Related papers: Foreign exchange market fluctuations as random wal…
The critical behaviour of correlation functions near a boundary is modified from that in the bulk. When the boundary is smooth this is known to be characterised by the surface scaling dimension $\xt$. We consider the case when the boundary…
In a recent paper [Ferrari et al., Phys. Rev. E 69, 035102(R) (2004)], the scaling law of the fluctuations of the step limiting a crystal facet has been computed as a function of the facet size. Ferrari et al. use rigorous, but physically…
This work studies the symmetry between colloidal dynamics and the dynamics of the Euro--US Dollar currency exchange market (EURUSD). We consider the EURUSD price in the time range between 2001 and 2015, where we find significant qualitative…
A non--linear diffusion equation is derived by taking into account hopping rates depending on the occupation of next neighbouring sites. There appears additonal repulsive and attractive forces leading to a changed local mobiltiy. The…
The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to investigate the source of intraday variation observed in the returns in foreign exchange markets. Given that changes in…
A discrete binomial random-walk description of molecular collisions is used to quantify the variance of coarse-grained velocity fields arising solely from collision-induced momentum exchange. Closed-form expressions for the growth of…
Background: Human gait exhibits complex fractal fluctuations among consecutive strides. The time series of gait parameters are long-range correlated (statistical persistence). In contrast, when gait is synchronized with external rhythmic…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
Starting from the model of continuous time random walk, we focus our interest on random walks in which the probability distributions of the waiting times and jumps have fat tails characterized by power laws with exponent between 0 and 1 for…
These notes are devoted to fluctuations of one-dimensional random walks. We discuss various approaches to first-passage times and to the corresponding conditional distributions. After discussion of some classical methods, such as reflection…
We study the cluster dynamics of multichannel (multivariate) time series by representing their correlations as time-dependent networks and investigating the evolution of network communities. We employ a node-centric approach that allows us…
Lead-lag relationships among assets represent a useful tool for analyzing high frequency financial data. However, research on these relationships predominantly focuses on correlation analyses for the dynamics of stock prices, spots and…
We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
We treat the effects of quantum field fluctuations on the decay of a meta-stable state of a self-coupled scalar field. We consider two varieties of field fluctuations and their potential effects in a semiclassical description. The first are…
We study the support (i.e. the set of visited sites) of a t step random walk on a two-dimensional square lattice in the large t limit. A broad class of global properties M(t) of the support is considered, including, e.g., the number S(t) of…
We consider a random walk of $n$ steps starting at $x_0=0$ with a double exponential (Laplace) jump distribution. We compute exactly the distribution $p_{k,n}(\Delta)$ of the gap $d_{k,n}$ between the $k^{\rm th}$ and $(k+1)^{\rm th}$…
We introduce a simple model of diffusive jump process where a fee is charged for each jump. The nonlinear cost function is such that slow jumps incur a flat fee, while for fast jumps the cost is proportional to the velocity of the jump. The…
We study the dynamics of visitation flux in a multi-random-walker model by comparison to surface growth dynamics in which one random walker drops a particle to a node at each time the walker visits the node. In each independent experiment…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…