Related papers: The Epps effect under alternative sampling schemes
Thermal or finite-size scaling analyses of importance sampling Monte Carlo time series in the vicinity of phase transition points often combine different estimates for the same quantity, such as a critical exponent, with the intent to…
An efficient approach to the calculation of the $\epsilon$-entropy is proposed. The method is based on the idea of looking at the information content of a string of data, by analyzing the signal only at the instants when the fluctuations…
The emergence and impact of tipping points have garnered significant interest in both the social and natural sciences. Despite widespread recognition of the importance of feedbacks between human and natural systems, it is often assumed that…
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the S&P 500 and the Dow Jones Euro Stoxx 50…
A possible mechanism of time is formulated by developing an idea of time replaced by quantum correlations, with the aid of modern quantum information theory. We invent a microscopic model, where correlations of a closed system are steadily…
Stochastic biochemical and transport processes have various final outcomes, and they can be viewed as dynamic systems with multiple exits. Many current theoretical studies, however, typically consider only a single time scale for each…
Here, we analyse the behaviour of the higher order standardised moments of financial time series when we truncate a large data set into smaller and smaller subsets, referred to below as time windows. We look at the effect of the economic…
There is a random variable (X) with a determined outcome (i.e., X = x0), p(x0) = 1. Consider x0 to have a discrete uniform distribution over the integer interval [1, s], where the size of the sample space (s) = 1, in the initial state, such…
Fluctuations in stock prices are influenced by a complex interplay of factors that go beyond mere historical data. These factors, themselves influenced by external forces, encompass inter-stock dynamics, broader economic factors, various…
The time series theory is set in this work under the domain of general elliptically contoured distributions. The advent of a time series approach that is in accordance with the expected reality of dependence between errors, transfers the…
We study the problem of the intraday short-term volume forecasting in cryptocurrency exchange markets. The predictions are built by using transaction and order book data from different markets where the exchange takes place.…
The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability…
In this paper we study the asymptotic theory for samples problem based on the functional empirical process (fep), this new method is called general samples problem. We suggest this method to develop the full theory of estimation of means,…
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are considered and capital requirements can be…
Continuous-time event sequences play a vital role in real-world domains such as healthcare, finance, online shopping, social networks, and so on. To model such data, temporal point processes (TPPs) have emerged as the most natural and…
Intertemporal decision making involves choices among options whose effects occur at different moments. These choices are influenced not only by the effect of rewards value perception at different moments, but also by the time perception…
Fluctuation scaling is observed phenomenon from complex networks through finance to ecology. It means that the variance and the mean of a specific quantity are related as $\ev{\sigma^2|n}\propto \ev{n|A}^{2\alpha}$ with $1/2\geq \alpha \geq…
Short-term patterns in financial time series form the cornerstone of many algorithmic trading strategies, yet extracting these patterns reliably from noisy market data remains a formidable challenge. In this paper, we propose an…
X-ray photon correlation spectroscopy (XPCS) is a powerful tool for the investigation of dynamics covering a broad range of time and length scales. The two-time correlation function (TTC) is commonly used to track non-equilibrium dynamical…
Time series models, typically trained on numerical data, are designed to forecast future values. These models often rely on weighted averaging techniques over time intervals. However, real-world time series data is seldom isolated and is…