相关论文: Statistical Signatures in Times of Panic: Markets …

The day-to day fluctuations of Dow Jones Index exhibit fractal fluctuations, namely, a zigzag pattern of successive increases followed by decreases on all space-time scales. Self-similar fractal fluctuations are generic to dynamical systems…

Financial crises are known as crashes that result in a sudden loss of value of financial assets in large part and they continue to occur from time to time surprisingly. In order to discover features of the financial network, the pairwise…

We extend the statistical neurodynamics to study transient dynamics of sequence processing neural networks with finite dilution, and the theoretical results is supported by the extensive numerical simulations. It is found that the order…

We introduce a complex-plane generalization of the consecutive level-spacing distribution, used to distinguish regular from chaotic quantum spectra. Our approach features the distribution of complex-valued ratios between nearest- and…

The downside risk of a portfolio of (equity)assets is generally substantially higher than the downside risk of its components. In particular in times of crises when assets tend to have high correlation, the understanding of this difference…

In a quantum system coupled with a non-Markovian environment, quantum information may flow out of or in to the system. Measuring quantum information flow and its sensitivity to perturbations is important for a better understanding of open…

Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to…

Here, we analyse the behaviour of the higher order standardised moments of financial time series when we truncate a large data set into smaller and smaller subsets, referred to below as time windows. We look at the effect of the economic…

The spectral form factor of random matrix theory plays a key role in the description of disordered and chaotic quantum systems. While its moments are known to be approximately Gaussian, corrections subleading in the matrix dimension, $D$,…

It has been observed that an interesting class of non-Gaussian stationary processes is obtained when in the harmonics of a signal with random amplitudes and phases, frequencies can also vary randomly. In the resulting models, the…

An ensemble of pulse-coupled phase-oscillators is thoroughly analysed in the presence of a mean-field coupling and a dispersion of their natural frequencies. In spite of the analogies with the Kuramoto setup, a much richer scenario is…

A new generic dynamical phenomenon of pseudochaos and its relevance to the statistical physics both modern as well as traditional one are considered and explained in some detail. The pseudochaos is defined as a statistical behavior of the…

Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…

The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…

Inhomogeneous temporal processes, like those appearing in human communications, neuron spike trains, and seismic signals, consist of high-activity bursty intervals alternating with long low-activity periods. In recent studies such bursty…

The stationary distributions of sums of positions of trajectories generated by the logistic map have been found to follow a basic renormalization group (RG) structure: a nontrivial fixed-point multi-scale distribution at the period-doubling…

Many applications in medical statistics as well as in other fields can be described by transitions between multiple states (e.g. from health to disease) experienced by individuals over time. In this context, multi-state models are a popular…

A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an…

Financial markets exhibit an apparent paradox: while directional price movements remain largely unpredictable--consistent with weak-form efficiency--the magnitude of price changes displays systematic structure. Here we demonstrate that…

We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a minimal self-organized model of cascade spreading based on a…