Related papers: Coupled uncertainty provided by a multifractal ran…

An empirical algorithm is used here to study the stochastic and multifractal nature of nonlinear time series. A parameter can be defined to quantitatively measure the deviation of the time series from a Wiener process so that the…

As a model of market price, we introduce a new type of random walk in a moving potential which is approximated by a quadratic function with its center given by the moving average of its own trace. The properties of resulting random walks…

We establish bounds on the mixing times of conjugacy-invariant random walks on finite nilpotent groups in terms of the mixing times of their projections onto the abelianization. This comparison framework shows that, in several natural cases…

We theoretically study divergent fluctuations of dynamical events at non-ergodic transitions. We first focus on the finding that a non-ergodic transition can be described as a saddle connection bifurcation of an order parameter for a time…

Cross-correlation analysis is a powerful tool for understanding the mutual dynamics of time series. This study introduces a new method for predicting the future state of synchronization of the dynamics of two financial time series. To this…

Non-Hermitian systems with exceptional points lead to many intriguing phenomena due to the coalescence of both eigenvalues and corresponding eigenvectors, in comparison to Hermitian systems where only eigenvalues degenerate. In this paper,…

Robustness of linear systems with constant coefficients is considered. There exist methods and tools for analyzing the stability of systems with random or deterministic uncertainties. At the same time, there are no approaches for the…

We develop new econometric methods for the comparison of nonparametric time trends. In many applications, practitioners are interested in whether the observed time series all have the same time trend. Moreover, they would often like to know…

We consider a multi-particle generalization of linear edge-reinforced random walk (ERRW). We observe that in absence of exchangeability, new techniques are needed in order to study the multi-particle model. We describe an unusual coupling…

The well-scaled transition to the diffusion limit in the framework of the theory of continuous-time random walk (CTRW)is presented starting from its representation as an infinite series that points out the subordinated character of the CTRW…

Modelling multivariate circular time series is considered. The cross-sectional and serial dependence is described by circulas, which are analogs of copulas for circular distributions. In order to obtain a simple expression of the dependence…

SimRank is a similarity measure between vertices in a graph, which has become a fundamental technique in graph analytics. Recently, many algorithms have been proposed for efficient evaluation of SimRank similarities. However, the existing…

Given a collection of entities (or nodes) in a network and our intermittent observations of activities from each entity, an important problem is to learn the hidden edges depicting directional relationships among these entities. Here, we…

We perform an extensive empirical analysis of scaling properties of equity returns, suggesting that financial data show time varying multifractal properties. This is obtained by comparing empirical observations of the weighted generalised…

Scientists have developed hundreds of techniques to measure the interactions between pairs of processes in complex systems. But these computational methods, from correlation coefficients to causal inference, rely on distinct quantitative…

Detection of interactions between treatment effects and patient descriptors in clinical trials is critical for optimizing the drug development process. The increasing volume of data accumulated in clinical trials provides a unique…

A sufficient condition for the uniqueness of multinomial sequential unbiased estimators is provided generalizing a classical result for binomial samples. Unbiased estimators are applied to infer the parameters of multidimensional or…

Temporal fluctuations in the Hadamard walk on circles are studied. A temporal standard deviation of probability that a quantum random walker is positive at a given site is introduced to manifest striking differences between quantum and…

We study branching processes in an i.i.d. random environment, where the associated random walk is of the oscillating type. This class of processes generalizes the classical notion of criticality. The main properties of such branching…

We investigate financial market correlations using random matrix theory and principal component analysis. We use random matrix theory to demonstrate that correlation matrices of asset price changes contain structure that is incompatible…