Related papers: Dynamics of market indices, Markov chains, and ran…
In this paper we study the asymptotic behavior of the Random-Walk Metropolis algorithm on probability densities with two different `scales', where most of the probability mass is distributed along certain key directions with the…
Physical notions of stochastic resonance for potential diffusions in periodically changing double-well potentials such as the spectral power amplification have proved to be defective. They are not robust for the passage to their effective…
A novel version of the Continuous-Time Random Walk (CTRW) model with memory is developed. This memory means the dependence between arbitrary number of successive jumps of the process, while waiting times between jumps are considered as…
We study the problem of detecting a random walk on a graph from a sequence of noisy measurements at every node. There are two hypotheses: either every observation is just meaningless zero-mean Gaussian noise, or at each time step exactly…
We consider random walks on dynamical networks where edges appear and disappear during finite time intervals. The process is grounded on three independent stochastic processes determining the walker's waiting-time, the up-time and down-time…
We propose in this paper to consider the stock market as a physical system assimilate to a fluid evolving in a macroscopic space subject to a Force that influences its movement over time where this last is arising from the collision between…
A Markov chain (MC) formalism is used to investigate the mean-square displacement (MSD) of a random walker on Newman-Watts (NW) networks. It leads to a precise analysis of the conditions for the emergence of anomalous sub- or…
The node2vec random walk has proven to be a key tool in network embedding algorithms. These random walks are tuneable, and their transition probabilities depend on the previous visited node and on the triangles containing the current and…
This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval {\Delta} results in…
Many stochastic time series can be modelled by discrete random walks in which a step of random sign but constant length $\delta x$ is performed after each time interval $\delta t$. In correlated discrete time random walks (CDTRWs), the…
We study an open discrete-time queueing network that models the collection of data in a multi-hop sensor network. We assume data is generated at the sensor nodes as a discrete-time Bernoulli process. All nodes in the network maintain a…
This article investigates a regime-switching investment strategy aimed at mitigating downside risk by reducing market exposure during anticipated unfavorable market regimes. We highlight the statistical jump model (JM) for market regime…
Consider a stochastic process that behaves as a $d$-dimensional simple and symmetric random walk, except that, with a certain fixed probability, at each step, it chooses instead to jump to a given site with probability proportional to the…
We analyze a fixed panel of S\&P 500 stocks from 1996 to 2026 using complementary static and kinetic Ising models applied to daily binary open-to-close movements. The static pairwise model provides a long-run maximum-entropy summary of…
This paper analyses a $(1,\lambda)$-Evolution Strategy, a randomised comparison-based adaptive search algorithm, on a simple constraint optimisation problem. The algorithm uses resampling to handle the constraint and optimizes a linear…
In this paper we consider a stochastic process that may experience random reset events which bring suddenly the system to the starting value and analyze the relevant statistical magnitudes. We focus our attention on monotonous…
Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter…
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by…
We study a system of $N$ interacting particles on $\bf{Z}$. The stochastic dynamics consists of two components: a free motion of each particle (independent random walks) and a pair-wise interaction between particles. The interaction belongs…
Classical technical analysis methods of stock evolution are recalled, i.e. the notion of moving averages and momentum indicators. The moving averages lead to define death and gold crosses, resistance and support lines. Momentum indicators…