Related papers: Waiting-time distribution for a stock-market index
We provide the first analytical expressions for the expected waiting time of high-priority customers in the delayed APQ by exploiting a classical conservation law for work-conserving queues. Additionally, we describe an algorithm to compute…
The gain-loss asymmetry, observed in the inverse statistics of stock indices is present for logarithmic return levels that are over $2\%$, and it is the result of the non-Pearson type auto-correlations in the index. These non-Pearson type…
Kauffman net is a dynamical system of logical variables receiving two random inputs and each randomly assigned a boolean function. We show that the attractor and transient lengths exhibit scaleless behavior with power-law distributions over…
In this paper, we investigate the cooling-off effect (opposite to the magnet effect) from two aspects. Firstly, from the viewpoint of dynamics, we study the existence of the cooling-off effect by following the dynamical evolution of some…
As an object of study, we chose the global activity of strong earthquakes (M > 7). The subject of the study is the waiting time for the next strong earthquake. The purpose of the study is to compare two distributions of waiting time, one of…
In the renewal processes, if the waiting time probability density function is a tempered power-law distribution, then the process displays a transition dynamics; and the transition time depends on the parameter $\lambda$ of the exponential…
This study investigates the emergence of power-law and other concentrated distributions through a feedback loop model in crowd interactions. Agents act by their response functions to observations and external forces, while observations…
We study the risk criterion for investments based on the drawdown from the maximal value of the capital in the past. Depending on investor's risk attitude, thus his risk exposure, we find that the distribution of these drawdowns follows a…
We analyse tick-by-tick data representing major cryptocurrencies traded on some different cryptocurrency trading platforms. We focus on such quantities like the inter-transaction times, the number of transactions in time unit, the traded…
The probability distribution of log-returns for financial time series, sampled at high frequency, is the basis for any further developments in quantitative finance. In this letter, we present experimental results based on a large set of…
The aim of this paper is to compare statistical properties of stock price indices in periods of booms with those in periods of stagnations. We use the daily data of the four stock price indices in the major stock markets in the world: (i)…
We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is…
Power-law distributions with various exponents are studied. We first introduce a simple and generic model that reproduces Zipf's law. We can regard this model both as the time evolution of the population of cities and that of the asset…
We study the long-time behavior of the scaled walker (particle) position associated with decoupled continuous-time random walk which is characterized by superheavy-tailed distribution of waiting times and asymmetric heavy-tailed…
We investigate the probability distribution of order imbalance calculated from the order flow data of 43 Chinese stocks traded on the Shenzhen Stock Exchange. Two definitions of order imbalance are considered based on the order number and…
We study the continuous time random walk theory from financial tick data of the yen-dollar exchange rate transacted at the Japanese financial market. The dynamical behavior of returns and volatilities in this case is particularly treated at…
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with…
In this paper we perform a statistical analysis of the high-frequency returns of the IBEX35 Madrid stock exchange index. We find that its probability distribution seems to be stable over different time scales, a stylized fact observed in…
We study the tick dynamical behavior of the bond futures in Korean Futures Exchange(KOFEX) market. Since the survival probability in the continuous-time random walk theory is applied to the bond futures transaction, the form of the decay…
Several works have observed heavy-tailed behavior in the distributions of returns in different markets, which are observable indicators of underlying complex dynamics. Such prior works study return distributions that are marginalized across…