相关论文: Financial LPPL Bubbles with Mean-Reverting Noise i…
The origin of the low-frequency noise with power spectrum $1/f^\beta$ (also known as $1/f$ fluctuations or flicker noise) remains a challenge. Recently, the nonlinear stochastic differential equations for modeling $1/f^\beta$ noise have…
We show that power-law analyses of financial commentaries from newspaper web-sites can be used to identify stock market bubbles, supplementing traditional volatility analyses. Using a four-year corpus of 17,713 online, finance-related…
Reconstructions of the primordial power spectrum (PPS) of curvature perturbations from cosmic microwave background anisotropies and large-scale structure data suggest that the usually assumed power-law PPS has localised features (up to…
We demonstrate that human electrophysiological recordings of the local field potential (LFP) from intracranial electrodes, acquired from a variety of cerebral regions, show a ubiquitous $1/f^2$ scaling within the power spectrum. We develop…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
In financial markets, low prices are generally associated with high volatilities and vice-versa, this well known stylized fact usually being referred to as leverage effect. We propose a local volatility model, given by a stochastic…
We investigate the ability of current CMB data to reliably constrain the form of the primordial power spectrum generated during inflation. We attempt to identify more exotic power spectra that yield equally good fits to the data as simple…
The weak noise limit of dissipative dynamical systems is often the most fascinating one. In such a case fluctuations can interact with a rich complexity frequently hidden in deterministic systems to give rise of completely new phenomena…
Log-periodic amplitudes appear in the critical behavior of a large class of systems, in particular when a discrete scale invariance is present. Here we show how to compute these critical amplitudes perturbatively when they originate from a…
Measurements of radio signals induced by an astroparticle generating a cascade present a challenge because they are always superposed with an irreducible noise contribution. Quantifying these signals constitutes a non-trivial task,…
In current MIMO mobile communication systems, phase noise can significantly impair performance. To allow for compensation of these impairments, accurate phase noise modeling is necessary. Numerical modeling of the phase noise process at a…
A possible origin of the anomalous dip and bump in the primordial power spectrum, which are reconstructed from WMAP data corresponding to the multipole $\ell=100\sim 140$ by using the inversion method, is investigated as a consequence of…
We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by…
It is now well established empirically that financial price changes are distributed according to a power law, with cubic exponent. This is a fascinating regularity, as it holds for various classes of securities, on various markets, and on…
This paper examines the asymptotic convergence properties of Lipschitz interpolation methods within the context of bounded stochastic noise. In the first part of the paper, we establish probabilistic consistency guarantees of the classical…
Statistical fluctuations of the light emitted from amplifying random media are studied theoretically and numerically. The characteristic scales of the diffusive motion of light lead to Gaussian or power-law (Levy) distributed fluctuations…
Recent empirical studies suggest that the volatilities associated with financial time series exhibit short-range correlations. This entails that the volatility process is very rough and its autocorrelation exhibits sharp decay at the…
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary…
Stochastic $\delta N$ formalism is a powerful tool to calculate the cosmological correlators non-perturbatively. However, it requires the initial data for the amplitude of the noise on the initial flat hypersurface which for a free theory…
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local…