Related papers: Aging in Financial Market
We refine previous results concerning the Renewal Contact Processes. We significantly widen the family of distributions for the interarrival times for which the critical value can be shown to be strictly positive. The result now holds for…
In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of the…
In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of the…
In this paper, we explore the reduction of functionality in a complex system as a consequence of cumulative random damage and imperfect reparation, a phenomenon modeled as a dynamical process on networks. We analyze the global…
Signals with varying periodicity frequently appear in real-world phenomena, necessitating the development of efficient modelling techniques to map the measured nonlinear timeline to linear time. Here we propose a regression model that…
We investigate the probability distributions of the recurrence intervals $\tau$ between consecutive 1-min returns above a positive threshold $q>0$ or below a negative threshold $q<0$ of two indices and 20 individual stocks in China's stock…
We study the asymptotic behaviour of the probability that a weighted sum of centered i.i.d. random variables X_k does not exceed a constant barrier. For regular random walks, the results follow easily from classical fluctuation theory,…
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of…
If the step distribution in a renewal process has finite mean and regularly varying tail with index -{\alpha}, 1<{\alpha}<2, the first two terms in the asymptotic expansion of the renewal function have been known for many years. Here we…
Retirement prediction helps individuals and institutions make informed financial, lifestyle, and workforce decisions based on estimated retirement portfolios. This paper attempts to predict retirement using Monte Carlo simulations, allowing…
Forecasting stock returns is a challenging problem due to the highly stochastic nature of the market and the vast array of factors and events that can influence trading volume and prices. Nevertheless it has proven to be an attractive…
Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management. Granger causality in tail (or in risk) tests whether past extreme events of a time series help predicting future…
We consider a stochastic game-theoretic model of an investment market in continuous time with short-lived assets and study strategies, called survival, which guarantee that the relative wealth of an investor who uses such a strategy remains…
We consider random walks in dynamic random environments, with an environment generated by the time-reversal of a Markov process from the oriented percolation universality class. If the influence of the random medium on the walk is small in…
Stock return forecasting is a major component of numerous finance applications. Predicted stock returns can be incorporated into portfolio trading algorithms to make informed buy or sell decisions which can optimize returns. In such…
In this paper, we consider an age-structured jump model that arises as a description of continuous time random walks with infinite mean waiting time between jumps. We prove that under a suitable rescaling, this equation converges in the…
We review results on linearly edge-reinforced random walks. On finite graphs, the process has the same distribution as a mixture of reversible Markov chains. This has applications in Bayesian statistics and it has been used in studying the…
This article presents an empirical study of thirteen derivative markets for commodity and financial assets. It compares the statistical properties of futures contracts's daily returns at different maturities, from 1998 to 2010 and for…
Let {X_n,n\geq0} be a Markov chain on a general state space X with transition probability P and stationary probability \pi. Suppose an additive component S_n takes values in the real line R and is adjoined to the chain such that…
In this paper we will develop a methodology for obtaining pricing expressions for financial instruments whose underlying asset can be described through a simple continuous-time random walk (CTRW) market model. Our approach is very natural…