Related papers: Motion in random fields - an application to stock …
This paper systematically conducts an analysis of the composite index 1-min datasets over the 17-year period (2005-2021) for both the Shanghai and Shenzhen stock exchanges. To reveal the difference between the Chinese and the mature stock…
We construct explicit models of multi-field inflation in which the primordial metric fluctuations do not necessarily obey Gaussian statistics. These models are realizations of mechanisms in which non-Gaussianity is first generated by a…
We present a framework for describing the evolution of stochastic observables having a non-stationary distribution of values. The framework is applied to empirical volume-prices from assets traded at the New York stock exchange. Using…
What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…
This dissertation reports work where physics methods are applied to financial and economical problems. The first part studies stock market data (chapter 1 to 5). The second part is devoted to personal income in the USA (chapter 6). We first…
We study the effect of Chandrasekhar and Holstmark's distribution of field fluctuations on the dynamics of N-body systems interacting via Coulomb or Newton gravitational force. We develop an approach based on statistical dynamics first…
We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency data extracted from the limit-order books of 23 stocks traded in the Chinese stock market in 2003. We…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
Employing a recent technique which allows the representation of nonstationary data by means of a juxtaposition of locally stationary patches of different length, we introduce a comprehensive analysis of the key observables in a financial…
It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained within a simple non-Gaussian one-factor description with time…
We analyse the dependence of stock return cross-correlations on the sampling frequency of the data known as the Epps effect: For high resolution data the cross-correlations are significantly smaller than their asymptotic value as observed…
We study the distributions of money in a simple closed economic system for different types of monetary transactions. We know that for arbitrary and random sharing but locally conserving money transactions, the money distribution goes to the…
In Part II of this paper, we concentrate our analysis on the price dynamical model with the moving average rules developed in Part I of this paper. By decomposing the excessive demand function, we reveal that it is the interplay between…
This study presents a long-term alternative formula for stock price variation described by a geometric Brownian motion on the basis of median instead of mean or expected values. The proposed method is motivated by the observation made in…
Spatial fields in the Earth and environmental sciences are often available at multiple scales or resolutions. While coarse-scale data (e.g., from global circulation models) are often abundant, they lack the local detail provided by…
We propose a modeling framework for stochastic systems, termed Gaussian behaviors, that describes finite-length trajectories of a system as a Gaussian process. The proposed model naturally quantifies the uncertainty in the trajectories, yet…
We develop a novel observation-driven model for high-frequency prices. We account for irregularly spaced observations, simultaneous transactions, discreteness of prices, and market microstructure noise. The relation between trade durations…
.Stochastic models based on random diffusivities, such as the diffusing-diffusivity approach, are popular concepts for the description of non-Gaussian diffusion in heterogeneous media. Studies of these models typically focus on the moments…
A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to…
In this paper, we investigate and develop a new approach to the numerical analysis and characterization of random fluctuations with heavy-tailed probability distribution function (PDF), such as turbulent heat flow and solar flare…