Related papers: Foreign exchange market fluctuations as random wal…
We consider one or more independent random walks on the $d\ge 3$ dimensional discrete torus. The walks start from vertices chosen independently and uniformly at random. We analyze the fluctuation behavior of the size of some random sets…
Analogies between the price dynamics in the foreign exchange market and 3-dimensional fully developed turbulence were recently presented in Nature vol. 381, 767-769 (1996). Independently, we have carried out a study comparing the parallel…
The main focus of this work is to understand the dynamics of non regulated markets. The present model can describe the dynamics of any market where the pricing is based on supply and demand. It will be applied here, as an example, for the…
In this paper the multi-dimensional random walk models governed by distributed fractional order differential equations and multi-term fractional order differential equations are constructed. The scaling limits of these random walks to a…
The observation of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years, are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise…
The statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is…
A mass ejection model in a time-dependent random environment with both temporal and spatial correlations is introduced. When the environment has a finite correlation length, individual particle trajectories are found to diffuse at large…
The foreign exchange market has taken an important role in the global financial market. While foreign exchange trading brings high-yield opportunities to investors, it also brings certain risks. Since the establishment of the foreign…
A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We introduce a technique to measure the available information and…
Complex systems consist of many interacting elements which participate in some dynamical process. The activity of various elements is often different and the fluctuation in the activity of an element grows monotonically with the average…
Model uncertainty is a type of inevitable financial risk. Mistakes on the choice of pricing model may cause great financial losses. In this paper we investigate financial markets with mean-volatility uncertainty. Models for stock markets…
We consider a class of graph-valued stochastic processes in which each vertex has a type that fluctuates randomly over time. Collectively, the paths of the vertex types up to a given time determine the probabilities that the edges are…
Apparently random financial fluctuations often exhibit varying levels of complexity, chaos. Given limited data, predictability of such time series becomes hard to infer. While efficient methods of Lyapunov exponent computation are devised,…
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling…
Many studies have shown that there are good reasons to claim very low predictability of currency nevertheless, the deviations from true randomness exist which have potential predictive and prognostic power [J.James, Quantitative finance 3…
The mean first passage time~(MFPT) of random walks is a key quantity characterizing dynamic processes on disordered media. In a random fractal embedded in the Euclidean space, the MFPT is known to obey the power law scaling with the…
We evaluate the average waiting time between observing the price of financial markets and the next price change, especially in an on-line foreign exchange trading service for individual customers via the internet. Basic technical idea of…
We suggest a model for data losses in a single node of a packet-switched network (like the Internet) which reduces to one-dimensional discrete random walks with unusual boundary conditions. The model shows critical behavior with an abrupt…
The multifractal behavior for tick data of prices is investigated in Korean financial market. Using the rescaled range analysis(R/S analysis), we show the multifractal nature of returns for the won-dollar exchange rate and the KOSPI. We…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…