数据分析、统计与概率

This study investigates that a characteristic time scale on an exchange rate market (USD/JPY) is examined for the period of 1998 to 2000. Calculating power spectrum densities for the number of tick quotes per minute and averaging them over…

Using data from a sample of 28 representatives countries, we propose a classification of currency crises consequences based on the ultrametric analysis of the real exchange rate movements time series, without any further assumption. By…

In foreign exchange markets monotonic rate changes can be observed in time scale of order of an hour on the days that governmental interventions took place. We estimate the starting time of an intervention using this characteristic behavior…

This contribution to the proceedings of the Cracow meeting on `Applications of Random Matrix Theory' summarizes a series of studies, some old and others more recent on financial applications of Random Matrix Theory (RMT). We first review…

We derive an equation of motion for interest-rate yield curves by applying a minimum Fisher information variational approach to the implied probability density. By construction, solutions to the equation of motion recover observed bond…

The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model…

This review presents the fundamentals of Flicker-Noise Spectroscopy (FNS), a general phenomenological methodology in which the dynamics and structure of complex systems, characterized by nonlinear interactions, dissipation, and inertia, are…

We propose a new approach for properly analyzing stochastic time series by mapping the dynamics of time series fluctuations onto a suitable nonequilibrium surface-growth problem. In this framework, the fluctuation sampling time interval…

It is ubiquitous in natural and social sciences that two variables, recorded temporally or spatially in a complex system, are cross-correlated and possess multifractal features. We propose a new method called multifractal detrended…

The problem of filtering information from large correlation matrices is of great importance in many applications. We have recently proposed the use of the Kullback-Leibler distance to measure the performance of filtering algorithms in…

We show that the Kullback-Leibler distance is a good measure of the statistical uncertainty of correlation matrices estimated by using a finite set of data. For correlation matrices of multivariate Gaussian variables we analytically…

The ARCH process (R. F. Engle, 1982) constitutes a paradigmatic generator of stochastic time series with time-dependent variance like it appears on a wide broad of systems besides economics in which ARCH was born. Although the ARCH process…

Weighted histogram in Monte-Carlo simulations is often used for the estimation of a probability density function. It is obtained as a result of random experiment with random events that have weights. In this paper the bin contents of…

We give a classical confidence belt construction which unifies the treatment of upper confidence limits for null results and two-sided confidence intervals for non-null results. The unified treatment solves a problem (apparently not…

In a neutron lifetime experiment conducted at the National Institute of Standards and Technology, protons produced by neutron decay events are confined in a Penning trap. In each run of the experiment, there is a trapping stage of duration…

The cascade training technique which was developed during our work on the MiniBooNE particle identification has been found to be a very efficient way to improve the selection performance, especially when very low background contamination…

This paper describes the Monte Carlo simulation developed specifically for the VCS experiments below pion threshold that have been performed at MAMI and JLab. This simulation generates events according to the (Bethe-Heitler + Born) cross…

KamLAND is a reactor neutrino oscillation experiment with a very long baseline. This experiment successfully measured oscillation phenomena of reactor antineutrinos coming mainly from 53 reactors in Japan. In order to extract the results,…

Using a matched filter technique, we derive the minimum variance, unbiased estimator for the equilibrium displacement of a damped harmonic oscillator in thermal equilibrium when interactions with the thermal bath are the leading source of…

The paper advocates the use of a statistical tool dedicated to the exploration of data samples populated by several sources of events. This new technique, called sPlot, is able to unfold the contributions of the different sources to the…