Related papers: Small scale behavior of financial data

Recently a method which employs computing of fluctuations in a measure of nonlinear similarity based on local recurrence properties in a univariate time series, was introduced to identify distinct dynamical regimes and transitions between…

The variability of temporal (or spatial) fluctuations of any variable is represented in conventional statistical theory by the relative dispersion equal to the standard deviation divided by the mean . The Relative Dispersion decreases with…

In setting up a stochastic description of the time evolution of a financial index, the challenge consists in devising a model compatible with all stylized facts emerging from the analysis of financial time series and providing a reliable…

Multiscale phenomena that evolve on multiple distinct timescales are prevalent throughout the sciences. It is often the case that the governing equations of the persistent and approximately periodic fast scales are prescribed, while the…

Fluctuations in the return time statistics of a dynamical system can be described by a new spectrum of dimensions. Comparison with the usual multifractal analysis of measures is presented, and difference between the two corresponding sets…

Multi-period measures of risk account for the path that the value of an investment portfolio takes. In the context of probabilistic risk measures, the focus has traditionally been on the magnitude of investment loss and not on the dimension…

The finding of small price changes in many retail price datasets is often viewed as a puzzle. We show that a possible explanation for the presence of small price changes is related to sales volume, an observation that has been overlooked in…

In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multiscaling. We…

We compare rain event size distributions derived from measurements in climatically different regions, which we find to be well approximated by power laws of similar exponents over broad ranges. Differences can be seen in the large-scale…

The patterns of motion of mobile agents has received recently wide attention in the literature. There is a number of recent studies centered around the motion behavior of many agents ranging from albatrosses to human beings. Special…

In an adaptive population which models financial markets and distributed control, we consider how the dynamics depends on the diversity of the agents' initial preferences of strategies. When the diversity decreases, more agents tend to…

We propose a random walk model of asset returns where the parameters depend on market stress. Stress is measured by, e.g., the value of an implied volatility index. We show that model parameters including standard deviations and…

Contemporary statistical publications rely on simulation to evaluate performance of new methods and compare them with established methods. In the context of meta-analysis of log-odds-ratios, we investigate how the ways in which simulations…

We investigate the variety of a portfolio of stocks in normal and extreme days of market activity. We show that the variety carries information about the market activity which is not present in the single-index model and we observe that the…

In this paper we consider a stochastic process that may experience random reset events which bring suddenly the system to the starting value and analyze the relevant statistical magnitudes. We focus our attention on monotonous…

Stochastic Thermodynamics (ST) extends the notions of classical thermodynamics to trajectories taken from a nonequilibrium ensemble. This extension yields a simple approach to fluctuation relations in small systems. Multiple time- and…

Cash managers make daily decisions based on predicted monetary inflows from debtors and outflows to creditors. Usual assumptions on the statistical properties of daily net cash flow include normality, absence of correlation and…

We introduce a basic model for human mobility that accounts for the different dynamics arising from individuals embarking on short trips (and returning to their home locations) and individuals relocating to a new home. The differences…

This short note suggests a heuristic method for detecting the dependence of random time series that can be used in the case when this dependence is relatively weak and such that the traditional methods are not effective. The method requires…

We model systemic risk using a common factor that accounts for market-wide shocks and a tail dependence factor that accounts for linkages among extreme stock returns. Specifically, our theoretical model allows for firm-specific impacts of…