Related papers: Motion in random fields - an application to stock …
The percolation model of stock market speculation allows an asymmetry (in the return distribution) leading to fast downward crashes and slow upward recovery. We see more small upturns and more intermediate downturns.
The correlation matrix formalism is used to study temporal aspects of the stock market evolution. This formalism allows to decompose the financial dynamics into noise as well as into some coherent repeatable intraday structures. The present…
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 study a stochastic multiplicative system composed of finite asynchronous elements to describe the wealth evolution in financial markets. We find that the wealth fluctuations or returns of this system can be described by a walk with…
Financial market dynamics is rigorously studied via the exact generalized Langevin equation. Assuming market Brownian self-similarity, the market return rate memory and autocorrelation functions are derived, which exhibit an…
Recent progresses in single particle tracking have shown evidences of non-Gaussian distribution of displacements in living cells, both near the cellular membrane and inside the cytoskeleton. A similar behavior has also been observed in…
Passive scalar motion in a family of random Gaussian velocity fields with long-range correlations is shown to converge to persistent fractional Brownian motions in long times.
Selfsimilar space-time fractal fluctuations are generic to dynamical systems in nature such as atmospheric flows, heartbeat patterns, population dynamics, etc. The physics of the long-range correlations intrinsic to fractal fluctuations is…
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…
We derive a system of stochastic differential equations simulating the dynamics of the three agent groups with herding interaction. Proposed approach can be valuable in the modeling of the complex socio-economic systems with similar…
The paper deals with the asymptotic laws of functional of standard random variables. These classes of statistics are closely related to estimators of the extreme value index when the underlying distribution function is in the Weibull domain…
We propose a new approach for analyzing price fluctuations in their strongly correlated regime ranging from minutes to months. This is done by employing a self-similarity assumption for the magnitude of coarse-grained price fluctuation or…
A new model for stocks markets using integer values for each stock price is presented. In contrast with previously reported models, the variables used in the model are not of binary type, but of more general integer type. It is shown how…
A unified approach is proposed to describe the statistics of the short time dynamics of multiscale complex systems. The probability density function of the relevant time series (signal) is represented as a statistical superposition of a…
We study scaling properties of stochastic aggregation processes in one dimension. Numerical simulations for both diffusive and ballistic transport show that the mass distribution is characterized by two independent nontrivial exponents…
The work approaches the study of the fluctuations for the thermodynamic systems in the presence of the fields. The approach is of phenomenological nature and developed in a Gaussian approximation. The study is exemplified on the cases of a…
We consider the tail probabilities of stock returns for a general class of stochastic volatility models. In these models, the stochastic differential equation for volatility is autonomous, time-homogeneous and dependent on only a finite…
Basic peculiarities of market price fluctuations are known to be well described by a recently developed random walk model in a temporally deforming quadric potential force whose center is given by a moving average of past price traces…
The nature of fluctuations in the Indian financial market is analyzed in this paper. We have looked at the price returns of individual stocks, with tick-by-tick data from the National Stock Exchange (NSE) and daily closing price data from…
This paper tends to define the quantitative relationship between the stock price and time as a time function. Based on the empirical evidence that the log-return of a stock is the series of white noise, a mathematical model of the integral…