Related papers: Multifractal fluctuations in finance
In this paper an arbitrage strategy is constructed for the modified Black-Scholes model driven by fractional Brownian motion or by a time changed fractional Brownian motion, when the volatility is stochastic. This latter property allows the…
We propose a model of fractal point process driven by the nonlinear stochastic differential equation. The model is adjusted to the empirical data of trading activity in financial markets. This reproduces the probability distribution…
Stock markets can become inefficient due to calendar anomalies known as day-of-the-week effect. Calendar anomalies are well-known in financial literature, but the phenomena remain to be explored in econophysics. In this paper we use…
Fluctuations in the return time statistics of a dynamical system can be described by a new spectrum of dimensions. Comparison with the usual multifractal analysis of measures is presented, and difference between the two corresponding sets…
A microscopic model is established for financial Brownian motion from the direct observation of the dynamics of high-frequency traders (HFTs) in a foreign exchange market. Furthermore, a theoretical framework parallel to molecular kinetic…
This paper reviews and extends some recent results on the multivariate fractional Brownian motion (mfBm) and its increment process. A characterization of the mfBm through its covariance function is obtained. Similarly, the correlation and…
In setting up a stochastic description of the time evolution of a financial index, the challenge consists in devising a model compatible with all stylized facts emerging from the analysis of financial time series and providing a reliable…
Spurred by theoretical predictions from Spohn and coworkers [Phys. Rev. E {\bf 69}, 035102(R) (2004)], we rederived and extended their result heuristically as well as investigated the scaling properties of the associated Langevin equation…
A multifractal-like representation for multi-time multi-scale velocity correlation in turbulence and dynamical turbulent models is proposed. The importance of subleading contributions to time correlations is highlighted. The fulfillment of…
The phenomenology of the scaling behavior of higher order structure functions of velocity differences across a scale $R$ in turbulence should be built around the irreducible representations of the rotation symmetry group. Every irreducible…
We perform a multifractal detrended fluctuation analysis of the magnetoconductance data of two standard types of mesoscopic systems: a disordered nanowire and a ballistic chaotic billiard, with two different lattice structures. We observe…
This work defines two classes of processes, that we term {\it tempered fractional multistable motion} and {\it tempered multifractional stable motion}. They are extensions of fractional multistable motion and multifractional stable motion,…
We describe a simple and accurate framework for modeling the statistical behavior of both fully developed turbulence and short-term dynamics of financial markets based on the formalism of Tsallis' generalized non-extensive thermostatistics.…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
We study the Euler equations describing the motion of an incompressible fluid on the cubic torus with real initial data. We construct solutions on the Fourier side which display a sudden loss of regularity within finite time even for highly…
Following a Geometrical Brownian Motion extension into an Irrational Fractional Brownian Motion model, we re-examine agent behaviour reacting to time dependent news on the log-returns thereby modifying a financial market evolution. We…
We introduce a multivariate stochastic volatility model for asset returns that imposes no restrictions to the structure of the volatility matrix and treats all its elements as functions of latent stochastic processes. When the number of…
Stochastic growth processes give rise to diverse intricate structures everywhere and across all scales in nature. Despite the seemingly unrelated complex phenomena at their origin, the Laplacian growth theory has succeeded in unifying their…
We investigate the scaling properties of the interface fluctuation width for the $Q$-mer and $Q$-particle-correlated deposition-evaporation models. These models are constrained with a global conservation law that the particle number at each…
In this paper we study the dynamics of stochastic microorganism flocculation models. Given the strong influence of environmental and seasonal fluctuations that are present in these models, we propose a stochastic model that includes…