Related papers: Strikingly Suspicious Overnight and Intraday Retur…
Price fluctuations in financial markets can be characterized by L\'evy's stable distribution, which is supported by the generalized central limit system. When the stable parameters were estimated from four different stock markets in long…
Directional-change Intrinsic Time analysis has long revealed scaling laws in market microstructure, but the origin of their stability remains elusive. This article presents evidence that Intrinsic Time can be modeled as a memoryless…
In recent publications, the authors have considered inverse statistics of the Dow Jones Industrial Averaged (DJIA) [1-3]. Specifically, we argued that the natural candidate for such statistics is the investment horizons distribution. This…
The primes or prime polynomials (over finite fields) are supposed to be distributed `irregularly' , despite nice asymptotic or average behavior. We provide some conjectures/guesses/hypotheses with `evidence' of surprising symmetries in…
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market…
The aim of this paper is to propose a heterogeneous agent model of stock markets that develop complicated endogenous price fluctuations. We find occurrences of non-stationary chaos, or speculative bubble, are caused by the heterogeneity of…
The nature of gravitational singularities, long mysterious, has now become clear through a combination of mathematical and numerical analysis. As the singularity is approached, the time derivative terms in the field equations dominate, and…
Recent cosmological observations strongly suggest that the universe is dominated by an unknown form of energy with negative pressure. Why is this dark energy density of order the critical density today? We propose that the dark energy has…
In this note we present a characterisation of all unary and binary patterns that do not only contain variables, but also reversals of their instances. These types of variables were studied recently in either more general or particular…
Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has always presented challenging issues and provided interesting…
The study of heavy-tailed distributions in economic and financial systems has been widely addressed since financial time series has become a research subject.After the eighties, several "highly improbable" market drops were observed (e.g.…
The nature of Dark Energy is still very much a mystery, and the combination of a variety of experimental tests, sensitive to different potential Dark Energy properties, will help elucidate its origins. This white paper briefly surveys the…
Evaluating a neural network on an input that differs markedly from the training data might cause erratic and flawed predictions. We study a method that judges the unusualness of an input by evaluating its informative content compared to the…
In the past two decades, most research on anomaly detection has focused on improving the accuracy of the detection, while largely ignoring the explainability of the corresponding methods and thus leaving the explanation of outcomes to…
Metastability is a phenomenon observed in stochastic systems which stay in a false-equilibrium within a region of its state space until the occurrence of a sequence of rare events that leads to an abrupt transition to a different region.…
As is widely known, the stock market is a complex system in which a multitude of factors influence the performance of individual stocks and the market as a whole. One method for comprehending -- and potentially predicting -- stock market…
This paper investigates the dynamics of in the S&P500 index from daily returns for the last 30 years. Using a stochastic geometry technique, each S&P500 yearly batch of data is embedded in a subspace that can be accurately described by a…
We propose a non linear Langevin equation as a model for stock market fluctuations and crashes. This equation is based on an identification of the different processes influencing the demand and supply, and their mathematical transcription.…
The internet has changed the way we live, work and take decisions. As it is the major modern resource for research, detailed data on internet usage exhibits vast amounts of behavioral information. This paper aims to answer the question…
We investigate quantitatively the so-called leverage effect, which corresponds to a negative correlation between past returns and future volatility. For individual stocks, this correlation is moderate and decays exponentially over 50 days,…