相关论文: Financial LPPL Bubbles with Mean-Reverting Noise i…

We analyze the power spectral density of a signal composed of nonoverlapping rectangular pulses. First, we derive a general formula for the power spectral density of a signal constructed from the sequence of nonoverlapping pulses. Then we…

Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate…

We present a simple transformation of the formulation of the log-periodic power law formula of the Johansen-Ledoit-Sornette model of financial bubbles that reduces it to a function of only three nonlinear parameters. The transformation…

Keeping a basic tenet of economic theory, rational expectations, we model the nonlinear positive feedback between agents in the stock market as an interplay between nonlinearity and multiplicative noise. The derived hyperbolic stochastic…

In this paper we explain the wild fluctuations of financial prices from the intrinsic amplifying feedback of speculative supply and demand. Formally, we show that an asset return follows a multiplicative random growth with exogenous input,…

Cosmic Microwave Background (CMB) is an important probe for understanding the inflationary era of the Universe. We consider the Perturbed Power Law (PPL) model of inflation which is a soft deviation from Power Law (PL) inflationary model.…

This paper investigates large fluctuations of Locational Marginal Prices (LMPs) in wholesale energy markets caused by volatile renewable generation profiles. Specifically, we study events of the form $\mathbb{P} \Big ( \mathbf{LMP} \notin…

Time-series forecasting in real-world applications such as finance and energy often faces challenges due to limited training data and complex, noisy temporal dynamics. Existing deep forecasting models typically supervise predictions using…

We present a general methodology to incorporate fundamental economic factors to our previous theory of herding to describe bubbles and antibubbles. We start from the strong form of Rational Expectation and derive the general method to…

A hypothesis that the financial log-periodicity, cascading self-similarity through various time scales, carries signatures of a law is pursued. It is shown that the most significant historical financial events can be classified amazingly…

Power-law noises abound in nature and have been observed extensively in both time series and spatially varying environmental parameters. Although, recent years have seen the extension of traditional stochastic partial differential equations…

A stochastic model for intermittent fluctuations due to a super-position of uncorrelated Lorentzian pulses is presented. For constant pulse duration, this is shown to result in an exponential power spectral density for the stationary…

We propose and implement a nonlinear Verification and Validation (V&V) methodology to test two fitting procedures for the log-periodic power law model (LPPL), a model that has diverse applications across data analysis, but known estimation…

We show that log-periodic power-law (LPPL) functions are intrinsically very hard to fit to time series. This comes from their sloppiness, the squared residuals depending very much on some combinations of parameters and very little on other…

We introduce the concept of "negative bubbles" as the mirror image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the…

Oscillator fluctuations are described as the phase or frequency noise spectrum, or in terms of a wavelet variance as a function of the measurement time. The spectrum is generally approximated by the `power law,' i.e., a Laurent polynomial…

In computational paralinguistics, detecting cognitive load and deception from speech signals is a heavily researched domain. Recent efforts have attempted to apply these acoustic frameworks to corporate earnings calls to predict…

Statistic dynamics of financial systems is investigated, basing on a model of randomly coupled equation system driven by stochastic Langevin force. It is found that in stable regime the noise power spectrum of the system is of 1/f^alpha…

Local differential privacy (LDP) has been deemed as the de facto measure for privacy-preserving distributed data collection and analysis. Recently, researchers have extended LDP to the basic data type in NoSQL systems: the key-value data,…

We model the logarithm of the price (log-price) of a financial asset as a random variable obtained by projecting an operator stable random vector with a scaling index matrix $\underline{\underline{E}}$ onto a non-random vector. The scaling…