数据分析、统计与概率

Dimensional reduction of high dimensional data can be achieved by keeping only the relevant eigenmodes after principal component analysis. However, differentiating relevant eigenmodes from the random noise eigenmodes is problematic. A new…

A question that comes up repeatedly is how to combine the results of two experiments if all that is known is that one experiment had a n-sigma effect and another experiment had a m-sigma effect. This question is not well-posed: depending on…

We have studied the performance of a new algorithm for electron/pion separation in an Emulsion Cloud Chamber (ECC) made of lead and nuclear emulsion films. The software for separation consists of two parts: a shower reconstruction algorithm…

The statistics of return distributions on various time scales constitutes one of the most informative characteristics of the financial dynamics. Here we present a systematic study of such characteristics for the Polish stock market index…

The classical statistics indication for the impossibility to derive quantum mechanics from classical mechanics is proved. The formalism of the statistical Fisher information is used. Next the Fisher information as a tool of the construction…

This paper concerns underdetermined linear instantaneous and convolutive blind source separation (BSS), i.e., the case when the number of observed mixed signals is lower than the number of sources.We propose partial BSS methods, which…

We reformulate the problem of modularity maximization over the set of partitions of a network as a conic optimization problem over the completely positive cone, converting it from a combinatorial optimization problem to a convex continuous…

We study how to detect groups in a complex network each of which consists of component nodes sharing a similar connection pattern. Based on the mixture models and the exploratory analysis set up by Newman and Leicht (Newman and Leicht 2007…

The problem of information extraction from discrete stochastic time series, produced with some finite sampling frequency, using flicker-noise spectroscopy, a general framework for information extraction based on the analysis of the…

In this paper, we propose a novel method to compute the similarity between congeneric nodes in bipartite networks. Different from the standard Person correlation, we take into account the influence of node's degree. Substituting this new…

Continuous time random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporating a random waiting time between particle jumps. In finance, the particle jumps are log-returns and the waiting times measure delay between…

In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian…

We solve exactly a simple model of trend following strategy, and obtain the analytical shape of the profit per trade distribution. This distribution is non trivial and has an option like, asymmetric structure. The degree of asymmetry…

In 1917 Johann Radon introduced the Radon transform which is used in 1963 by A. M. Cormack for application in the context of tomographic image reconstruction. He proposed to reconstruct the spatial variation of the material density of the…

In this note we present a mathematical framework for a rigorous approach to a common track fit for trackers located in the inner region of the ZEUS detector. The approach makes use of the Kalman filter and offers a rigorous treatment of…

By assuming a more realistic nucleation and polarization reversal scenario we build a new statistical switching model for ferroelectrics, which is different from either the Kolmogorov-Avrami-Ishibashi (KAI) model or the…

In this article we analyse linear correlation and non-linear dependence of traded volume, $v$, of the 30 constituents of Dow Jones Industrial Average at different value scales. Specifically, we have raised $v$ to some real value $\alpha $…

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…

A method based on wavelet transform and genetic programming is proposed for characterizing and modeling variations at multiple scales in non-stationary time series. The cyclic variations, extracted by wavelets and smoothened by cubic…

A challenging problem in physics concerns the possibility of forecasting rare but extreme phenomena such as large earthquakes, financial market crashes, and material rupture. A promising line of research involves the early detection of…