Related papers: Modelling share volume traded in financial markets
We investigate consecutive absorption or emission of photons of the quantum mechanical harmonic oscillator as a possible source of 1/f fluctuations. Separating the absorption and emission process, we show that consecutively absorbed or…
The 1/f-noise is considered which has no relation to long-lasting processes but originates from the same dynamical mechanisms as what are responsible for the loss of memory, fast relaxation and usual shot noise. The universal long-range…
Security of oscillatory true random number generators remains not fully understood due to insufficient understanding of complex $1/f^\alpha$ phase noise. To bridge this gap, we introduce fractional Brownian motion as a comprehensive…
We investigate the generation of quantum operations for one-qubit systems under classical noise with 1/f^\alpha power spectrum, where 2>\alpha > 0. We present an efficient way to approximate the noise with a discrete multi-state Markovian…
Starting from the developed generalized point process model of $1/f$ noise (B. Kaulakys et al, Phys. Rev. E 71 (2005) 051105; cond-mat/0504025) we derive the nonlinear stochastic differential equations for the signal exhibiting 1/f^{\beta}$…
Nonlinear stochastic differential equations generating signals with 1/f spectrum have been used so far to describe socio-economical systems. In this paper we consider the motion of a Brownian particle in an inhomogeneous environment such…
Modeling financial data often relies on assumptions that may prove insufficient or unrealistic in practice. The Geometric Brownian Motion (GBM) model is frequently employed to represent stock price processes. This study investigates whether…
The present paper describes a practical example in which the probability distribution of the prices of a stock market blue chip is calculated as the wave function of a quantum particle confined in a potential well. This model may naturally…
A simple quantum model explains the Levy-unstable distributions for individual stock returns observed by ref.[1]. The probability density function of the returns is written as the squared modulus of an amplitude. For short time intervals…
In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted indexed…
We demonstrate that human electrophysiological recordings of the local field potential (LFP) from intracranial electrodes, acquired from a variety of cerebral regions, show a ubiquitous $1/f^2$ scaling within the power spectrum. We develop…
Internal mechanism leading to the emergence of the widely occurring 1/f noise still remains an open issue. In this paper we investigate the distinction between internal time of the system and the physical time as a source of 1/f noise.…
This manuscript reports a stochastic dynamical scenario whose associated stationary probability density function is exactly a previously proposed one to adjust high-frequency traded volume distributions. This dynamical conjecture,…
In this paper it is demonstrated that 1/f power spectrum appears in the process originated by the superposition of many single-sided random telegraph signals (RTS or RTN) with the same amplitude, probability and relaxation time. Indeed, the…
Over the past two decades, some scholars have noticed the correlation between quantum mechanics and finance/economy, making some novel attempts to introduce the theoretical framework of quantum mechanics into financial and economic…
$1/f^\alpha$ noises are ubiquitous and affect many measurements. These noises are both a nuisance and a peculiarity of several physical systems; in dielectrics, glasses and networked liquids it is very common to study this noise to gather…
The spectral statistic $\delta_n$ measures the fluctuations of the number of energy levels around its mean value. It has been shown that chaotic quantum systems display $1/f$ noise (pink noise) in the power spectrum $S(f)$ of the $\delta_n$…
Probability distributions which emerge from the formalism of nonextensive statistical mechanics have been applied to a variety of problems. In this paper we unite modeling of such distributions with the model of widespread 1/f noise. We…
The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appears to be rough, that is, best captured by a continuous-time…
Noise of stochastic processes whose power spectrum scales at low frequencies, $f$, as $1/f$ appears in such diverse systems that it is considered universal. However, there have been a small number of instances from completely unrelated…