Related papers: Long-Range Dependence in Financial Markets: a Movi…
There are two main approaches to non-equlibrium statistical mechanics: one using stochastic processes and the other using dynamical systems. To model the dynamics during inflation one usually adopts a stochastic description, which is known…
We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on [Corsi et al., 2016], we model a set of financial institutions having Value at Risk…
The measured time series from complex systems are renowned for their intricate stochastic behavior, characterized by random fluctuations stemming from external influences and nonlinear interactions. These fluctuations take diverse forms,…
Fundamental variables in financial market are not only price and return but a very important role is also played by trading volumes. Here we propose a new multivariate model that takes into account price returns, logarithmic variation of…
We perform a numerical analysis of a recent introduced model for describing collective movement in alarmed animals groups. This model, derived from a position-based interaction and a limited attention field, displays a non-equilibrium phase…
Non-equilibrium fluctuations of various stochastic variables, such as work and entropy production, have been widely discussed recently in the context of large deviations, cumulants and fluctuation relations. Typically, one looks at the…
Following the theory of information measures based on the cumulative distribution function, we propose the fractional generalized cumulative entropy, and its dynamic version. These entropies are particularly suitable to deal with…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…
The collective phenomena of a liquid market is characterized in terms of a particle system scenario. This physical analogy enables us to disentangle intrinsic features from purely stochastic ones. The latter are the result of environmental…
Using frequency distributions of daily closing price time series of several financial market indexes, we investigate whether the bias away from an equiprobable sequence distribution found in the data, predicted by algorithmic information…
We introduce a generalized mixed fractional Brownian motion (gmfBm) as a linear combination of two independent fractional Brownian motions with possibly different Hurst indices and investigate conditions under which the time-changed gmfBm…
The existence of the {\em typical set} is key for data compression strategies and for the emergence of robust statistical observables in macroscopic physical systems. Standard approaches derive its existence from a restricted set of…
Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the interevent statistics observed in these contexts differs from the…
We study the dynamics of a spin-flip model with a mean field interaction. The system is non reversible, spacially inhomogeneous, and it is designed to model social interactions. We obtain the limiting behavior of the empirical averages in…
Internet platforms' traffic defines important characteristics of platforms, such as price of services, advertisements, speed of operations. The traffic is usually estimated with the help of the traditional time series models (ARIMA,…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
An ensemble of trajectories with dynamical activity and first-passage time (FPT) is considered in the context of the thermodynamics of trajectories. The relationship between the average FPT and the total change in entropy is determined,…
Many active matter systems, mostly on the microscopic scale, are well approximated as overdamped, meaning that any inertial momentum is immediately dissipated by the environment. On the other hand, especially for macroscopic active systems…
Fractional Brownian motion, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous diffusion. We analyze fractional Brownian motion in the presence of a reflecting wall by means of…
Predicting online video popularity faces a critical challenge: prediction drift, where models trained on historical data rapidly degrade due to evolving viral trends and user behaviors. To address this temporal distribution shift, we…