Related papers: Apparent multifractality in financial time series
Based on the well-known Detrended Fluctuation Analysis (DFA) for time series, in this work we describe a DFA for continuous real variable functions. Under certain conditions, DFA accurately predicts the long-term auto-correlation of the…
Our article considers a regression model with observed factors. The observed factors have a flexible stochastic volatility structure that has separate dynamics for the volatilities and the correlation matrix. The correlation matrix of the…
Multifractal systems usually have singularity spectra defined on bounded sets of H\"older exponents. As a consequence, their associated multifractal scaling exponents are expected to depend linearly upon statistical moment orders at high…
In this paper we consider several continuous-time multivariate non-Gaussian models applied to finance and proposed in the literature in the last years. We study the models focusing on the parsimony of the number of parameters, the…
The multivariate time series generated from merchant transaction history can provide critical insights for payment processing companies. The capability of predicting merchants' future is crucial for fraud detection and recommendation…
Our goal is to estimate causal interactions in multivariate time series. Using vector autoregressive (VAR) models, these can be defined based on non-vanishing coefficients belonging to respective time-lagged instances. As in most cases a…
A novel constructive mathematical model based on the multifractal formalism in order to accurately characterizing the localized fluctuations present in the course of traffic flows today high-speed computer networks is presented. The…
A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…
We investigate the behavior of systems of interacting diffusion processes, known as volatility-stabilized market models in the mathematical finance literature, when the number of diffusions tends to infinity. We show that, after an…
We develop a physics-facing version of the persistence/transition-variety framework for scalar-field cosmology, tailored to inflationary dynamics. The guiding idea is that observationally viable inflationary models are often best understood…
We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical tool and investigate analytically its link with stocks…
The Random Parameters model was proposed to explain the structure of the covariance matrix in problems where most, but not all, of the eigenvalues of the covariance matrix can be explained by Random Matrix Theory. In this article, we…
This paper is devoted to the study of the asymptotic behavior of solutions to multi-order fractional cooperative systems. First, we demonstrate the boundedness of solutions to fractional-order systems under certain conditions imposed on the…
In this paper we introduce a simple discrete stochastic model of eternal inflation that shares many of the most important features of the continuum theory as it is now understood. The model allows us to construct a multiverse and rigorously…
Pricing derivatives goes back to the acclaimed Black and Scholes model. However, such a modeling approach is known not to be able to reproduce some of the financial stylized facts, including the dynamics of volatility. In the mathematical…
Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series. This paper uses an adaptive spectral technique which jointly models the non-stationarity and…
We perform an extensive empirical analysis of scaling properties of equity returns, suggesting that financial data show time varying multifractal properties. This is obtained by comparing empirical observations of the weighted generalised…
Equivalent characterizations of multiportfolio time consistency are deduced for closed convex and coherent set-valued risk measures on $L^p(\Omega,\mathcal F, P; R^d)$ with image space in the power set of $L^p(\Omega,\mathcal F_t,P;R^d)$.…
We analyze quantitatively the effect of spurious multifractality induced by the presence of fat-tailed symmetric and asymmetric probability distributions of fluctuations in time series. In the presented approach different kinds of symmetric…
There is a large body of work, built on tools developed in mathematics and physics, demonstrating that financial market prices exhibit self-similarity at different scales. In this paper, we explore the use of analytical topology to…