Related papers: Waiting-time distribution for a stock-market index
Modeling financial markets based on empirical data poses challenges in selecting the most appropriate models. Despite the abundance of empirical data available, researchers often face difficulties in identifying the best-fitting model.…
Financial markets are highly non-linear and non-equilibrium systems. Earlier works have suggested that the behavior of market returns can be well described within the framework of non-extensive Tsallis statistics or superstatistics. For…
We study the statistical properties of return intervals $r$ between successive energy dissipation rates above a certain threshold $Q$ in three-dimensional fully developed turbulence. We find that the distribution function $P_Q(r)$ scales…
We show that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-law tails of volatility and stock returns. We also show that…
The proposed model modifies option pricing formulas for the basic case of log-normal probability distribution providing correspondence to formulated criteria of efficiency and completeness. The model is self-calibrating by historic…
Electron transport in mesoscopic conductors has traditionally involved investigations of the mean current and the fluctuations of the current. A complementary view on charge transport is provided by the distribution of waiting times between…
In this paper, we study the dynamics of absolute return, trading volume and bid-ask spread after the trading halts using high-frequency data from the Shanghai Stock Exchange. We deal with all three types of trading halts, namely intraday…
This letter treats of the power-law distribution of the sales of items. We propose a simple stochastic model which expresses a selling process of an item. This model produces a stationary power-law distribution, whose power-law exponent is…
Particles floating on the surface of a turbulent incompressible fluid accumulate along string-like structures, while leaving large regions of the flow domain empty. This is reflected experimentally by a very peaked probability distribution…
The probability distribution of stock price changes is studied by analyzing a database (the Trades and Quotes Database) documenting every trade for all stocks in three major US stock markets, for the two year period Jan 1994 -- Dec 1995. A…
Most empirical microstructure research assumes that order flow--return parameters are constant, yet these relationships shift substantially across market regimes. Combining adaptive Kalman filtering, Markov-switching regime identification,…
Some authors have recently argued that a finite-size scaling law for the text-length dependence of word-frequency distributions cannot be conceptually valid. Here we give solid quantitative evidence for the validity of such scaling law,…
The level crossing and inverse statistics analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, $\nu_{\alpha}^+$, where $T_{\alpha} =1/\nu_{\alpha}^+ $ is the average waiting…
The statistical property of the calm times, i.e., time intervals between successive earthquakes with arbitrary values of magnitude, is studied by analyzing the seismic time series data in California and Japan. It is found that the calm…
In recent publications, the authors have considered inverse statistics of the Dow Jones Industrial Averaged (DJIA) [1-3]. Specifically, we argued that the natural candidate for such statistics is the investment horizons distribution. This…
A project schedule contains a network of activities, the activity durations, the early and late finish dates for each activity, and the associated total float or slack times, the difference between the late and early dates. Here I show that…
Following findings by Ormerod and Mounfield, Wright rises the problem whether a power or an exponential law describes the distribution of occurrences of economic recession periods. In order to clarify the controversy a different set of GDP…
We address the problem of applying the Kolmogorov-Sinai method of entropic analysis, expressed in a generalized non-extensive form, to the dynamics of the logistic map at the chaotic threshold, which is known to be characterized by a power…
We study the statistical properties of recurrence times in the self-excited Hawkes conditional Poisson process, the simplest extension of the Poisson process that takes into account how the past events influence the occurrence of future…
The distribution of return intervals of extreme events is studied in time series characterized by finite-term correlations with non-exponential decay. Precisely, it has been analyzed the statistics of the return intervals of extreme values…