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A fundamental question in nonequilibrium statistical physics is whether effective equilibrium behavior can emerge at coarse-grained scales in strongly driven systems. Here, we investigate this question in the context of human mobility by…
Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws…
This paper investigates a financial market where returns depend on an unobservable Gaussian drift process. While the observation of returns yields information about the underlying drift, we also incorporate discrete-time expert opinions as…
In this paper we explain the wild fluctuations of financial prices from the intrinsic amplifying feedback of speculative supply and demand. Formally, we show that an asset return follows a multiplicative random growth with exogenous input,…
In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multiscaling. We…
We study the motion of a particle sliding under the action of an external field on a stochastically fluctuating one-dimensional Edwards-Wilkinson surface. Numerical simulations using the single-step model shows that the mean-square…
Based on the tick-by-tick stock prices from the German and American stock markets, we study the statistical properties of the distribution of the individual stocks and the index returns in highly collective and noisy intervals of trading,…
We analyze annual revenues and earnings data for the 500 largest-revenue U.S. companies during the period 1954-2007. We find that mean year profits are proportional to mean year revenues, exception made for few anomalous years, from which…
In this work we afford the statistical characterization of a linear Stochastic Volatility Model featuring Inverse Gamma stationary distribution for the instantaneous volatility. We detail the derivation of the moments of the return…
Heavy-tailed fluctuations and power law statistics pervade physics, finance, and economics, yet their origin is often ascribed to systems poised near criticality. Here we show that such behavior can emerge far from instability through a…
The dynamics of linear stochastic growth equations on growing substrates is studied. The substrate is assumed to grow in time following the power law $t^\gamma$, where the growth index $\gamma$ is an arbitrary positive number. Two different…
A mass ejection model in a time-dependent random environment with both temporal and spatial correlations is introduced. When the environment has a finite correlation length, individual particle trajectories are found to diffuse at large…
Behavioural finance offers a valuable framework for examining foreign exchange (FX) market dynamics, including puzzles such as excess volatility and fat-tailed distributions. Yet, when it comes to their interaction with the `real' side of…
Complex systems are often non-stationary, typical indicators are continuously changing statistical properties of time series. In particular, the correlations between different time series fluctuate. Models that describe the multivariate…
The temporal evolution of step-edge fluctuations under electromigration conditions is analysed using a continuum Langevin model. If the electromigration driving force acts in the step up/down direction, and step-edge diffusion is the…
Financial markets provide an ideal frame for the study of crossing or first-passage time events of non-Gaussian correlated dynamics mainly because large data sets are available. Tick-by-tick data of six futures markets are herein considered…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling…
We develop a practical framework for distinguishing diffusive stochastic processes from deterministic signals using only a single discrete time series. Our approach is based on classical excursion and crossing theorems for continuous…
We extend the model of rational bubbles of Blanchard and of Blanchard and Watson to arbitrary dimensions d: a number d of market time series are made linearly interdependent via d times d stochastic coupling coefficients. We first show that…