Related papers: Aging in Financial Market
Renewal processes are zero-dimensional processes defined by independent intervals of time between zero crossings of a random walker. We subject renewal processes them to stochastic resetting by setting the position of the random walker to…
We consider a renewal process with regularly varying stationary and weakly dependent steps, and prove that the steps made before a given time $t$, satisfy an interesting invariance principle. Namely, together with the age of the renewal…
Consider a finite renewal process in the sense that interrenewal times are positive i.i.d. variables and the total number of renewals is a random variable, independent of interrenewal times. A finite point process can be obtained by…
We study the time evolution of continuous-time quantum walks on randomly changing graphs. At certain moments edges of the graph appear or disappear with a given probability. We focus on the case when the time interval between subsequent…
We consider Reinforced Random Walks where transition probabilities are a function of the proportion of times the walk has traversed an edge. We give conditions for recurrence or transience. A phase transition is observed, similar to…
We evaluate the average waiting time between observing the price of financial markets and the next price change, especially in an on-line foreign exchange trading service for individual customers via the internet. Basic technical idea of…
Branching processes are models used to describe populations that reproduce and die over time. In the classical setting, an individual's reproductive capacity remains constant throughout its lifetime. However, in real-world situations,…
Application of some basic notions and statistics of ageing distributions used in mathematical theory of reliability including the Gini-type index is discussed as a methodological tool for investigation of human population ageing and…
In many physical, social or economical phenomena we observe changes of a studied quantity only in discrete, irregularly distributed points in time. The stochastic process used by physicists to describe this kind of variables is the…
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…
We empirically analyze the scaling properties of daily Foreign Exchange rates, Stock Market indices and Bond futures across different financial markets. We study the scaling behaviour of the time series by using a generalized Hurst exponent…
Technical trading rules and linear regressive models are often used by practitioners to find trends in financial data. However, these models are unsuited to find non-linearly separable patterns. We propose a decision tree forecasting model…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
Aging is thought to be a consequence of intrinsic breakdowns in how genetic information is processed. But mounting experimental evidence suggests that aging can be slowed. To help resolve this mystery, I derive a mortality equation which…
Recent studies on the phenomenology of ageing in certain many-particle systems which are at a critical point of their non-equilibrium steady-states, are reviewed. Examples include the contact process, the parity-conserving…
Structuring a viable pension plan is a problem that arises in the study of financial contracts pricing and bears special importance these days. Deterministic pension models often rely on projections that are based on several assumptions…
In this paper we explore the specific role of randomness in financial markets, inspired by the beneficial role of noise in many physical systems and in previous applications to complex socio- economic systems. After a short introduction, we…
In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and CRSP Equal-Weighted index are analyzed in terms of market…