相关论文: Universal Fluctuations of the FTSE100
We explore constraints on the spectral index $n$ of density fluctuations and the neutrino energy density fraction $\Omega_{HDM}$, employing data from a variety of large scale observations. The best fits occur for $n\approx 1$ and…
We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock…
We study the volatility of the S&P500 stock index from 1984 to 1996 and find that the volatility distribution can be very well described by a log-normal function. Further, using detrended fluctuation analysis we show that the volatility is…
Stochastic restart may drastically reduce the expected run time of a computer algorithm, expedite the completion of a complex search process, or increase the turnover rate of an enzymatic reaction. These diverse first-passage-time (FPT)…
We study the probability distribution $P$ of the sum of a large number of non-identically distributed random variables $n_m$. Condensation of fluctuations, the phenomenon whereby one of such variables provides a macroscopic contribution to…
In this short paper we outline a recipe for the reconstruction of $F(R)$ gravity starting from single field inflationary potentials in the Einstein frame. For simple potentials one can compute the explicit form of $F(R)$, whilst for more…
We study the portfolio problem of maximizing the outperformance probability over a random benchmark through dynamic trading with a fixed initial capital. Under a general incomplete market framework, this stochastic control problem can be…
We consider the estimation of the multi-period optimal portfolio obtained by maximizing an exponential utility. Employing Jeffreys' non-informative prior and the conjugate informative prior, we derive stochastic representations for the…
The Beta Rank Function (BRF) $x(u) =A(1-u)^b/u^a$, where $u$ is the normalized and continuous rank of an observation $x$, has wide applications in fitting real-world data from social science to biological phenomena. The underlying…
In the context of Brans--Dicke theories, eternal inflation is described in such a way that the evolution of the inflaton field is determined by the value of the Planck mass in different regions of the universe. The Planck mass is given by…
Earlier studies have shown that stock market distributions can be well described by distributions derived from Tsallis entropy, which is a generalization of Shannon entropy to non-extensive systems. In this paper, Tsallis relative entropy…
A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting approximation is a four tuple Markov…
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…
We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets: (a) the New York Stock Exchange, (b) the…
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 use a continuous-time random walk (CTRW) to model market fluctuation data from times when traders experience excessive losses or excessive profits. We analytically derive "superstatistics" that accurately model empirical market activity…
Fluctuations of local fields are crucial for the prediction of failure in random composites across different scales as well as estimating the inelastic behaviour of it. This can be quantified statistically through second moments of the…
We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using Multifractal Detrended Fluctuation Analysis (MFDFA). By calculating the singularity spectra $f(\alpha)$ we show…
The regular variation model for multivariate extremes decomposes the joint distribution of the extremes in polar coordinates in terms of the angles and the norm of the random vector as the product of two independent densities: the angular…
Option pricing formulas are derived from a non-Gaussian model of stock returns. Fluctuations are assumed to evolve according to a nonlinear Fokker-Planck equation which maximizes the Tsallis nonextensive entropy of index $q$. A generalized…