Related papers: Economic Fluctuations and Diffusion
We present a theoretical investigation of thermal fluctuation statistics in a molecular motor. Energy transfer in the motor is described using a multidimensional discrete master equation with nearest-neighbor hopping. In this theory, energy…
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock…
Fluctuation scaling is observed phenomenon from complex networks through finance to ecology. It means that the variance and the mean of a specific quantity are related as $\ev{\sigma^2|n}\propto \ev{n|A}^{2\alpha}$ with $1/2\geq \alpha \geq…
We present an agent behavior based microscopic model for diffusion price processes. As such we provide a model not only containing a convenient framework for describing socio-economic behavior, but also a sophisticated link to price…
In the present paper we construct stock price processes with the same marginal log-normal law as that of a geometric Brownian motion and also with the same transition density (and returns' distributions) between any two instants in a given…
Diffusion processes are widespread in biological and chemical systems, where they play a fundamental role in the exchange of substances at the cellular level and in determining the rate of chemical reactions. Recently, the classical picture…
We study the effect of drift in pure-jump transaction-level models for asset prices in continuous time, driven by point processes. The drift is as-sumed to arise from a nonzero mean in the efficient shock series. It follows that the drift…
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…
We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of…
We study the fluctuation properties and return-time statistics on inhomogeneous scale-free networks using packets moving with two different dynamical rules; random diffusion and locally navigated diffusive motion with preferred edges.…
We expand on a recent study of a lattice model of interacting particles [Phys. Rev. Lett. 111, 110601 (2013)]. The adsorption isotherm and equilibrium fluctuations in particle number are discussed as a function of the interaction. Their…
The distribution of intertrade durations, defined as the waiting times between two consecutive transactions, is investigated based upon the limit order book data of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole…
Power-law tails are ubiquitous in income distributions and in the energy distributions of diluted relativistic gases. We analyze the conceptual link between these two cases. In economic interactions fat tails arise because the richest…
We model financial transactions as random walks on activity-driven temporal networks. By enforcing fund conservation, our framework analytically derives heavy-tailed distributions for the stationary balances and transaction sizes.…
Traffic fluctuation has so far been studied on unweighted networks. However many real traffic systems are better represented as weighted networks, where nodes and links are assigned a weight value representing their physical properties such…
Factorial moments are convenient tools in nuclear physics to characterize the multiplicity distributions when phase-space resolution ($\Delta$) becomes small. For uncorrelated particle production within $\Delta$, Gaussian statistics holds…
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…
How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecewise across different timescales. Here we reveal that price…
Via molecular dynamics simulations of a generic glass former in the supercooled and normal liquid states, it is shown that spatial correlations of strain fluctuations exhibit a crossover from the well-established power-law $\sim…
Strong anomalous diffusion is {often} characterized by a piecewise-linear spectrum of the moments of displacement. The spectrum is characterized by slopes $\xi$ and $\zeta$ for small and large moments, respectively, and by the critical…