相关论文: Are all highly liquid securities within the same c…

We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent based model in which all components of the model are…

We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large time scales (15 minutes) large price fluctuations are…

I show that if the capital accumulation dynamics is stochastic a new term, in addition to that given by accounting prices, has to be introduced in order to derive a correct estimate of the genuine wealth of an economy. In a simple model…

We establish universal Gaussian fluctuations for the mesoscopic linear eigenvalue statistics in the vicinity of the cusp-like singularities of the limiting spectral density for Wigner-type random matrices. Prior to this work, the linear…

This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility…

One of the standardized features of financial data is that log-returns are uncorrelated, but absolute log-returns or their squares namely the fluctuating volatility are correlated and is characterized by heavy tailed in the sense that some…

This study deals with continuous limits of interacting one-dimensional diffusive systems, arising from stochastic distortions of discrete curves with various kinds of coding representations. These systems are essentially of a…

We study the behavior of the critical price of an American put option near maturity in the exponential L\'evy model when the underlying stock pays dividends at a continuous rate. In particular, we prove that, in situations where the limit…

We study sums of independent and identically distributed random velocities in special relativity. We show that the resulting one-dimensional velocity distributions are not only stable under relativistic velocity addition but define a…

We price and replicate a variety of claims written on the log price $X$ and quadratic variation $[X]$ of a risky asset, modeled as a positive semimartingale, subject to stochastic volatility and jumps. The pricing and hedging formulas do…

Complex systems consist of many interacting elements which participate in some dynamical process. The activity of various elements is often different and the fluctuation in the activity of an element grows monotonically with the average…

A unified approach is proposed to describe the statistics of the short time dynamics of multiscale complex systems. The probability density function of the relevant time series (signal) is represented as a statistical superposition of a…

We study a hard sphere gas at equilibrium, and prove that in the low density limit, the fluctuations converge to a Gaussian process governed by the fluctuating Boltzmann equation. This result holds for arbitrarily long times. The method of…

We conclude from an analysis of high resolution NYSE data that the distribution of the traded value $f_i$ (or volume) has a finite variance $\sigma_i$ for the very large majority of stocks $i$, and the distribution itself is non-universal…

We model the term structure of the forward default intensity and the default density by using L\'evy random fields, which allow us to consider the credit derivatives with an after-default recovery payment. As applications, we study the…

We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Levy-type martingale subject to default. This class of models allows for local volatility, local default intensity, and a locally dependent…

The Luttinger liquid in which the concentration of electrons varies randomly with coordinate is considered. We study the fluctuations of the tunnel conductance, caused by the randomness in the concentration. If the concentration changes…

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the…

We extend recent results on the exact hydrodynamics of a system of diffusive active particles displaying a motility-induced phase separation to account for typical fluctuations of the dynamical fields. By calculating correlation functions…

One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a…