数据分析、统计与概率

We use a well known model (T. Vicsek et al. Phys Rev Lett 15, 1226 (1995)) for flocking to test mutual information as a tool for detecting order-disorder transitions, in particular when observations of the system are limited. We show that…

We propose a route for the evaluation of risk based on a transformation of the covariance matrix. The approach uses a `potential' or `objective' function. This allows us to rescale data from different assets (or sources) such that each data…

Several fundamental properties of real complex networks, such as the small-world effect, the scale-free degree distribution, and recently discovered topological fractal structure, have presented the possibility of a unique growth mechanism…

The maximum likelihood approach is adapted to the problem of estimation of drift and diffusion functions of stochastic processes from measured time series. We reconcile a previously devised iterative procedure [Kleinhans et al., Physics…

We introduce an infectious default and recovery model for N obligors. Obligors are assumed to be exchangeable and their states are described by N Bernoulli random variables S_{i} (i=1,...,N). They are expressed by multiplying independent…

We made a first attempt to associate a probabilistic description of stochastic processes like birth-death processes with spacetime geometry in the Schwarzschild metrics on distance scales from the macro- to the micro-domains. We idealize an…

The vast majority of sampling systems operate in a standard way: at each tick of a fixed-frequency master clock a digitizer reads out a voltage that corresponds to the value of some physical quantity and translates it into a bit pattern…

The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…

We introduce a model of proportional growth to explain the distribution $P(g)$ of business firm growth rates. The model predicts that $P(g)$ is Laplace in the central part and depicts an asymptotic power-law behavior in the tails with an…

A Bayesian analysis of the probability of a signal in the presence of background is developed, and criteria are proposed for claiming evidence for, or the discovery of a signal. The method is general and in particular applicable to sparsely…

We show that Skilling's method of induction leads to a unique general theory of inductive inference, the method of Maximum relative Entropy (ME). The main tool for updating probabilities is the logarithmic relative entropy; other entropies…

A stochastic analysis of financial data is presented. In particular we investigate how the statistics of log returns change with different time delays $\tau$. The scale dependent behaviour of financial data can be divided into two regions.…

A new method is proposed which allows a reconstruction of time series based on higher order multiscale statistics given by a hierarchical process. This method is able to model the time series not only on a specific scale but for a range of…

High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing the Kullback-Leibler divergence between…

A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with…

It is known that the memory is relevant in the symmetric phase of the minority game. In our previous work we have successfully explained the quasi-periodic behavior of the game in the symmetric phase with the help of the probability theory.…

Current methods for determining whether a time series exhibits fractal structure (FS) rely on subjective assessments on estimators of the Hurst exponent (H). Here, I introduce the Bayesian Assessment of Scaling, an analytical framework for…

After a failure or attack the structure of a complex network changes due to node removal. Here, we show that the degree distribution of the distorted network, under any node disturbances, can be easily computed through a simple formula.…

In this work we present a simple and fast computational method, the visibility algorithm, that converts a time series into a graph. The constructed graph inherits several properties of the series in its structure. Thereby, periodic series…

We present a Bayesian estimation analysis for a particular trace gas detection technique with species separation provided by differential diffusion. The proposed method collects a sample containing multiple gas species into a common volume,…