral density function I(w) and the variance (Vab)^2 is established. The extension…
The disordering of an initially phase segregated system of finite size, induced by the presence of highly mobile vacancies, is shown to exhibit dynamic scaling in its late stages. A set of characteristic exponents is introduced and computed…
Time-varying volatility is an inherent feature of most economic time-series, which causes standard correlation estimators to be inconsistent. The quadrant correlation estimator is consistent but very inefficient. We propose a novel…
We present a new approach to determine the small-scale statistical behavior of hydrodynamic turbulence by means of lattice simulations. Using the functional integral representation of the random-force-driven Burgers equation we show that…
This paper studies the effect of quarterly earnings reports on the stock price. The profitability of the stock is modelled by geometric Brownian diffusion and the Constant Elasticity of Variance model. We fit several variations of…
It is shown that in systems with time-dependent and/or spatially nonuniform temperature $T(t,x)$, (i) most of the transport processes is weakly non-ergodic, and (ii) the diffusion (Brownian motion, BM) is anomalous. A few examples of simple…