Related papers: The Random Walk behind Volatility Clustering
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
A theory of clustering of inertial particles advected by a turbulent velocity field caused by an instability of their spatial distribution is suggested. The reason for the clustering instability is a combined effect of the particles inertia…
Scaling analysis reveals striking regularities in earthquake occurrence. The time between any one earthquake and that following it is random, but it is described by the same universal-probability distribution for any spatial region and…
We show that the unsteadiness of turbulence has a drastic effect on turbulence parameters and in particle cluster formation. To this end we use direct numerical simulations of particle laden flows with a steady forcing that generates an…
The evolution of many dynamical systems that describe relationships or interactions between objects can be effectively modeled by temporal networks, which are typically represented as a sequence of static network snapshots. In this paper,…
We propose a non linear Langevin equation as a model for stock market fluctuations and crashes. This equation is based on an identification of the different processes influencing the demand and supply, and their mathematical transcription.…
The behaviour and functioning of a variety of complex physical and biological systems depend on the spatial organisation of their constituent units, and on the presence and formation of clusters of functionally similar or related…
The fundamental theorem behind financial markets is that stock prices are intrinsically complex and stochastic. One of the complexities is the volatility associated with stock prices. Volatility is a tendency for prices to change…
This note continues investigation of randomness-type properties emerging in idealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variation exponent of…
Proponents of behavioral finance have identified several "puzzles" in the market that are inconsistent with rational finance theory. One such puzzle is the "excess volatility puzzle". Changes in equity prices are too large given changes in…
The random walk process underlies the description of a large number of real world phenomena. Here we provide the study of random walk processes in time varying networks in the regime of time-scale mixing; i.e. when the network connectivity…
Modelling accurately financial price variations is an essential step underlying portfolio allocation optimization, derivative pricing and hedging, fund management and trading. The observed complex price fluctuations guide and constraint our…
Motivated by novel results in the theory of complex adaptive systems, we analyze the dynamics of random walks in which the jumping probabilities are {\it time-dependent}. We determine the survival probability in the presence of an absorbing…
Cryptocurrencies fluctuate in markets with high price volatility, posing significant challenges for investors. To aid in informed decision-making, systems predicting cryptocurrency market movements have been developed, typically focusing on…
Motile cells often explore natural environments characterized by a high degree of structural complexity. Moreover cell motility is also intrinsically noisy due to spontaneous random reorientation and speed fluctuations. This interplay of…
One of the major issues studied in finance that has always intrigued, both scholars and practitioners, and to which no unified theory has yet been discovered, is the reason why prices move over time. Since there are several well-known…
We study the collective behaviour of an ensemble of coupled motile elements whose interactions depend on time and are alternatively attractive or repulsive. The evolution of interactions is driven by individual internal variables with…
This report discusses two new indices for comparing clusterings of a set of points. The motivation for looking at new ways for comparing clusterings stems from the fact that the existing clustering indices are based on set cardinality alone…
We study how the phenomenon of contagion can take place in the network of the world's stock exchanges due to the behavioral trait "blindeness to small changes". On large scale individual, the delay in the collective response may…
In many complex systems, for the activity f(i) of the constituents or nodes i, a power-law relationship was discovered between the standard deviation sigma(i) and the average strength of the activity: sigma(i) ~ <f(i)>^alpha; universal…