Related papers: Critical volatility threshold for log-normal to po…
A catalytic branching random walk on a multidimensional lattice, with arbitrary finite number of catalysts, is studied in supercritical regime. The dynamics of spatial spread of the particles population is examined, upon normalization. The…
First, we give an asymptotic expansion of short-dated at-the-money implied volatility that refines the preceding works and proves in particular that non-rough volatility models are inconsistent to a power law of volatility skew. Second, we…
Power-law tails are ubiquitous in income distributions and in the energy distributions of diluted relativistic gases. We analyze the conceptual link between these two cases. In economic interactions fat tails arise because the richest…
We study a continuous time branching process where an individual splits into two daughters with rate b and dies with rate a, starting from a single individual at t=0. We show that the model can be mapped exactly to a random walk problem…
Information processing in complex systems is often found to be maximally efficient close to critical states associated with phase transitions. It is therefore conceivable that also neural information processing operates close to…
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…
Symmetric heavily tailed random walks on $Z^d, d\geq 1,$ are considered. Under appropriate regularity conditions on the tails of the jump distributions, global (i.e., uniform in $x,t, |x|+t\to\infty,$) asymptotic behavior of the transition…
Recent progress in the study of the contact process [2] has verified that the extinction-survival threshold $\lambda_1$ on a Galton-Watson tree is strictly positive if and only if the offspring distribution $\xi$ has an exponential tail. In…
We confirm and substantially extend the recent empirical result of Andersen et al. \cite{Andersen2015}, where it is shown that the amount of risk $W$ exchanged in the E-mini S\&P futures market (i.e. price times volume times volatility)…
The probability distribution P(k) of the sizes k of critical trees (branching ratio m=1) is well known to show a power-law behavior k^(-3/2). Such behavior corresponds to the mean-field approximation for many critical and self-organized…
A methodology is developed to identify, as units of study, each decrease in the value of a stock from a given maximum price level. A critical level in the amount of price declines is found to separate a segment operating under a random walk…
We analyze the dynamics of random walks in which the jumping probabilities are periodic {\it time-dependent} functions. In particular, we determine the survival probability of biased walkers who are drifted towards an absorbing boundary.…
We study the contact process on a class of evolving scale-free networks, where each node updates its connections at independent random times. We give a rigorous mathematical proof that there is a transition between a phase where for all…
Kauffman net is a dynamical system of logical variables receiving two random inputs and each randomly assigned a boolean function. We show that the attractor and transient lengths exhibit scaleless behavior with power-law distributions over…
In this work we afford the statistical characterization of a linear Stochastic Volatility Model featuring Inverse Gamma stationary distribution for the instantaneous volatility. We detail the derivation of the moments of the return…
We study Hopfield networks with non-reciprocal coupling inducing switches between memory patterns. Dynamical phase transitions occur between phases of no memory retrieval, retrieval of multiple point-attractors, and limit-cycle attractors.…
We study a random walk on $\mathbb{Z}$ which evolves in a dynamic environment determined by its own trajectory. Sites flip back and forth between two modes, $p$ and $q$. $R$ consecutive right jumps from a site in the $q$-mode are required…
In this paper we propose a novel pricing-hedging framework for volatility derivatives which simultaneously takes into account rough volatility and volatility jumps. Our model directly targets the instantaneous variance of a risky asset and…
Scale-invariant avalanches -- with events of all sizes following power-law distributions -- are considered critical. Above the upper critical dimension of four, the mean-field solution with a robust $3/2$ size exponent describes the…
In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the…