Related papers: Waiting-time distribution for a stock-market index
This paper gives various asymptotic formulae for the transition probability associated with discrete time quantum walks on the real line. The formulae depend heavily on the `normalized' position of the walk. When the position is in the…
Using a model based on generalised Lotka Volterra dynamics together with some recent results for the solution of generalised Langevin equations, we show that the equilibrium solution for the probability distribution of wealth has two…
Consider a sequence X_1, X_2,... of i.i.d. uniform random variables taking values in the alphabet set {1,2,...,d}. A k-superpattern is a realization of X_1,...,X_t that contains, as an embedded subsequence, each of the non-order-isomorphic…
Power law distributions of macroscopic observables are ubiquitous in both the natural and social sciences. They are indicative of correlated, cooperative phenomena between groups of interacting agents at the microscopic level. In this paper…
We consider a sequence of quantized Lorentzian pulses of non-interacting electrons impinging on a quantum point contact (QPC) and study the waiting time distribution (WTD), for any transmission and any number of pulses. As the degree of…
We study properties of the cross-sectional distribution of returns. A significant anti-correlation between dispersion and cross-sectional kurtosis is found such that dispersion is high but kurtosis is low in panic times, and the opposite in…
We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble returns and varieties defined respectively as the mean and the standard deviation of the ensemble daily price returns of…
Recent analysis of social communications among humans has revealed that the interval between interactions for a pair of individuals and for an individual often follows a long-tail distribution. We investigate the effect of such a…
Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples…
The dynamics of a subdiffusive continuous time random walker in an inhomogeneous environment is analyzed. In each microscopic jump, a random time is drawn from a waiting time probability density function (WT-PDF) that decays as a power law:…
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…
We consider a discrete time quantum walker in one dimension, where at each step, the step length $\ell$ is chosen from a distribution $P(\ell) \propto \ell^{-\delta -1}$ with $\ell \leq \ell_{max}$. We evaluate the probability $f(x,t)$ that…
The Barab\'asi's priority queuing model [A.-L. Barab\'asi, Nature \textbf{435}, 207 (2005)] and its variants have been extensively studied to understand heavy-tailed distributions of the inter-event times and the response times observed in…
There exist a large literature on the application of $q$-statistics to the out-of-equilibrium non-ergodic systems in which some degree of strong correlations exists. Here we study the distribution of first return times to zero, $P_R(0,t)$,…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
We discuss the response of continuous time random walks to an oscillating external field within the generalized master equation approach. We concentrate on the time dependence of the two first moments of the walker's displacements. We show…
The ensemble averaged power scattered in and out of lossless chaotic cavities decays as a power law in time for large times. In the case of a pulse with a finite duration, the power scattered from a single realization of a cavity closely…
Energy markets and the associated energy futures markets play a crucial role in global economies. We investigate the statistical properties of the recurrence intervals of daily volatility time series of four NYMEX energy futures, which are…
The irreducible decomposition of successive restriction and induction of irreducible representations of a symmetric group gives rise to a Markov chain on Young diagrams keeping the Plancherel measure invariant. Starting from this Res-Ind…
We introduce a general methodology of update rules accounting for arbitrary interevent time distributions in simulations of interacting agents. In particular we consider update rules that depend on the state of the agent, so that the update…