Related papers: Nonstationary Increments, Scaling Distributions, a…
We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of…
The probability distribution of log-returns for financial time series, sampled at high frequency, is the basis for any further developments in quantitative finance. In this letter, we present experimental results based on a large set of…
We study the stochastic behavior of heterogeneous diffusion processes with the power-law dependence $D(x)\sim|x|^{\alpha}$ of the generalized diffusion coefficient encompassing sub- and superdiffusive anomalous diffusion. Based on…
The principle of absence of arbitrage opportunities allows obtaining the distribution of stock price fluctuations by maximizing its information entropy. This leads to a physical description of the underlying dynamics as a random walk…
We analyze the household savings problem in a general setting where returns on assets, non-financial income and impatience are all state dependent and fluctuate over time. All three processes can be serially correlated and mutually…
Linear diffusions are used to model a large number of stochastic processes in physics, including small mechanical and electrical systems perturbed by thermal noise, as well as Brownian particles controlled by electrical and optical forces.…
Reliable calculations of financial risk require that the fat-tailed nature of prices changes is included in risk measures. To this end, a non-Gaussian approach to financial risk management is presented, modeling the power-law tails of the…
For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…
We consider two sequential models of deposition and aggregation for particles. The first model (No Diffusion) simulates surface diffusion through a deterministic capture area, while the second (Sequential Diffusion) allows the atoms to…
We investigate the behavior of systems of interacting diffusion processes, known as volatility-stabilized market models in the mathematical finance literature, when the number of diffusions tends to infinity. We show that, after an…
We study a stochastic multiplicative system composed of finite asynchronous elements to describe the wealth evolution in financial markets. We find that the wealth fluctuations or returns of this system can be described by a walk with…
In retrospect, the experimental findings on competitive market behavior called for a revival of the old, classical, view of competition as a collective higgling and bargaining process (as opposed to price-taking behaviors) founded on…
The North Atlantic Oscillation (NAO) monthly index is studied from 1825 till 2002 in order to identify the scaling ranges of its fluctuations upon different delay times and to find out whether or not it can be regarded as a Markov process.…
Path integral techniques for the pricing of financial options are mostly based on models that can be recast in terms of a Fokker-Planck differential equation and that, consequently, neglect jumps and only describe drift and diffusion. We…
The L\'evy, jumping process, defined in terms of the jumping size distribution and the waiting time distribution, is considered. The jumping rate depends on the process value. The fractional diffusion equation, which contains the variable…
In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the…
The quantitative analysis of financial time series often reveals two distinct features that standard Gaussian frameworks fail to capture: heavy-tailed marginal distributions and the phenomenon of extreme co-movements.While extreme value…
We have used kinetic Monte Carlo (kMC) simulations of a lattice gas to study front fluctuations in the spreading of a non-volatile liquid droplet onto a solid substrate. Our results are consistent with a diffusive growth law for the radius…
We study reaction-diffusion systems where diffusion is by jumps whose sizes are distributed exponentially. We first study the Fisher-like problem of propagation of a front into an unstable state, as typified by the A+B $\to$ 2A reaction. We…
We examine the question of whether the formal expressions of equilibrium statistical mechanics can be applied to time independent non-dissipative systems that are not in true thermodynamic equilibrium and are nonergodic. By assuming the…