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We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two…
In the present work we investigate the multiscale nature of the correlations for high frequency data (1 minute) in different futures markets over a period of two years, starting on the 1st of January 2003 and ending on the 31st of December…
Recently it has been shown that when an equation that allows so-called pulled fronts in the mean-field limit is modelled with a stochastic model with a finite number $N$ of particles per correlation volume, the convergence to the speed…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
A theoretical analysis of the effect of force and torque on spontaneously twisted, fluctuating elastic ribbons is presented. We find that when a filament with a straight center line and a spontaneously twisted noncircular cross section is…
Prepayment risk embedded in fixed-rate mortgages forms a significant fraction of a financial institution's exposure, and it receives particular attention because of the magnitude of the underlying market. The embedded prepayment option…
We develop a general term structure framework taking stochastic discontinuities explicitly into account. Stochastic discontinuities are a key feature in interest rate markets, as for example the jumps of the term structures in…
We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process and a stochastic conditional return which reflects nonlinear positive feedbacks and continuous updates of the investors'…
The describing function (DF) and phase response curve (PRC) are classical tools for the analysis of feedback oscillations and rhythmic behaviors, widely used across control engineering, biology, and neuroscience. These tools are known to…
In this paper, we present own point of view how the unexpected fluctuations of the long-term real interest rate can be explained. We describe a macroeconomic environment by the modification of the fundamental macroeconomic equilibrium model…
The relation between time series irreversibility and entropy production has been recently investigated in thermodynamic systems operating away from equilibrium. In this work we explore this concept in the context of financial time series.…
This study investigates that a characteristic time scale on an exchange rate market (USD/JPY) is examined for the period of 1998 to 2000. Calculating power spectrum densities for the number of tick quotes per minute and averaging them over…
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with different underlying rate…
We study a possible origin of the anomalous suppression of the power spectrum at large angular scales in the cosmic microwave background within the framework of explicit string inflationary models where inflation is driven by a closed…
We introduce the self-excited multifractal (SEMF) model, defined such that the amplitudes of the increments of the process are expressed as exponentials of a long memory of past increments. The principal novel feature of the model lies in…
A new microscopic derivation of the elastic constants of amorphous solids is presented within the framework of nonaffine lattice dynamics, which makes use of a perturbative form of the low-frequency eigenvectors of the dynamical matrix…
We analyse the temporal changes in the cross correlations of returns on the New York Stock Exchange. We show that lead-lag relationships between daily returns of stocks vanished in less than twenty years. We have found that even for high…
I have analyzed the practicality of the Evans Rule in the state based forward guidance and possible ways to reform it. I examined the biases, measurement errors, and other limitations extant in the unemployment and the inflation rate in the…
This paper estimates models of high frequency index futures returns using `around the clock' 5-minute returns that incorporate the following key features: multiple persistent stochastic volatility factors, jumps in prices and volatilities,…
In economic studies and popular media, interest rates are routinely cited as a major factor behind commodity price fluctuations. At the same time, the transmission channels are far from transparent, leading to long-running debates on the…