Related papers: The Epps effect under alternative sampling schemes
Graph based entropy, an index of the diversity of events in their distribution to parts of a co-occurrence graph, is proposed for detecting signs of structural changes in the data that are informative in explaining latent dynamics of…
Different investment strategies are adopted in short-term and long-term depending on the time scales, even though time scales are adhoc in nature. Empirical mode decomposition based Hurst exponent analysis and variance technique have been…
The decision process requires information about the present state of the system, but in economy acquiring data and processing them is an expensive and time consuming process. Therefore the state of the system is measured and announced at…
This chapter first presents a rather personal view of some different aspects of predictability, going in crescendo from simple linear systems to high-dimensional nonlinear systems with stochastic forcing, which exhibit emergent properties…
The estimation of dependencies between multiple variables is a central problem in the analysis of financial time series. A common approach is to express these dependencies in terms of a copula function. Typically the copula function is…
Probability proportional to size (PPS) sampling schemes with a target sample size aim to produce a sample comprising a specified number $n$ of items while ensuring that each item in the population appears in the sample with a probability…
We demonstrate that the lowest possible price change (tick-size) has a large impact on the structure of financial return distributions. It induces a microstructure as well as it can alter the tail behavior. On small return intervals, the…
Many diverse phenomena in nature often inherently encode both short- and long-term temporal dependencies, which especially result from the direction of the flow of time. In this respect, we discovered experimental evidence suggesting that…
The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise…
We demonstrated the analogy between Economics and Gauge Theory of Plasticity and used it to describe the relationship between money supply and inflation at the economic market. The received equations of economical dynamics in phase space…
Entropy plays a key role in statistical physics of complex systems, which in general exhibit diverse aspects of emergence on different scales. However, it still remains not fully resolved how entropy varies with the coarse-graining level…
Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…
We present a comprehensive investigation of $\epsilon$-entropy, $h(\epsilon)$, in dynamical systems, stochastic processes and turbulence. Particular emphasis is devoted on a recently proposed approach to the calculation of the…
Organisms and ecological groups accumulate evidence to make decisions. Classic experiments and theoretical studies have explored this process when the correct choice is fixed during each trial. However, we live in a constantly changing…
Sudden and abrupt changes can occur in a nonlinear system within many fields of science when such a system crosses a tipping point and rapid changes of the system occur in response to slow changes in an external forcing. These can occur…
Natural ecosystems are characterized by striking diversity of form and functions and yet exhibit deep symmetries emerging across scales of space, time and organizational complexity. Species-area relationships and species-abundance…
The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up-down asymmetry, which, surprisingly, is not observed for the individual stocks composing that index. To explain this,…
An understanding of the economic landscape in a world of ever increasing data necessitates representations of data that can inform policy, deepen understanding and guide future research. Topological Data Analysis offers a set of tools which…
Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average <f(i)>: sigma(i) ~ f(i)^alpha, with a strong time scale dependence alpha(dt). The…
Spatio-temporal Hawkes point processes are a particularly interesting class of stochastic point processes for modeling self-exciting behavior, in which the occurrence of one event increases the probability of other events occurring. These…