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This paper introduces a global stock market volatility forecasting model that enhances forecasting accuracy and practical utility in real-world financial decision-making by integrating dynamic graph structures and encompassing all active…
The stationary distributions of sums of positions of trajectories generated by the logistic map have been found to follow a basic renormalization group (RG) structure: a nontrivial fixed-point multi-scale distribution at the period-doubling…
We introduce the notion of a generalized partial dynamical symmetry for which part of the eigenstates have part of the dynamical symmetry. This general concept is illustrated with the example of Hamiltonians with a partial dynamical O(6)…
We introduce and discuss a nonlinear kinetic equation of Boltzmann type which describes the evolution of wealth in a pure gambling process, where the entire sum of wealths of two agents is up for gambling, and randomly shared between the…
A dynamical model of an ecological community is analyzed within a "mean-field approximation" in which one of the species interacts with the combination of all of the other species in the community. Within this approximation the model may be…
We introduce a new universality class of one-dimensional iteration model giving rise to self-similar motion, in which the Feigenbaum constants are generalized as self-similar rates and can be predetermined. The curves of the mean-square…
The Markovian diffusion theory in the phase space is generalized within the framework of the general theory of relativity. The introduction of moving orthonormal frame vectors both for the position as well the velocity space enables to…
Capital distribution curve is defined as log-log plot of normalized stock capitalizations ranked in descending order. The curve displays remarkable stability over periods of time. Theory of exchangeable distributions on set partitions,…
We consider an independently identically distributed random dynamical system generated by finitely many, non-uniformly expanding Markov interval maps with a finite number of branches. Assuming a topologically mixing condition and the…
A new forecasting method based on the concept of the profile predictive the likelihood function is proposed for discrete-valued processes. In particular, generalized autoregressive and moving average (GARMA) models for Poisson distributed…
We have discovered an invariant distribution for local packing configurations in static granular media. This distribution holds in experiments for packing fractions covering most of the range from random loose packed to random close packed,…
This paper introduces constrained mixtures for continuous distributions, characterized by a mixture of distributions where each distribution has a shape similar to the base distribution and disjoint domains. This new concept is used to…
We study an extended dynamical system on the non-negative real line with piecewise linear non-uniformly expanding local dynamics. With a uniformly distributed initial state, the distribution of successive states coincides with that of a…
A distributional route to Gaussianity, associated with the concept of Conservative Mixing Transformations in ensembles of random vector-valued variables, is proposed. This route is completely different from the additive mechanism…
We propose to analyse the statistical properties of a sequence of vectors using the spectrum of the associated Gram matrix. Such sequences arise e.g. by the repeated action of a deterministic kicked quantum dynamics on an initial condition…
We propose a stochastic model of evolution of wealth in a society of economic agents. In the model, an agent can be in two states: inactive and active. Transitions between the states occur at random time intervals. In the active state, the…
In [1] we presented a model for transactions when goods are given away in the expectation of a later settlement. In settings where people keep track of their social accounts we were able to redefine concepts like account balance, yield…
We introduce a mean-field framework for the study of systems of interacting particles sharing a conserved quantity. The work generalises and unites the existing fields of asset-exchange models, often applied to socio-economic systems, and…
We present a short overview of the recent results in the theory of diffusion and wave equations with generalised derivative operators. We give generic examples of such generalised diffusion and wave equations, which include time-fractional,…
We derive a Dickman approximation for the small jumps of a large class of multivariate L\'evy processes. We then apply this approximation to develop a simulation method for the class of general multivariate gamma distributions (GMGD). A…