Related papers: Economic Fluctuations and Diffusion
The scaling properties of oil price fluctuations are described as a non-stationary stochastic process realized by a time series of finite length. An original model is used to extract the scaling exponent of the fluctuation functions within…
This study examine the theoretical and empirical perspectives of the symmetric Hawkes model of the price tick structure. Combined with the maximum likelihood estimation, the model provides a proper method of volatility estimation…
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…
In nature and human societies, the effects of homogeneous and heterogeneous characteristics on the evolution of collective behaviors are quite different from each other. It is of great importance to understand the underlying mechanisms of…
Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the interevent statistics observed in these contexts differs from the…
We discuss the equivalence between kinetic wealth-exchange models, in which agents exchange wealth during trades, and mechanical models of particles, exchanging energy during collisions. The universality of the underlying dynamics is shown…
The correlation function of a financial index of the New York stock exchange, the S&P 500, is analyzed at 1 min intervals over the 13-year period, Jan 84 -- Dec 96. We quantify the correlations of the absolute values of the index increment.…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…
Diffusion in a multidimensional energy surface with minima and barriers is a problem of importance in statistical mechanics and also has wide applications, such as protein folding. To understand it in such a system, we carry out theory and…
The dependence of the diffusion MRI signal on the diffusion time $t$ is a hallmark of tissue microstructure at the scale of the diffusion length. Here we measure the time-dependence of the mean diffusivity $D(t)$ and mean kurtosis $K(t)$ in…
We propose a model of fractal point process driven by the nonlinear stochastic differential equation. The model is adjusted to the empirical data of trading activity in financial markets. This reproduces the probability distribution…
We study the average price impact of a single trade executed in the NYSE. After appropriate averaging and rescaling, the data for the 1000 most highly capitalized stocks collapse onto a single function, giving average price shift as a…
What happens when a continuously evolving stochastic process is interrupted with large changes at random intervals $\tau$ distributed as a power-law $\sim \tau^{-(1+\alpha)};\alpha>0$? Modeling the stochastic process by diffusion and the…
Aging in spin glasses is analyzed via the Probability Density Function (PDF) of the heat transfer between system and bath over a small time $\delta t$. The PDF contains a Gaussian part, describing reversible fluctuations, and an exponential…
The probability distribution of stock price changes is studied by analyzing a database (the Trades and Quotes Database) documenting every trade for all stocks in three major US stock markets, for the two year period Jan 1994 -- Dec 1995. A…
The financial market is nonpredictable, as according to the Bachelier, the mathematical expectation of the speculator is zero. Nevertheless, we observe in the price fluctuations the two distinct scales, short and long time. Behaviour of a…
Proportional transaction costs present difficult theoretical problems in trading algorithm design, on account of their lack of analytical tractability. The author derives a solution of DT-NT-DT form for an arbitrary model in which the the…
We show power-scaling behaviors for fluctuations in share volume, which no other studies have so far done. After analyzing a database of the daily transactions for all securities listed on the Tokyo Stock Exchange, we selected 1050 large…
Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariate joint probability density functions that accounts for the…
We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual markets shows the power-law tail of the…