相关论文: Returns in futures markets and $\nu=3$ t-distribut…

In this paper, we provide a simple, ``generic'' interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as observed…

This overview article concerns the notion of fractional smoothness of random variables of the form $g(X_T)$, where $X=(X_t)_{t\in [0,T]}$ is a certain diffusion process. We review the connection to the real interpolation theory, give…

In this study, we perform some analysis for the probability distributions in the space of frequency and time variables. However, in the domain of high frequencies, it behaves in such a way as the highly non-linear dynamics. The wavelet…

Estimation of the complete distribution of a random variable is a useful primitive for both manual and automated decision making. This problem has received extensive attention in the i.i.d. setting, but the arbitrary data dependent setting…

We conclude from an analysis of high resolution NYSE data that the distribution of the traded value $f_i$ (or volume) has a finite variance $\sigma_i$ for the very large majority of stocks $i$, and the distribution itself is non-universal…

The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…

A dynamic herding model with interactions of trading volumes is introduced. At time $t$, an agent trades with a probability, which depends on the ratio of the total trading volume at time $t-1$ to its own trading volume at its last trade.…

For non-uniformly hyperbolic dynamical systems we consider the time series of maxima along typical orbits. Using ideas based upon quantitative recurrence time statistics we prove convergence of the maxima (under suitable normalization) to…

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…

Continuous time random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporating a random waiting time between particle jumps. In finance, the particle jumps are log-returns and the waiting times measure delay between…

In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of the…

Log-normal continuous random cascades form a class of multifractal processes that has already been successfully used in various fields. Several statistical issues related to this model are studied. We first make a quick but extensive review…

The problem of non-stationarity in financial markets is discussed and related to the dynamic nature of price volatility. A new measure is proposed for estimation of the current asset volatility. A simple and illustrative explanation is…

Mining 29,000 accounting ratios for t-statistics $> 2.0$ leads to cross-sectional return predictability similar to the peer review process. For both, $\approx50\%$ of predictability remains after the original sample periods. This finding…

We develop a general theory of the time distribution of quantum events, applicable to a large class of problems such as arrival time, dwell time and tunneling time. A stopwatch ticks until an awaited event is detected, at which time the…

In this paper we study the volatility and its probability distribution function for the cumulative production based on the experience curve hypothesis. This work presents a generalization of the study of volatility in [1], which addressed…

Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…

This paper suggests a generalized distribution of response times to new information $\sim t^{-b}$ for human populations in the absence of deadlines. This has important implications for psychological and social studies as well the study of…

Possible distributions are discussed for intertrade durations and first-passage processes in financial markets. The view-point of renewal theory is assumed. In order to represent market data with relatively long durations, two types of…

A detailed analysis of correlation between stock returns at high frequency is compared with simple models of random walks. We focus in particular on the dependence of correlations on time scales - the so-called Epps effect. This provides a…