Related papers: Power-law cross-correlations: Issues, solutions an…
We consider the estimation of approximate factor models for time series data, where strong serial and cross-sectional correlations amongst the idiosyncratic component are present. This setting comes up naturally in many applications, but…
This paper presents a general framework for modeling dependence in multivariate time series. Its fundamental approach relies on decomposing each signal in a system into various frequency components and then studying the dependence…
We explore the applicability of the causal analysis based on temporally shifted (lagged) Pearson correlation applied to diverse time series of different natures in context of the problem of financial market prediction. Theoretical…
The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise…
Here we propose a method, based on detrended covariance which we call detrended cross-correlation analysis (DXA), to investigate power-law cross-correlations between different simultaneously-recorded time series in the presence of…
An intriguing link between a wide range of problems occurring in physics and financial engineering is presented. These problems include the evolution of small perturbations of linear flows in hydrodynamics, the movements of particles in…
Wind farms can be regarded as complex systems that are, on the one hand, coupled to the nonlinear, stochastic characteristics of weather and, on the other hand, strongly influenced by supervisory control mechanisms. One crucial problem in…
We propose a novel framework to investigate lead-lag relationships between two financial assets. Our framework bridges a gap between continuous-time modeling based on Brownian motion and the existing wavelet methods for lead-lag analysis…
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…
Gamma-ray burst time histories often consist of many peaks. These peaks tend to be narrower at higher energy. If gamma-ray bursts are cosmological, the energy dependence of gamma-ray burst time scales must be understood in order to correct…
In this paper we consider a multivariate model-based approach to measure the dynamic evolution of tail risk interdependence among US banks, financial services and insurance sectors. To deeply investigate the risk contribution of insurers we…
Functional data often arise from measurements on fine time grids and are obtained by separating an almost continuous time record into natural consecutive intervals, for example, days. The functions thus obtained form a functional time…
We study the capability to learn and to generate long-range, power-law correlated sequences by a fully connected asymmetric network. The focus is set on the ability of neural networks to extract statistical features from a sequence. We…
The universal power law tails of single particle and multi-particle time correlation functions are derived from a unifying point of view, solely using the hydrodynamic modes of the system. The theory applies to general correlation…
In economics and many other forecasting domains, the real world problems are too complex for a single model that assumes a specific data generation process. The forecasting performance of different methods changes depending on the nature of…
In this review article we explore several recent advances in the quantitative modeling of financial markets. We begin with the Efficient Markets Hypothesis and describe how this controversial idea has stimulated a number of new directions…
In this paper, we try to answer two questions about any given scientific discipline: First, how important is each subfield and second, how does a specific subfield influence other subfields? We modify the well-known open-system Leontief…
Econophysics has developed as a research field that applies the formalism of Statistical Mechanics and Quantum Mechanics to address Economics and Finance problems. The branch of Econophysics that applies of Quantum Theory to Economics and…
Podobnik and Stanley recently proposed a novel framework, Detrended Cross-Correlation Analysis, for the analysis of power-law cross-correlation between two time-series, a phenomenon which occurs widely in physical, geophysical, financial…
In the face of the upcoming 30th anniversary of econophysics, we review our contributions and other related works on the modeling of the long-range memory phenomenon in physical, economic, and other social complex systems. Our group has…