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Searching for new effective risk factors on stock returns is an important research topic in asset pricing. Factor modeling is an active research topic in statistics and econometrics, with many new advances. However, these new methods have…
By considering subexponential contributions in large deviation theory, we determine the fine structure in the probability distribution of the observable displacement of a bead coupled to a molecular motor. More generally, for any stochastic…
Statistics of drawdowns (loss from the last local maximum to the next local minimum) plays an important role in risk assessment of investment strategies. As they incorporate higher ($>$ two) order correlations, they offer a better measure…
There are hidden observables for inflation, such as features localized in position space, which do not manifest themselves when only one inflation trajectory is considered. To address this issue, we investigate inflation dynamics in a…
A calculational approach in fluid turbulence is presented. Use is made of the attracting nature of the fluid-dynamic dynamical system. An approach is offered that effectively propagates the statistics in time. Loss of sensitivity to an…
We discuss the physical meaning and significance of statistical forces on quasi-static probes in first order around detailed balance for driven media. Exploiting the quasi-static energetics and the structure of (McLennan) steady…
We propose a framework combining detrended fluctuation analysis with standard regression methodology. The method is built on detrended variances and covariances and it is designed to estimate regression parameters at different scales and…
This paper investigates a new class of equations called measure functional differential equations with state-dependent delays. We establish the existence and uniqueness of solutions and present a discussion concerning the appropriate phase…
Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law…
We study convexity and monotonicity properties of option prices in a model with jumps using the fact that these prices satisfy certain parabolic integro-differential equations. Conditions are provided under which preservation of convexity…
We introduce an innovative framework that leverages advanced big data techniques to analyze dynamic co-movement between stocks and their underlying fundamentals using high-frequency stock market data. Our method identifies leading…
Contraction analysis considers the distance between two adjacent trajectories. If this distance is contracting, then trajectories have the same long-term behavior. The main advantage of this analysis is that it is independent of the…
We provide an analytical argument for understanding the likely nature of parameter shifts between those coming from an analysis of a dataset and from a subset of that dataset, assuming differences are down to noise and any intrinsic…
It is becoming more and more clear that complex networks present remarkable large fluctuations. These fluctuations may manifest differently according to the given model. In this paper we re-consider hidden variable models which turn out to…
Differential equations are a ubiquitous tool to study dynamics, ranging from physical systems to complex systems, where a large number of agents interact through a graph with non-trivial topological features. Data-driven approximations of…
We consider a market where many agents trade many different types of products with each other. We model development of collective modes in this market, and quantify these by fluctuations that scale with time with a Hurst exponent of about…
This paper studies dynamic monopoly pricing for a broad class of settings that allow for multiple durable, multiple rental, or a mix of varieties. We show that the driving force behind pricing dynamics is the existence of trading-up…
The typical central limit theorems in high-frequency asymptotics for semimartingales are results on stable convergence to a mixed normal limit with an unknown conditional variance. Estimating this conditional variance usually is a hard…
This paper explores different methods to estimate prices paid per efficiency unit of labor in panel data. We study the sensitivity of skill price estimates to different assumptions regarding workers' choice problem, identification…
It is generally accepted that the asset price processes contain jumps. In fact, pure jump models have been widely used to model asset prices and/or stochastic volatilities. The question is: is there any statistical evidence from the…