Related papers: Discrete $q$-exponential limit order cancellation …
We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in the definition of relative price. The order placement process…
The efficient modeling for disorder in a phenomena depends on the chosen score and objective functions. The main parameters in modeling are location, scale and shape. The exponential power distribution known as generalized Gaussian is…
This paper studies forecasting of the future distribution of events in human action sequences, a task essential in domains like retail, finance, healthcare, and recommendation systems where the precise temporal order is often less critical…
Self-organized criticality has been claimed to play an important role in many natural and social systems. In the present work we empirically investigate the relevance of this theory to stock-market dynamics. Avalanches in stock-market…
We address the problem of long-range memory in the financial markets. There are two conceptually different ways to reproduce power-law decay of auto-correlation function: using fractional Brownian motion as well as non-linear stochastic…
This paper introduces and analyzes an improved Q-learning algorithm for discrete-time linear time-invariant systems. The proposed method does not require any knowledge of the system dynamics, and it enjoys significant efficiency advantages…
Power-law distributions are typical macroscopic features occurring in almost all complex systems observable in nature. As a result, researchers in quantitative analyses must often generate random synthetic variates obeying power-law…
This paper studies the problem of verifying dissipativity of linear time-invariant (LTI) systems using input-output data. We leverage behavioral systems theory to express dissipativity in terms of quadratic difference forms (QDFs), allowing…
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask…
The Barab\'asi's priority queuing model [A.-L. Barab\'asi, Nature \textbf{435}, 207 (2005)] and its variants have been extensively studied to understand heavy-tailed distributions of the inter-event times and the response times observed in…
Recent empirical studies have demonstrated long-memory in the signs of orders to buy or sell in financial markets [2, 19]. We show how this can be caused by delays in market clearing. Under the common practice of order splitting, large…
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to…
We propose a parametric model for the simulation of limit order books. We assume that limit orders, market orders and cancellations are submitted according to point processes with state-dependent intensities. We propose new functional forms…
Power-law distributions are essential in computational and statistical investigations of extreme events and complex systems. The usual technique to generate power-law distributed data is to first infer the scale exponent $\alpha$ using the…
Over the last few decades power law distributions have been suggested as forming generative mechanisms in a variety of disparate fields, such as, astrophysics, criminology and database curation. However, fitting these heavy tailed…
Many human-related activities show power-law decaying interevent time distribution with exponents usually varying between 1 and 2. We study a simple task-queuing model, which produces bursty time series due to the nontrivial dynamics of the…
Temporal data distribution shift is prevalent in the financial text. How can a financial sentiment analysis system be trained in a volatile market environment that can accurately infer sentiment and be robust to temporal data distribution…
Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit time…
We calculate reduced moments $\overline \xi_q$ of the matter density fluctuations, up to order $q=5$, from counts in cells produced by Particle--Mesh numerical simulations with scale--free Gaussian initial conditions. We use power--law…
In this paper we propose a new lifetime model, called the odd generalized exponential linear failure rate distribution. Some statistical properties of the proposed distribution such as the moments, the quantiles, the median, and the mode…