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We propose a definition for the P\'olya number of continuous-time quantum walks to characterize their recurrence properties. The definition involves a series of measurements on the system, each carried out on a different member from an…
Methods for detecting structural changes, or change points, in time series data are widely used in many fields of science and engineering. This chapter sketches some basic methods for the analysis of structural changes in time series data.…
When quantifying the time spent in the transient of a complex dynamical system, the fundamental problem is that for a large class of systems the actual time for reaching an attractor is infinite. Common methods for dealing with this problem…
We propose a penalized nonparametric approach to estimating the quantile regression process (QRP) in a nonseparable model using rectifier quadratic unit (ReQU) activated deep neural networks and introduce a novel penalty function to enforce…
We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the…
The aim of this work is to build financial crisis indicators based on spectral properties of the dynamics of market data. After choosing an optimal size for a rolling window, the historical market data in this window is seen every trading…
This paper addresses the problem of worst-case timing analysis of heterogeneous wormhole NoCs, i.e., routers with different buffer sizes and transmission speeds, when consecutive packet queuing (CPQ) occurs. The latter means that there are…
Twenty-two significant bubbles followed by large crashes or by severe corrections in the Argentinian, Brazilian, Chilean, Mexican, Peruvian, Venezuelan, Hong-Kong, Indonesian, Korean, Malaysian, Philippine and Thai stock markets indices are…
In this study, we perform a novel analysis of the 2015 financial bubble in the Chinese stock market by calibrating the Log Periodic Power Law Singularity (LPPLS) model to two important Chinese stock indices, SSEC and SZSC, from early 2014…
Based on a continuous-time stochastic volatility model with a linear drift, we develop a test for explosive behavior in financial asset prices at a low frequency when prices are sampled at a higher frequency. The test exploits the…
Accurate prediction of financial market volatility is critical for risk management, derivatives pricing, and investment strategy. In this study, we propose a multitude of regime-switching methods to improve the prediction of S&P 500…
Oil price data have a complicated multi-scale structure that may vary with time. We use time-frequency analysis to identify the main features of these variations and, in particular, the regime shifts. The analysis is based on a…
This paper presents a new approach for analysing structural properties of time series from complex systems. Starting from the concept of recurrences in phase space, the recurrence matrix of a time series is interpreted as the adjacency…
It is possible to investigate emergence in many real systems using time-ordered data. However, classical time series analysis is usually conditioned by data accuracy and quantity. A modern method is to map time series onto graphs and study…
This paper investigates the structural dynamics of stock market volatility through the Financial Chaos Index, a tensor- and eigenvalue-based measure designed to capture realized volatility via mutual fluctuations among asset prices.…
Retrieving real-time information is a fundamental capability for search-integrated agents in real-world applications. However, existing benchmarks are predominantly static and therefore fail to capture the temporal dynamics of information…
We derive a closed-form expression capturing the degree of Relative Risk Aversion (RRA) of investors for non-"fair" lotteries. We argue that our formula is superior to earlier methods that have been proposed, as it is a function of only…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
We argue that the word ``critical'' in the title is not purely literary. Based on our and other previous work on nonlinear complex dynamical systems, we summarize present evidence, on the Oct. 1929, Oct. 1987, Oct. 1987 Hong-Kong, Aug. 1998…
The random-phase approximation (RPA) formulated within the adiabatic connection fluctuation-dissipation framework is a powerful approach to compute the ground-state energies and properties of molecules and materials. Its overall…