Related papers: Hidden Forces and Fluctuations from Moving Average…
The current knowledge about fluctuation - induced long - ranged forces is summarized. Reference is made in particular to fluids near critical points, for which some new insight has been obtained recently. Where appropiate, results of…
Interpreting experimental data in high school experiments can be a difficult task for students, especially when there is large variation in the data. At the same time, calculating the standard deviation poses a challenge for students. In…
The bubble is a controversial and important issue. Many methods which based on the rational expectation have been proposed to detect the bubble. However, for some developing countries, epically China, the asset markets are so young that for…
Comparisons of different treatments or production processes are the goals of a significant fraction of applied research. Unsurprisingly, two-sample problems play a main role in Statistics through natural questions such as `Is the the new…
In nature and human societies, the effects of homogeneous and heterogeneous characteristics on the evolution of collective behaviors are quite different from each other. It is of great importance to understand the underlying mechanisms of…
In statistical modeling area, the Akaike information criterion AIC, is a widely known and extensively used tool for model choice. The {\phi}-divergence test statistic is a recently developed tool for statistical model selection. The…
We report empirical evidences on the existence of a conditional dynamics driving the evolution of financial assets which is found in several markets around the world and for different historical periods. In particular, we have analyzed the…
In this note we discuss the mathematical tools to define trend indicators which are used to describe market trends. We explain the relation between averages and moving averages on the one hand and the so called exponential moving average…
The statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is…
In classical extreme value theory probabilities of extreme events are estimated assuming all the components of a random vector to be in a domain of attraction of an extreme value distribution. In contrast, the conditional extreme value…
The frequency constitutes a key state variable of electrical power grids. However, as the frequency is subject to several sources of fluctuations, ranging from renewable volatility to demand fluctuations and dispatch, it is strongly…
Relative fluctuations of observables in discrete stochastic systems are bounded at all times by the mean dynamical activity in the system, quantified by the mean number of jumps. This constitutes a kinetic uncertainty relation that is…
We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock…
We develop an inferential toolkit for analyzing object-valued responses, which correspond to data situated in general metric spaces, paired with Euclidean predictors within the conformal framework. To this end we introduce conditional…
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…
Seasonally adjusted series are usually used to analyse the business cycle and turning points. When the irregular is too high, it is preferable to smooth the series in order to analyse the trend-cycle component directly. This study focuses…
We devise a method to detect and estimate forces in a heterogeneous environment based on experimentally recorded stochastic trajectories. In particular, we focus on systems modeled by the heterogeneous overdamped Langevin equation. Here,…
The aim of the present work is analysing and understanding the dynamics of the prices of companies, depending on whether they are included or excluded from the STOXX Europe 600 Index. For this reason, data regarding the companies of the…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
The possibility of variations of the values of fundamental constants is a phenomenon predicted by a number of scenarios beyond General Relativity. This can happen if ``our'' fundamental constants are not the actual constants of the…