Related papers: Economic Fluctuations and Diffusion
In finance, one usually deals not with prices but with growth rates $R$, defined as the difference in logarithm between two consecutive prices. Here we consider not the trading volume, but rather the volume growth rate $\tilde R$, the…
We study the cause of large fluctuations in prices in the London Stock Exchange. This is done at the microscopic level of individual events, where an event is the placement or cancellation of an order to buy or sell. We show that price…
Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are not only relatively likely, but they also occur in a rather peculiar way where a finite fraction of the whole sample deviation is concentrated…
The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…
We consider a system of $N$ disordered mean-field interacting diffusions within spatial constraints: each particle $\theta_i$ is attached to one site $x_i$ of a periodic lattice and the interaction between particles $\theta_i$ and…
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…
The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the limit order book data and order flows of 23…
International trade fluxes evolve as countries revise their portfolios of trade products towards economic development. Accordingly products' shares in international trade vary with time, reflecting the transfer of capital between distinct…
Dynamical systems in nature exhibit selfsimilar fractal fluctuations and the corresponding power spectra follow inverse power law form signifying long-range space-time correlations identified as self-organized criticality. The physics of…
The day-to day fluctuations of Dow Jones Index exhibit fractal fluctuations, namely, a zigzag pattern of successive increases followed by decreases on all space-time scales. Self-similar fractal fluctuations are generic to dynamical systems…
The principle of absence of arbitrage opportunities allows obtaining the distribution of stock price fluctuations by maximizing its information entropy. This leads to a physical description of the underlying dynamics as a random walk…
In this work, we aim to reconcile several apparently contradictory observations in market microstructure: is the famous "square-root law" of metaorder impact, which decays with time, compatible with the random-walk nature of prices and the…
We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and…
Fluctuations in stock prices are influenced by a complex interplay of factors that go beyond mere historical data. These factors, themselves influenced by external forces, encompass inter-stock dynamics, broader economic factors, various…
This work builds upon the long-standing conjecture that linear diffusion models are inadequate for complex market dynamics. Specifically, it provides experimental validation for the author's prior arguments that realistic market dynamics…
Recent research on the response of stock prices to trading activity revealed long lasting effects, even across stocks of different companies. These results imply non-Markovian effects in price formation and when trading many stocks at the…
The behavior of stock market returns over a period of 1-60 days has been investigated for S&P 500 and Nasdaq within the framework of nonextensive Tsallis statistics. Even for such long terms, the distributions of the returns are…
The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability…
We show that scale-scale correlations are a generic feature of slow-roll inflation theories. These correlations result from the long-time tails characteristic of the time dependent correlations because the long wavelength density…
Distributions derived from non-extensive Tsallis statistics are closely connected with dynamics described by a nonlinear Fokker-Planck equation. The combination shows promise in describing stochastic processes with power-law distributions…