Related papers: Evidence for criticality in financial data
Factorial moments are convenient tools in nuclear physics to characterize the multiplicity distributions when phase-space resolution ($\Delta$) becomes small. For uncorrelated particle production within $\Delta$, Gaussian statistics holds…
Reliable calculations of financial risk require that the fat-tailed nature of prices changes is included in risk measures. To this end, a non-Gaussian approach to financial risk management is presented, modeling the power-law tails of the…
We study a symmetric generalization $\mathfrak{p}^{(N)}_k(\eta, \alpha)$ of the binomial distribution recently introduced by Bergeron et al, where $\eta \in [0,1]$ denotes the win probability, and $\alpha$ is a positive parameter. This…
In the context of mod-Gaussian convergence, as defined previously in our work with J. Jacod, we obtain lower bounds for local probabilities for a sequence of random vectors which are approximately Gaussian with increasing covariance. This…
A new generalization of the family of Poisson-G is called beta Poisson-G family of distribution. Useful expansions of the probability density function and the cumulative distribution function of the proposed family are derived and seen as…
A global quantity, regardless of its precise nature, will often fluctuate according to a Gaussian limit distribution. However, in highly correlated systems, other limit distributions are possible. We have previously calculated one such…
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…
We approach the Generalized Beta (GB) family of distributions using a mean-reverting stochastic differential equation (SDE) for a power of the variable, whose steady-state (stationary) probability density function (PDF) is a modified GB…
The critical indices \alpha', \beta, \gamma' and \delta of the Quark Gluon Bags with Surface Tension Model that has the critical endpoint are calculated and compared with the exponents of other models. These indices are expressed in terms…
We present a generic epidemic model with stochastic parameters, in which the dynamics self-organize to a critical state with suppressed exponential growth. More precisely, the dynamics evolve into a quasi-steady-state, where the effective…
We build a statistical ensemble representation of two economic models describing respectively, in simplified terms, a payment system and a credit market. To this purpose we adopt the Boltzmann-Gibbs distribution where the role of the…
Two dimensional condensed matter is realised in increasingly diverse forms that are accessible to experiment and of potential technological value. The properties of these systems are influenced by many length scales and reflect both generic…
Recent investigations of turbulent circulation fluctuations have uncovered substantial insights into the statistical organization of flow structures and revealed unexpected geometric features of turbulent intermittency. Of particular…
The classical theory for the meta-analysis of $p$-values is based on the assumption that if the overall null hypothesis is true, then all $p$-values used in a chosen combined test statistic are genuine, i.e., are observations from…
We consider the following frustrated optimization problem: given a prior probability distribution $q$, find the distribution $p$ minimizing the relative entropy with respect to $q$ such that $\textrm{mean}(p)$ is fixed and large. We show…
Recent work has suggested that in highly correlated systems, such as sandpiles, turbulent fluids, ignited trees in forest fires and magnetization in a ferromagnet close to a critical point, the probability distribution of a global quantity…
The emergence of non-gaussian distributions for macroscopic quantities in nonequilibrium steady states is discussed with emphasis on the effective criticality and on the ensuing universality of distribution functions. The following problems…
We consider the efficient outcome of a canonical economic market model involving buyers and sellers with independent and identically distributed random valuations and costs, respectively. When the number of buyers and sellers is large, we…
Random fields in nature often have, to a good approximation, Gaussian characteristics. We present the mathematical framework for a new and simple method for investigating the non-Gaussian contributions, based on counting the maxima and…
The q-model is a random walk model used to describe the flow of stress in a stationary granular medium. Here we derive the exact horizontal and vertical correlation functions for the q-model in two dimensions. We show that close to a…