相关论文: Are all highly liquid securities within the same c…
The ground-state properties of one-dimensional 3He are studied using quantum Monte Carlo methods. The equation of state is calculated in a wide range of physically relevant densities and is well reproduced by a power-series fit. The…
Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk measures, observed…
It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion…
We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail, while the short-time return distribution…
We study a robust portfolio optimization problem under model uncertainty for an investor with logarithmic or power utility. The uncertainty is specified by a set of possible L\'evy triplets; that is, possible instantaneous drift, volatility…
Nonequilibrium complex systems are often effectively described by the mixture of different dynamics on different time scales. Superstatistics, which is "statistics of statistics" with two largely separated time scales, offers a consistent…
The ordinary Levy motion is a random process whose stationary independent increments are statistically self-affine and distributed with a stable probability law characterized by the Levy index alpha, 0 < alpha < 2. The divergence of…
We suggest an extension of the standard concept of statistical ensembles. Namely, we introduce a class of ensembles with extensive quantities fluctuating according to an externally given distribution. As an example the influence of energy…
Statistical fluctuations of the light emitted from amplifying random media are studied theoretically and numerically. The characteristic scales of the diffusive motion of light lead to Gaussian or power-law (Levy) distributed fluctuations…
It is well known that the probability distribution of high-frequency financial returns is characterized by a leptokurtic, heavy-tailed shape. This behavior undermines the typical assumption of Gaussian log-returns behind the standard…
Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…
A hypothesis that the financial log-periodicity, cascading self-similarity through various time scales, carries signatures of a law is pursued. It is shown that the most significant historical financial events can be classified amazingly…
This paper investigates short-term behaviors of implied volatility of derivatives written on indexes in equity markets when the index processes are constructed by using a ranking procedure. Even in simple market settings where stock prices…
The electrical properties of a two-dimensional packing of metallic beads are studied. Small mechanical perturbations of the packing leads to giant electrical fluctuations. Fluctuations are found to be non-gaussian and seem to belong to Levy…
The macroscale structure and microscale fluctuation statistics of late-time asymptotic steady state flows in cylindrical geometries is studied using the methods of equilibrium statistical mechanics. The axisymmetric assumption permits an…
We present a set of models of the main stylized facts of market price fluctuations. These models comprise dynamical evolution with threshold dynamics and Langevin price equation with multiplicative noise, percolation models to describe the…
The daily volume of transaction on the New York Stock Exchange and its day-to-day fluctuations are analysed with respect to power-law tails as well long-term trends. We also model the transition to a Gaussian distribution for longer time…
In the present work, a novel second-order approximation for ATM option prices is derived for a large class of exponential L\'{e}vy models with or without Brownian component. The results hereafter shed new light on the connection between…
A bubble is characterized by the presence of an underlying asset whose discounted price process is a strict local martingale under the pricing measure. In such markets, many standard results from option pricing theory do not hold, and in…
This study delves into the intricate realm of risk evaluation within the domain of specific financial derivatives, notably options. Unlike other financial instruments, like bonds, options are susceptible to broader risks. A distinctive…