Related papers: The Epps effect under alternative sampling schemes
Fat tails in financial time series and increase of stocks cross-correlations in high volatility periods are puzzling facts that ask for new paradigms. Both points are of key importance in fundamental research as well as in Risk Management…
The concept of entropy in nonequilibrium macroscopic systems is investigated in the light of an extended equation of motion for the density matrix obtained in a previous study. It is found that a time-dependent information entropy can be…
Time series models are ubiquitous in science, arising in any situation where researchers seek to understand how a system's behaviour changes over time. A key problem in time series modelling is \emph{inference}; determining properties of…
Financial transactions constitute connections between entities and through these connections a large scale heterogeneous weighted graph is formulated. In this labyrinth of interactions that are continuously updated, there exists a variety…
Different methods are used to determine the scaling exponents associated with a time series describing a complex dynamical process, such as those observed in geophysical systems. Many of these methods are based on the numerical evaluation…
An agent-based computational economical toy model for the emergence of money from the initial barter trading, inspired by Menger's postulate that money can spontaneously emerge in a commodity exchange economy, is extensively studied. The…
This paper introduces a generalised version of importance subsampling for time series reduction/aggregation in optimisation-based power system planning models. Recent studies indicate that reliably determining optimal electricity…
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The paper [12] examines a concept of equilibrium policies instead of optimal controls in stochastic optimization to analyze a mean-variance portfolio selection problem. We follow the same approach in order to investigate the Merton…
A person's decision to adopt an idea or product is often driven by the decisions of peers, mediated through a network of social ties. A common way of modeling adoption dynamics is to use threshold models, where a node may become an adopter…
The effects of saving and spending patterns on holding time distribution of money are investigated based on the ideal gas-like models. We show the steady-state distribution obeys an exponential law when the saving factor is set uniformly,…
Both inflation and unemployment inflict social losses. When a tradeoff exists between the two, what would be the best combination of inflation and unemployment? A well known approach in economics to address this question consists to write…
This article is a presentation of specific recent results describing scaling limits of individual-based models. Thanks to them, we wish to relate the time-scales typical of demographic dynamics and natural selection to the parameters of the…
In many situations, the measurements of a studied phenomenon are provided sequentially, and the prediction of its class needs to be made as early as possible so as not to incur too high a time penalty, but not too early and risk paying the…
Symbolic transfer entropy is a powerful non-parametric tool to detect lead-lag between time series. Because a closed expression of the distribution of Transfer Entropy is not known for finite-size samples, statistical testing is often…
Econophysics and econometrics agree that there is a correlation between volume and volatility in a time series. Using empirical data and their distributions, we further investigate this correlation and discover new ways that volatility and…
We study the dynamics of correlation and variance in systems under the load of environmental factors. A universal effect in ensembles of similar systems under the load of similar factors is described: in crisis, typically, even before…
Here, we propose a new tool to estimate the complexity of a time series: the entropy of difference (ED). The method is based solely on the sign of the difference between neighboring values in a time series. This makes it possible to…
A few characteristic exponents describing power law behaviors of roughness, coherence and persistence in stochastic time series are compared to each other. Relevant techniques for analyzing such time series are recalled in order to…
We compare the Malliavin-Mancino and Cuchiero-Teichmann Fourier instantaneous estimators to investigate the impact of the Epps effect arising from asynchrony in the instantaneous estimates. We demonstrate the instantaneous Epps effect under…