Related papers: Multiplicative random cascades with additional sto…
The multiplier statistics of discrete and continuous nonconservative multiplicative cascade models, employed to describe the energy cascade in fully developed turbulence, is investigated. It is found to be indistinguishable due to…
Discrete multiplicative turbulent cascades are described using a formalism involving infinitely divisible random measures. This permits to consider the continuous limit of a cascade developed on a continuum of scales, and to provide the…
In this paper we propose an Ising model which simulates multiple financial time series. Our model introduces the interaction which couples to spins of other systems. Simulations from our model show that time series exhibit the volatility…
We propose here a multiplex network approach to investigate simultaneously different types of dependency in complex data sets. In particular, we consider multiplex networks made of four layers corresponding respectively to linear,…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
A new type of perturbative expansion is built in order to give a rigorous derivation and to clarify the range of validity of some commonly used model equations. This model describes the evolution of the modulation of two short and localized…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
Threshold cascade models have been used to describe spread of behavior in social networks and cascades of default in financial networks. In some cases, these networks may have multiple kinds of interactions, such as distinct types of social…
Signals consisting of a sequence of pulses show that inherent origin of the 1/f noise is a Brownian fluctuation of the average interevent time between subsequent pulses of the pulse sequence. In this paper we generalize the model of…
In this work, I address the issue of forming riskless hedge in the continuous time option pricing model with stochastic stock volatility. I show that it is essential to verify whether the replicating portfolio is self-financing, in order…
We present a systematic way to analyze and model systems having many characteristic time-scales. The method we propose is employed for a test-case of a meandering jet model manifesting chaotic tracer dispersion with long time-correlations.…
A time series model for the FX dynamics is presented which takes into account structural peculiarities of the market, namely its heterogeneity and an information flow from long to short time horizons. The model emerges from an analogy…
We achieve the multifractal analysis of a class of complex valued statistically self-similar continuous functions. For we use multifractal formalisms associated with pointwise oscillation exponents of all orders. Our study exhibits new…
Multiplicative processes and multifractals have earned increased popularity in applications ranging from hydrodynamic turbulence to computer network traffic, from image processing to economics. We analyse the multifractality of the recently…
The Random Parameters model was proposed to explain the structure of the covariance matrix in problems where most, but not all, of the eigenvalues of the covariance matrix can be explained by Random Matrix Theory. In this article, we…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
Complex systems are often characterized by the interplay of multiple interconnected dynamical processes operating across a range of temporal scales. This phenomenon is widespread in both biological and artificial scenarios, making it…
Multiplicative cascades have been used in turbulence to generate fields with multifractal statistics and long-range correlations. Examples of continuous and causal stochastic processes which generate such a random field have been carefully…
In this paper we introduce a multilevel specification with stochastic volatility for repeated cross-sectional data. Modelling the time dynamics in repeated cross sections requires a suitable adaptation of the multilevel framework where the…
Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated…