Related papers: Waiting-time distribution for a stock-market index
We study the temporal evolution of the market efficiency in the stock markets using the complexity, entropy density, standard deviation, autocorrelation function, and probability distribution of the log return for Standard and Poor's 500…
Understanding the properties of response time distributions is a long-standing problem in cognitive science. We provide a tutorial overview of several contemporary models that assume power law scaling is a plausible description of the…
The distribution of the return intervals $\tau$ between volatilities above a threshold $q$ for financial records has been approximated by a scaling behavior. To explore how accurate is the scaling and therefore understand the underlined…
Being able to predict the occurrence of extreme returns is important in financial risk management. Using the distribution of recurrence intervals---the waiting time between consecutive extremes---we show that these extreme returns are…
Superslow diffusion, i.e., the long-time diffusion of particles whose mean-square displacement (variance) grows slower than any power of time, is studied in the framework of the decoupled continuous-time random walk model. We show that this…
Possible distributions are discussed for intertrade durations and first-passage processes in financial markets. The view-point of renewal theory is assumed. In order to represent market data with relatively long durations, two types of…
The effects of saving and spending patterns on holding time distribution of money are investigated based on the ideal gas-like models. We show the steady-state distribution obeys an exponential law when the saving factor is set uniformly,…
The size distribution of planned and forced outages and following restoration times in power systems have been studied for almost two decades and has drawn great interest as they display heavy tails. Understanding of this phenomenon has…
Bitcoin's price has been described as following a power law (PL) in time, $P \sim t^{\beta}$ with $\hat\beta \approx 5.7$ over 2010-2026. We test this claim using the Clauset-Shalizi-Newman protocol applied to Bitcoin's tail-relevant…
We show power-scaling behaviors for fluctuations in share volume, which no other studies have so far done. After analyzing a database of the daily transactions for all securities listed on the Tokyo Stock Exchange, we selected 1050 large…
This dissertation reports work where physics methods are applied to financial and economical problems. The first part studies stock market data (chapter 1 to 5). The second part is devoted to personal income in the USA (chapter 6). We first…
The different between the inverse power function and the negative exponential function is significant. The former suggests a complex distribution, while the latter indicates a simple distribution. However, the association of the power-law…
In this paper we demonstrate a striking regularity in the way people place limit orders in financial markets, using a data set consisting of roughly seven million orders from the London Stock Exchange. We define the relative limit price as…
A large consensus now seems to take for granted that the distributions of empirical returns of financial time series are regularly varying, with a tail exponent close to 3. We revisit this results and use standard tests as well as develop a…
We consider the scaling behaviors for fluctuations of the number of Korean firms bankrupted in the period from August 1 2002 to October 28 2003. We observe a power law for the distribution of the number of the bankrupted firms. The Pareto…
We propose a simple theory for the ``universal'' scaling law previously reported for the distributions of waiting times between earthquakes. It is based on a largely used benchmark model of seismicity, which just assumes no difference in…
We study the long-time behavior of the probability density associated with the decoupled continuous-time random walk which is characterized by a superheavy-tailed distribution of waiting times. It is shown that if the random walk is…
In this work the distribution of inter-occurrence times between earthquakes in aftershock sequences is analyzed and a model based on a non-homogeneous Poisson (NHP) process is proposed to quantify the observed scaling. In this model the…
Using standard results from statistics, we show that for any continuous quantum system (Gaussian or otherwise) and any observable $\widehat{A}$ (position or otherwise), the distribution $\pi_{a}\left(t\right)$ of time measurement at a fixed…
We study the susceptible-infected model with power-law waiting time distributions $P(\tau)\sim \tau^{-\alpha}$, as a model of spreading dynamics under heterogeneous human activity patterns. We found that the average number of new infections…