Related papers: Waiting-time distribution for a stock-market index
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
The daily volume of transaction on the New York Stock Exchange and its day-to-day fluctuations are analysed with respect to power-law tails as well long-term trends. We also model the transition to a Gaussian distribution for longer time…
In this paper correspondence between experimental data for packet delay and two theoretical types of distribution is investigated. Calculations have shown that the exponential distribution describes the data on network delay better, than…
We introduce a non-growth model that generates the power-law distribution with the Zipf exponent. There are N elements, each of which is characterized by a quantity, and at each time step these quantities are redistributed through binary…
The inverse statistics is the distribution of waiting times needed to achieve a predefined level of return obtained from (detrended) historic asset prices \cite{optihori,gainloss}. Such a distribution typically goes through a maximum at a…
We study the statistical properties of time distribution of seimicity in California by means of a new method of analysis, the Diffusion Entropy. We find that the distribution of time intervals between a large earthquake (the main shock of a…
Distributions of electron waiting times have been measured in several recent experiments and have been shown to provide complementary information compared to what can be learned from the electric current fluctuations. Existing theories,…
We show the asymptotic long-time equivalence of a generic power law waiting time distribution to the Mittag-Leffler waiting time distribution, characteristic for a time fractional CTRW. This asymptotic equivalence is effected by a…
We show that size-rank distributions with power-law decay (often only over a limited extent) observed in a vast number of instances in a widespread family of systems obey Tsallis statistics. The theoretical framework for these distributions…
We report here a series of detailed statistical analyses on the sea level variations in the Port of Trieste using one of the largest existing catalogues that covers more than a century of measurements. We show that the distribution of…
Starting from the model of continuous time random walk, we focus our interest on random walks in which the probability distributions of the waiting times and jumps have fat tails characterized by power laws with exponent between 0 and 1 for…
Power law scaling is observed in many physical, biological and socio-economical complex systems and is now considered as an important property of these systems. In general, power law exists in the central part of the distribution. It has…
This paper presents an empirical investigation of the intraday Brazilian stock market price fluctuations, considering q-Gaussian distributions that emerge from a non-extensive statistical mechanics. Our results show that, when returns are…
The two phase behavior in financial markets actually means the bifurcation phenomenon, which represents the change of the conditional probability from an unimodal to a bimodal distribution. In this paper, the bifurcation phenomenon in…
In this paper we present an integro-differential diffusion equation for continuous time random walk that is valid for a generic waiting time probability density function. Using this equation we also study diffusion behaviors for a couple of…
China's stock market is the largest emerging market all over the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependence. We study the predictability of…
We use high-frequency data of 1364 Chinese A-share stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange to investigate the intraday patterns in the bid-ask spreads. The daily periodicity in the spread time series is…
Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a predefined level of return is obtained…
The analysis of Tables of particle properties shows that the probability distribution of the results of physical measurements is far from the conventional Gaussian $\rho(\xi)=exp(-\xi^2/2) $, but is more likely to follow the simple…
There exists compelling experimental evidence in numerous systems for logarithmically slow time evolution, yet its theoretical understanding remains elusive. We here introduce and study a generic transition process in complex systems, based…