Related papers: The Epps effect under alternative sampling schemes

Correlation coefficients play a pivotal role in quantifying linear relationships between random variables. Yet, their application to time series data is very challenging due to temporal dependencies. This paper introduces a novel approach…

The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over $2\%$, and it is the result of the non-Pearson type auto-correlations in the index. These non-Pearson type…

Molecular simulations are playing an ever increasing role, finding applications in fields as varied as physics, chemistry, biology and material science. However, many phenomena of interest take place on time scales that are out of reach of…

Complex systems are often characterized by the interplay of multiple interconnected dynamical processes operating across a range of temporal scales. This phenomenon is widespread in both biological and artificial scenarios, making it…

We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were considered in the analysis of Korean, the Japanese, the Taiwanese,…

The Einstein Equivalence Principle (EEP) carries a pivotal role in understanding theory of gravity and spacetime. It guarantees the gravity to be understood as geometric phenomenon. Considering gravitational coupling of matter in the…

We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times…

Extreme value analysis is an essential methodology in the study of rare and extreme events, which hold significant interest in various fields, particularly in the context of environmental sciences. Models that employ the exceedances of…

Time-reversal symmetry breaking and entropy production are universal features of nonequilibrium phenomena. Despite its importance in the physics of active and living systems, the entropy production of systems with many degrees of freedom…

Decision making is the cognitive process of selecting a course of action among multiple alternatives. As the decision maker belongs to a complex microenvironment (which contains multiple decision makers), has to make a decision where…

Binomial tree methods (BTM) and explicit difference schemes (EDS) for the variational inequality model of American options with time dependent coefficients are studied. When volatility is time dependent, it is not reasonable to assume that…

For an expansionary process, the size of the expansion space will increase. If the expansionary process is time-dependent, time (t) will increase as a function of the increase in the size of the expansion space. A statistical information…

The correlation matrix is the key element in optimal portfolio allocation and risk management. In particular, the eigenvectors of the correlation matrix corresponding to large eigenvalues can be used to identify the market mode, sectors and…

Precise understanding of the dynamics of trapped particles is crucial for nascent quantum technologies, including atomic clocks and quantum simulators. Here we present a framework to systematically include quantum effects arising from the…

This paper derives the expressions of correlations between prices of two assets, returns of two assets, and price-return correlations of two assets that depend on statistical moments and correlations of the current values, past values, and…

To study population dynamics, ecologists and wildlife biologists use relative abundance data, which are often subject to temporal preferential sampling. Temporal preferential sampling occurs when sampling effort varies across time. To…

Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…

Many applications require the collection of data on different variables or measurements over many system performance metrics. We term those broadly as measures or variables. Often data collection along each measure incurs a cost, thus it is…

Several studies demonstrate that there are critical differences between real wireless networks and simulation models. This finding has permitted to extract spatial and temporal properties for links and to provide efficient methods as biased…

Temporal point processes are powerful generative models for event sequences that capture complex dependencies in time-series data. They are commonly specified using autoregressive models that learn the distribution of the next event from…