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

The concept of kurtosis is used to describe and compare theoretical and empirical distributions in a multitude of applications. In this connection, it is commonly applied to asymmetric distributions. However, there is no rigorous…

In the new field of financial systemic risk, the network of interbank counterparty relationships can be described as a directed random graph. In "cascade models" of systemic risk, this "skeleton" acts as the medium through which financial…

Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in log normalized returns, the…

This paper considers the ideal gas-like model of trading markets, where each individual is identified as a gas molecule that interacts with others trading in elastic or money-conservative collisions. Traditionally this model introduces…

The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as…

We study the phenomena at the overlap of quantum chaos and nonclassical statistics for the time-dependent model of nonlinear oscillator. It is shown in the framework of Mandel Q-parameter and Wigner function that the statistics of…

We consider transport properties of the chaotic (strange) attractor along unfolded trajectories of the dissipative standard map. It is shown that the diffusion process is normal except of the cases when a control parameter is close to some…

We consider random vectors drawn from a multivariate normal distribution and compute the sample statistics in the presence of non-stationary correlations. For this purpose, we construct an ensemble of random correlation matrices and average…

We prove a generalized fluctuation-dissipation theorem for a certain class of out-of-time-ordered correlators (OTOCs) with a modified statistical average, which we call bipartite OTOCs, for general quantum systems in thermal equilibrium.…

In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…

We develop a new stock market index that captures the chaos existing in the market by measuring the mutual changes of asset prices. This new index relies on a tensor-based embedding of the stock market information, which in turn frees it…

Empirical diagnosis of stability has received considerable attention, mostly focused on variance metrics for early warning signals of abrupt system change. Despite this, the theoretical foundation and application has been limited to…

The use of factor stochastic volatility models requires choosing the number of latent factors used to describe the dynamics of the financial returns process; however, empirical evidence suggests that the number and makeup of pertinent…

We study the effects of a probabilistic refractory period in the collective behavior of coupled discrete-time excitable cells (SIRS-like cellular automata). Using mean-field analysis and simulations, we show that a synchronized phase with…

We studied the volatility and cross-sectional return dispersion effect of S&P Health Care Sector under the covid-19 epidemic. We innovatively used the Google index to proxy the impact of the epidemic and modeled the volatility. We also…

The transitional regime of plane channel flow is investigated {above} the transitional point below which turbulence is not sustained, using direct numerical simulation in large domains. Statistics of laminar-turbulent spatio-temporal…

We analyze the asymptotic states in the partially ordered phase of a system of globally coupled logistic maps. We confirm that, regardless of initial conditions, these states consist of a few clusters, and they properly belong in the…

Fractional statistics and quantum chaos are both phenomena associated with the non-local storage of quantum information. In this article, we point out a connection between the butterfly effect in (1+1)-dimensional rational conformal field…

Stochastic point processes relevant to the theory of long-range aperiodic order are considered that display diffraction spectra of mixed type, with special emphasis on explicitly computable cases together with a unified approach of…

Percolation is perhaps the simplest example of a process exhibiting a phase transition and one of the most studied phenomena in statistical physics. The percolation transition is continuous if sites/bonds are occupied independently with the…