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Power laws, that is, power spectral densities (PSDs) exhibiting 1/f^alpha behavior for large frequencies f, have commonly been observed in neural recordings. Power laws in noise spectra have not only been observed in microscopic recordings…
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,…
Empirical contact networks or interaction networks demonstrate peculiar characteristics stemming from the fundamental social, psychological, physical mechanisms governing human interactions. Although these mechanisms are complex, we test…
We introduce a new stochastic model for the variations of asset prices at the tick-by-tick level in dimension 1 (for a single asset) and 2 (for a pair of assets). The construction is based on marked point processes and relies on linear self…
We analyze the power spectral density of a signal composed of nonoverlapping rectangular pulses. First, we derive a general formula for the power spectral density of a signal constructed from the sequence of nonoverlapping pulses. Then we…
More than one billion data sampled with different frequencies from several financial instruments were investigated with the aim of testing whether they involve power law. As a result, a known power law with the power exponent around -4 was…
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…
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…
It is well known that a random multiplicative process with weak additive noise generates a power-law probability distribution. It has recently been recognized that this process exhibits another type of power law: the moment of the…
In Financial Signal Processing, multiple time series such as financial indicators, stock prices and exchange rates are strongly coupled due to their dependence on the latent state of the market and therefore they are required to be jointly…
Processes involving bursts of activity separated by quiescent periods occur across diverse systems and scales. In human dynamics, these phenomena have been described by power-law inter-event time distributions, $P(t)\sim t^{-\alpha}$, with…
Heavy-tailed fluctuations and power law statistics pervade physics, finance, and economics, yet their origin is often ascribed to systems poised near criticality. Here we show that such behavior can emerge far from instability through a…
We introduce a Markovian single point process model, with random intensity regulated through a buffer mechanism and a self-exciting effect controlling the arrival stream to the buffer. The model applies the principle of the Hawkes process…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
In many real-world networks, data on the edges evolve in continuous time, naturally motivating representations based on point processes. Heterogeneity in edge types further gives rise to multiplex network point processes. In this work, we…
Fractional Brownian motion is a Gaussian stochastic process with stationary, long-time correlated increments and is frequently used to model anomalous diffusion processes. We study numerically fractional Brownian motion confined to a finite…
In this paper it is demonstrated that a 1/f power spectrum appears in the process originated by the superposition of many similar single-sided RTN processes with the same relaxation time. The non-relaxed regime, the Gaussian nature and the…
Several models of stock trading [P. Bak et al, Physica A {\bf 246}, 430 (1997)] are analyzed in analogy with one-dimensional, two-species reaction-diffusion-branching processes. Using heuristic and scaling arguments, we show that the…
Some probabilistic aspects of the number variance statistic are investigated. Infinite systems of independent Brownian motions and symmetric alpha-stable processes are used to construct new examples of processes which exhibit both divergent…
Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultra-high frequency order book data from NASDAQ Nordic over a period of…