相关论文: Universal Fluctuations of the FTSE100
We have examined the performance of the analytic Hartree-Fock-Slater (HFS) method for various alpha (Slater's exchange parameter) values and empiricaly determined the optimal alpha value by minimizing the mean absolute error (MAE) in…
We study statistical properties of atmospheric particulate matter fluctuations using six years of daily PM2.5 concentration data from fifty-four Indian cities. Despite diverse urban settings and heterogeneous climatic conditions, we find…
An analytical formula for the probability density function (PDF) of the velocity fluctuation in fully-developed turbulence is derived, non-perturbatively, by assuming that its underlying statistics is the one based on the generalized…
Proof that under simple assumptions, such as constraints of Put-Call Parity, the probability measure for the valuation of a European option has the mean derived from the forward price which can, but does not have to be the risk-neutral one,…
In this paper we propose a novel method to study critical systems numerically by a combined collective-mode algorithm and Renormalization Group on the lattice. This method is an improved version of MCRG in the sense that it has all the…
Empirical studies indicate the existence of long range dependence in the volatility of the underlying asset. This feature can be captured by modeling its return and volatility using functions of a stationary fractional Ornstein--Uhlenbeck…
In this paper, we build on using the class of f-divergence induced coherent risk measures for portfolio optimization and derive its necessary optimality conditions formulated in CAPM format. We derive a new f-Beta similar to the Standard…
A powerful statistical interpolating concept, which we call \emph{fully lifted} (fl), is introduced and presented while establishing a connection between bilinearly indexed random processes and their corresponding fully decoupled (linearly…
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 compare the probability distribution of returns for the three major stock-market indexes (Nasdaq, S&P500, and Dow-Jones) with an analytical formula recently derived by Dragulescu and Yakovenko for the Heston model with stochastic…
In this paper, using the shrinkage-based approach for portfolio weights and modern results from random matrix theory we construct an effective procedure for testing the efficiency of the expected utility (EU) portfolio and discuss the…
Using the fluctuation theorem supplemented with geometric arguments, we derive universal features of the (long-time) efficiency fluctuations for thermal and isothermal machines operating under steady or periodic driving, close or far from…
Bursty transport phenomena associated with convective motion present universal statistical characteristics among different physical systems. In this letter, a stochastic univariate model and the associated probability distribution function…
We introduce When Alpha Disappears, a paired evaluation benchmark for diagnosing decision-time leakage in financial machine-learning backtests. Rather than treating leakage as a binary property, the benchmark estimates protocol-induced…
The Spectral Form Factor (SFF) measures the fluctuations in the density of states of a Hamiltonian. We consider a generalization of the SFF called the Loschmidt Spectral Form Factor, $\textrm{tr}[e^{iH_1T}]\textrm{tr} [e^{-iH_2T}]$, for…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
The probability distribution of stock price changes is studied by analyzing a database (the Trades and Quotes Database) documenting every trade for all stocks in three major US stock markets, for the two year period Jan 1994 -- Dec 1995. A…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
A Gaussian fluctuation formula is proved for linear statistics of complex random matrices in the case that the statistic is rotationally invariant. For a general linear statistic without this symmetry, Coulomb gas theory is used to predict…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…