Related papers: Hidden Forces and Fluctuations from Moving Average…
Statistical physics has proven to be a very fruitful framework to describe phenomena outside the realm of traditional physics. The last years have witnessed the attempt by physicists to study collective phenomena emerging from the…
We investigate possible origins of trends using a deterministic threshold model, where we refer to long-term variabilities of price changes (price movements) in financial markets as trends. From the investigation we find two phenomena. One…
We consider situations where consumers are aware that a statistical model determines the price of a product based on their observed behavior. Using a novel experiment varying the context similarity between participant data and a product, we…
In light of the power problems of statistical tests and undisciplined use of alpha-based statistics to compare models, this paper proposes a unified set of distance-based performance metrics, derived as the square root of the sum of squared…
Discovering a correlation from one variable to another variable is of fundamental scientific and practical interest. While existing correlation measures are suitable for discovering average correlation, they fail to discover hidden or…
The fluctuations in nonequilibrium systems are under intense theoretical and experimental investigation. Topical ``fluctuation relations'' describe symmetries of the statistical properties of certain observables, in a variety of models and…
Based on the analog between the stochastic dynamics and quantum harmonic oscillator, we propose a market force driving model to generalize the Black-Scholes model in finance market. We give new schemes of option pricing, in which we can…
Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing framework resistant to such violations, which…
It was demonstrated in [Bonnemain et al., Phys. Rev. E 107, 024612 (2023)] that the anticipation pattern displayed by a dense crowd crossed by an intruder can be successfully described by a minimal Mean-Field Games model. However,…
Extensive research shows that consumers are generally averse to price discrimination. However, instruments of differential pricing can benefit consumer surplus and alleviate inequity through targeted price discounts. This paper examines how…
A deterministic trading strategy can be regarded as a signal processing element that uses external information and past prices as inputs and incorporates them into future prices. This paper uses a market maker based method of price…
After a brief review of option pricing theory, we introduce various methods proposed for extracting the statistical information implicit in options prices. We discuss the advantages and drawbacks of each method, the interpretation of their…
Understanding and modeling the dynamics of pedestrian crowds can help with designing and increasing the safety of civil facilities. A key feature of crowds is its intrinsic stochasticity, appearing even under very diluted conditions, due to…
We study the influence of a dissipation process on diffusion dynamics triggered by slow fluctuations. We study both strong- and weak-friction regime. When the latter regime applies, the system is attracted by the basin of either Gauss or…
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at which the signal is revealed to the market…
Measurements map the value of a target observable onto a meter shift, resulting in a meter readout that combines the initial statistics of the meter state with the quantum statistics of the target observable. Even in the limit of weak…
The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…
We study the dynamics of fronts when both inertial effects and external fluctuations are taken into account. Stochastic fluctuations are introduced as multiplicative noise arising from a control parameter of the system. Contrary to the…
Lurking variables represent hidden information, and preclude a full understanding of phenomena of interest. Detection is usually based on serendipity -- visual detection of unexplained, systematic variation. However, these approaches are…
Focusing on a specific crowd dynamics situation, including real life experiments and measurements, our paper targets a twofold aim: (1) we present a Bayesian probabilistic method to estimate the value and the uncertainty (in the form of a…