Related papers: The $\kappa$-generalised Distribution for Stock Re…
Empirical evidence suggests that heavy-tailed degree distributions occurring in many real networks are well-approximated by power laws with exponents $\eta$ that may take values either less than and greater than two. Models based on various…
We compute the analytic expression of the probability distributions F{FTSE100,+} and F{FTSE100,-} of the normalized positive and negative FTSE100 (UK) index daily returns r(t). Furthermore, we define the alpha re-scaled FTSE100 daily index…
We introduce the forcing property of descending distributivity. A forcing $\mathbb{P}$ is $\kappa$-descending distributive if for all decreasing sequences $(D_\alpha)_{\alpha<\kappa}$ of open dense sets, $\bigcap_\alpha D_\alpha$ is open…
The analysis of logarithmic return distributions defined over large time scales is crucial for understanding the long-term dynamics of asset price movements. For large time scales of the order of two trading years, the anticipated Gaussian…
We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of 23 stocks traded in the Chinese stock market in 2003. We…
Zipf's power-law distribution is a generic empirical statistical regularity found in many complex systems. However, rather than universality with a single power-law exponent (equal to 1 for Zipf's law), there are many reported deviations…
We study the distribution of partial sums of Rademacher random multiplicative functions $(f(n))_n$ evaluated at polynomial arguments. We show that for a polynomial $P\in \mathbb Z[x]$ that is a product of at least two distinct linear…
Recently, Verma et al. (2025) introduced a novel generalized class of Kavya-Manoharan distributions, which have demonstrated significant utility in reliability analysis and the modeling of lifetime data. This paper proposes an extension of…
This paper presents a quantitative analysis of the relationship between the stock market returns and corresponding trading volumes using high- frequency data from the Polish stock market. First, for stocks that were traded for suffciently…
The generalized entropic measure, which is optimized by a given arbitrary distribution under the constraints on normalization of the distribution and the finite ordinary expectation value of a physical random quantity, is considered and its…
In this paper, the local asymptotic estimation for the supremum of a random walk and its applications are presented. The summands of the random walk have common long-tailed and generalized strong subexponential distribution. This…
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…
We study a simple model of dynamic networks, characterized by a set preferred degree, $\kappa$. Each node with degree $k$ attempts to maintain its $\kappa$ and will add (cut) a link with probability $w(k;\kappa)$ ($1-w(k;\kappa)$). As a…
Superstatistics describes statistical systems that behave like superpositions of different inverse temperatures $\beta$, so that the probability distribution is $p(\epsilon_i) \propto \int_{0}^{\infty} f(\beta) e^{-\beta \epsilon_i}d\beta$,…
We introduce regenerative tree growth processes as consistent families of random trees with n labelled leaves, n>=1, with a regenerative property at branch points. This framework includes growth processes for exchangeably labelled Markov…
To account quantitatively for many reported ``natural'' fat tail distributions in Nature and Economy, we propose the stretched exponential family as a complement to the often used power law distributions. It has many advantages, among which…
We consider the random reversible Markov kernel K obtained by assigning i.i.d. nonnegative weights to the edges of the complete graph over n vertices and normalizing by the corresponding row sum. The weights are assumed to be in the domain…
We consider a simple model of firm/city/etc. growth based on a multi-item criterion: whenever entity B fares better that entity A on a subset of $M$ items out of $K$, the agent originally in A moves to B. We solve the model analytically in…
The different between the inverse power function and the negative exponential function is significant. The former suggests a complex distribution, while the latter indicates a simple distribution. However, the association of the power-law…
We compare the probability distribution of returns for the three major stock-market indexes (Nasdaq, S&P500, and Dow-Jones) with an analytical formula recently derived by Dragulescu and Yakovenko for the Heston model with stochastic…