Related papers: Discrete $q$-exponential limit order cancellation …
The rate equation for an arbitrary mth order growth or decay reaction can be expressed in terms of the q-exponential function, with q equal to m. The analysis suggests that a wide variety of reaction rate (kinetic) processes and models, in…
We propose an unsupervised anomaly detection approach based on a physics-informed diffusion model for multivariate time series data. Over the past years, diffusion model has demonstrated its effectiveness in forecasting, imputation,…
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling…
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics offers models of markets as complex systems, that try to comprehend macro-, system-wide states of the economy from the…
Using simple particle models of limit order markets, we argue that mid-term over-diffusive price behaviour is inherent to the very nature of these markets. Several rules for rate changes are considered. We obtain analytical results for…
We empirically study the activity patterns of individual blog-posting and find significant memory effects. The memory coefficient first decays in a power law and then turns to an exponential form. Moreover, the inter-event time distribution…
The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole…
A large consensus now seems to take for granted that the distributions of empirical returns of financial time series are regularly varying, with a tail exponent close to 3. We revisit this results and use standard tests as well as develop a…
Modeling distributions of citations to scientific papers is crucial for understanding how science develops. However, there is a considerable empirical controversy on which statistical model fits the citation distributions best. This paper…
The estimation of uncertainties associated with predictions from quantitative structure-activity relationship (QSAR) models can accelerate the drug discovery process by identifying promising experiments and allowing an efficient allocation…
Students have a limited time to study and are typically ineffective at allocating study time. Machine-directed study strategies that identify which items need reinforcement and dictate the spacing of repetition have been shown to help…
Power-law distributions are widely recognized in complex systems physics as indicative of underlying complexity in interaction networks and critical macroscopic behavior. Previous studies, notably those of Newman and others, have emphasized…
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
We present a new framework for modeling the statistical behavior of both fully developed turbulence and short-term dynamics of financial markets based on the nonextensive thermostatistics proposed by Tsallis. We also show that intermittency…
Offline reinforcement learning seeks to derive improved policies entirely from historical data but often struggles with over-optimistic value estimates for out-of-distribution (OOD) actions. This issue is typically mitigated via policy…
We study time series concerning rare events. The occurrence of a rare event is depicted as a jump of constant intensity always occurring in the same direction, thereby generating an asymmetric diffusion process. We consider the case where…
More than one billion data sampled with different frequencies from several financial instruments were investigated with the aim of testing whether they involve power law. As a result, a known power law with the power exponent around -4 was…
We present a model of financial markets originally proposed for a turbulent flow, as a dynamic basis of its intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential,…
We propose a model in which dividend payments occur at regular, deterministic intervals in an otherwise continuous model. This contrasts traditional models where either the payment of continuous dividends is controlled or the dynamics are…
We establish an analogy between the motion of spring whose mass increases linearly with time and volatile stock markets dynamics within an economic model based on simple temporal demand and supply functions [J. Phys. A: Math. Gen. 33, 3637…