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Task completion in digital and physical environments increasingly involves complex temporal interaction, where actions and observations unfold over different time scales rather than align with fixed observation--action steps. To model such…
In time-series analysis, the term "lead-lag effect" is used to describe a delayed effect on a given time series caused by another time series. lead-lag effects are ubiquitous in practice and are specifically critical in formulating…
Targeting a better understanding of credit market dynamics, the authors have studied a stochastic model named the Hawkes process. Describing trades arrival times, this kind of model allows for the capture of self-excitement and mutual…
We present a simple microstructure model of financial returns that combines (i) the well-known ARFIMA process applied to tick-by-tick returns, (ii) the bid-ask bounce effect, (iii) the fat tail structure of the distribution of returns and…
It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained within a simple non-Gaussian one-factor description with time…
A great variety of complex systems ranging from user interactions in communication networks to transactions in financial markets can be modeled as temporal graphs, which consist of a set of vertices and a series of timestamped and directed…
We start with the idea that open quantum systems can be used to represent financial markets by modelling events from the external environment and their impact on the market price. We show how to characterize distinct orbits of the time…
When following a sequence - such as reading a text or tracking a user's activity - one can measure how the "dictionary" of distinct elements (types) grows with the number of observations (tokens). When this growth follows a power law, it is…
We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming two triangles: EUR-GBP-USD and GBP-CHF-JPY. It is shown that…
The analysis of temporal networks heavily depends on the analysis of time-respecting paths. However, before being able to model and analyze the time-respecting paths, we have to infer the timescales at which the temporal edges influence…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
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…
Finding interdependency relations between (possibly multivariate) time series provides valuable knowledge about the processes that generate the signals. Information theory sets a natural framework for non-parametric measures of several…
Studies accumulate over time and meta-analyses are mainly retrospective. These two characteristics introduce dependencies between the analysis time, at which a series of studies is up for meta-analysis, and results within the series.…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
Linear dynamical relations that may exist in continuous-time, or at some natural sampling rate, are not directly discernable at reduced observational sampling rates. Indeed, at reduced rates, matricial spectral densities of vectorial time…
Species interactions (ranging from direct predator prey relationships to indirect effects mediated by the environment) are central to ecosystem balance and biodiversity. While empirical methods for measuring these interactions exist, their…
Temporal networks have been increasingly used to model a diversity of systems that evolve in time; for example human contact structures over which dynamic processes such as epidemics take place. A fundamental aspect of real-life networks is…
Intrinsic time is an example of an event-based conception of time, used to analyze financial time series. Here, for the first time, we reveal the connection between intrinsic time and physical time. In detail, we present an analytic…
We analyse the temporal changes in the cross correlations of returns on the New York Stock Exchange. We show that lead-lag relationships between daily returns of stocks vanished in less than twenty years. We have found that even for high…