Related papers: Long-Range Dependence in Financial Markets: a Movi…
Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average <f(i)>: sigma(i) ~ f(i)^alpha, with a strong time scale dependence alpha(dt). The…
We investigate the full dynamics of capital allocation and wealth distribution of heterogeneous agents in a frictional economy during booms and busts using tools from mean-field games. Two groups in our models, namely the expert and the…
We introduce an innovative framework that leverages advanced big data techniques to analyze dynamic co-movement between stocks and their underlying fundamentals using high-frequency stock market data. Our method identifies leading…
This paper discusses a novel explanation for asymmetric volatility based on the anchoring behavioral pattern. Anchoring as a heuristic bias causes investors focusing on recent price changes and price levels, which two lead to a belief in…
Recent studies have identified long-range dependence as a key feature in the dynamics of both mortality and interest rates. Building on this insight, we develop a novel bi-variate stochastic framework based on mixed fractional Brownian…
Heart rate variability results from the combined activity of several physiological systems, including the cardiac, vascular, and respiratory systems which have their own internal regulation, but also interact with each other to preserve the…
We propose a generalization of the widely used fractional Brownian motion (FBM), memory-multi-FBM (MMFBM), to describe viscoelastic or persistent anomalous diffusion with time-dependent memory exponent $\alpha(t)$ in a changing environment.…
We introduce a model of interacting Random Walk, whose hopping amplitude depends on the number of walkers/particles on the link. The mesoscopic counterpart of such a microscopic dynamics is a diffusing system whose diffusivity depends on…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
We introduce the stochastic process of incremental multifractional Brownian motion (IMFBM), which locally behaves like fractional Brownian motion with a given local Hurst exponent and diffusivity. When these parameters change as function of…
Since the middle of the 90's, multifractional processes have been introduced for overcoming some limitations of the classical Fractional Brownian Motion model. In their context, the Hurst parameter becomes a Holder continuous function H(?)…
Predicting cloud performance from user's perspective is a complex task, because of several factors involved in providing the service to the consumer. In this work, the response time of 10 real-world services is analyzed. We have observed…
The relation between time series irreversibility and entropy production has been recently investigated in thermodynamic systems operating away from equilibrium. In this work we explore this concept in the context of financial time series.…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
We report evidence of a deep interplay between cross-correlations hierarchical properties and multifractality of New York Stock Exchange daily stock returns. The degree of multifractality displayed by different stocks is found to be…
In setting up a stochastic description of the time evolution of a financial index, the challenge consists in devising a model compatible with all stylized facts emerging from the analysis of financial time series and providing a reliable…
The cluster analysis methods are used in order to perform a comparative study of 15 EU countries in relation with the fluctuations of some basic macroeconomic indicators. The statistical distances between countries are calculated for…
Online inclusive financial services encounter significant financial risks due to their expansive user base and low default costs. By real-world practice, we reveal that utilizing longer-term user payment behaviors can enhance models'…
Organisms gain by anticipating future changes in the environment. Those environmental changes often follow stochastic trends. The greater the slope of the trend, the more likely the trend's momentum carries the future trend in the same…
Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill…