Related papers: Critical volatility threshold for log-normal to po…
In many physical, social or economical phenomena we observe changes of a studied quantity only in discrete, irregularly distributed points in time. The stochastic process used by physicists to describe this kind of variables is the…
Standard quantitative models of the stock market predict a log-normal distribution for stock returns (Bachelier 1900, Osborne 1959), but it is recognised (Fama 1965) that empirical data, in comparison with a Gaussian, exhibit leptokurtosis…
Financial price changes obey two universal properties: they follow a power law and they tend to be clustered in time. The second regularity, known as volatility clustering, entails some predictability in the price changes: while their sign…
A Galton-Watson branching process with immigration evolving in a random environment is considered. Its associated random walk is assumed to be oscillating. We prove a functional limit theorem in which the process under consideration is…
Fluids cooled to the liquid-vapor critical point develop system-spanning fluctuations in density that transform their visual appearance. Despite the rich phenomenology of this critical point, there is not currently an explanation of the…
This paper concerns a scaling limit of a one-dimensional random walk $S^x_n$ started from $x$ on the integer lattice conditioned to avoid a non-empty finite set $A$, the random walk being assumed to be irreducible and have zero mean.…
In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underlying's return, whereas gradual changes in implied volatility…
The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise…
For a finite graph $G=(V,E)$ let $G^*$ be obtained by considering a random perfect matching of $V$ and adding the corresponding edges to $G$ with weight $\varepsilon$, while assigning weight 1 to the original edges of $G$. We consider…
In many complex systems, for the activity f(i) of the constituents or nodes i, a power-law relationship was discovered between the standard deviation sigma(i) and the average strength of the activity: sigma(i) ~ <f(i)>^alpha; universal…
We derive some key extremal features for $k$th order Markov chains that can be used to understand how the process moves between an extreme state and the body of the process. The chains are studied given that there is an exceedance of a…
In a recent publication [PRL {\bf 81}, 1142 (1998)] it was argued that a randomly forced particle which collides inelastically with a boundary can undergo inelastic collapse and come to rest in a finite time. Here we discuss the survival…
We study branching processes in an i.i.d. random environment, where the associated random walk is of the oscillating type. This class of processes generalizes the classical notion of criticality. The main properties of such branching…
Many-body stochastic processes with weighted multiplicative interactions are investigated analytically and numerically. An interaction rate between particles with quantities $x, y$ is controlled by a homogeneous symmetric kernel $K(x, y)…
We consider a random walk with transition probabilities weakly dependent on an environment with a deterministic, but strongly chaotic, evolution. We prove that for almost all initial conditions of the environment the walk satisfies the CLT.
Complex systems, when poised near a critical point of a phase transition between order and disorder, exhibit a dynamics comprising a scale-free mixture of order and disorder which is universal, i.e. system-independent (1-5). It allows…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
This paper studies a mean-risk portfolio choice problem for log-returns in a continuous-time, complete market. This is a growth-optimal problem with risk control. The risk of log-returns is measured by weighted Value-at-Risk (WVaR), which…
We generalize the original majority-vote model by incorporating an inertia into the microscopic dynamics of the spin flipping, where the spin-flip probability of any individual depends not only on the states of its neighbors, but also on…
We study a simple run-and-tumble random walk whose switching frequency from run mode to tumble mode and the reverse depend on a stochastic signal. We consider a particularly sharp, step-like dependence, where the run to tumble switching…