相关论文: Returns in futures markets and $\nu=3$ t-distribut…
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…
Time series prediction is a widespread and well studied problem with applications in many domains (medical, geoscience, network analysis, finance, econometry etc.). In the case of multivariate time series, the key to good performances is to…
Financial time series forecasting is, without a doubt, the top choice of computational intelligence for finance researchers from both academia and financial industry due to its broad implementation areas and substantial impact. Machine…
This paper aims to provide a simple modelling of speculative bubbles and derive some quantitative properties of its dynamical evolution. Starting from a description of individual speculative behaviours, we build and study a second order…
The analysis of observed conditional distributions of both lagged and simultaneous intraday price increments of a basket of stocks reveals phenomena of dependence - induced volatility smile and kurtosis reduction. A model based on…
We investigate the local time $(T_{loc})$ statistics for a run and tumble particle in an one dimensional inhomogeneous medium. The inhomogeneity is introduced by considering the position dependent rate of the form $R(x) = \gamma…
The distribution of the returns for a stock are not well described by a normal probability density function (pdf). Student's t-distributions, which have fat tails, are known to fit the distributions of the returns. We present pricing of…
Factorial moments are convenient tools in particle physics to characterize the multiplicity distributions when phase-space resolution ($\Delta$) becomes small. They include all correlations within the system of particles and represent…
We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling…
Lead-lag relationships, integral to market dynamics, offer valuable insights into the trading behavior of high-frequency traders (HFTs) and the flow of information at a granular level. This paper investigates the lead-lag relationships…
We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is…
Stylized facts of empirical assets log-returns $Z$ include the existence of (semi) heavy tailed distributions $f_Z(z)$ and a non-linear spectrum of Hurst exponents $\tau(\beta)$. Empirical data considered are daily prices of 10 large…
Financial time series typically exhibit strong fluctuations that cannot be described by a Gaussian distribution. In recent empirical studies of stock market indices it was examined whether the distribution P(r) of returns r(tau) after some…
It is a challenging task to identify the best possible models based on given empirical data of observed time series. Though the financial markets provide us with a vast amount of empirical data, the best model selection is still a big…
This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval {\Delta} results in…
In the setting of dominated statistical models, we provide conditions yielding strong continuity of the posterior distribution with respect to the observed data. We show some applications, with special focus on exponential models.
We empirically examine the intraday return- and volatility-forecasting power of on-chain flow data for Bitcoin(BTC), Ethereum(ETH), and Tether(USDT). We find ETH net inflows to strongly predict ETH returns and volatility in the 2017-2023…
We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather…
European options can be priced when returns follow a Student's t-distribution, provided that the asset is capped in value or the distribution is truncated. We call pricing of options using a log Student's t-distribution a Gosset approach,…
A single queueing system with time-dependent exponentially distributed arrival processes and exponential machine processes (Kendall notation $M_t/M_t/1$) is analyzed. Modeling the time evolution for the discrete queue-length distribution by…