相关论文: Multifractality in Time Series

We analyse tick-by-tick data representing major cryptocurrencies traded on some different cryptocurrency trading platforms. We focus on such quantities like the inter-transaction times, the number of transactions in time unit, the traded…

Characterising the stratosphere as a turbulent system, temporal fluctuations often show different correlations for different time scales as well as intermittent behaviour that cannot be captured by a single scaling exponent. In this study,…

Here we develop the theory of seasonal FIEGARCH processes, denoted by SFIEGARCH, establishing conditions for the existence, the invertibility, the stationarity and the ergodicity of these processes. We analyze their asymptotic dependence…

We analyze quantitatively the effect of spurious multifractality induced by the presence of fat-tailed symmetric and asymmetric probability distributions of fluctuations in time series. In the presented approach different kinds of symmetric…

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…

We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We…

The transformer models have been extensively used with good results in a wide area of machine learning applications including Large Language Models and image generation. Here, we inquire on the applicability of this approach to financial…

The analysis of the linearization effect in multifractal analysis, and hence of the estimation of moments for multifractal processes, is revisited borrowing concepts from the statistical physics of disordered systems, notably from the…

This paper explores the mechanisms behind extreme financial events, specifically market crashes, by employing the theoretical framework of phase transitions. We focus on endogenous crashes, driven by internal market dynamics, and model…

Multifractal analysis is a forecasting technique used to study the scaling regularity properties of financial returns, to analyze the long-term memory and predictability of financial markets. In this paper, we propose a novel structural…

With the rise of computing and artificial intelligence, advanced modeling and forecasting has been applied to High Frequency markets. A crucial element of solid production modeling though relies on the investigation of data distributions…

Multiplicative cascades have been introduced in turbulence to generate random or deterministic fields having intermittent values and long-range power-law correlations. Generally this is done using discrete construction rules leading to…

We study in this paper the time evolution of stock markets using a statistical physics approach. Each agent is represented by a spin having a number of discrete states $q$ or continuous states, describing the tendency of the agent for…

We introduce a new diffusion process Xt to describe asset prices within an economic bubble cycle. The main feature of the process, which differs from existing models, is the drift term where a mean-reversion is taken based on an exponential…

Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…

We construct a two-tailed peak-over-threshold Hawkes model that captures asymmetric self- and cross-excitation in and between left- and right-tail extreme values within a time series. We demonstrate its applicability by investigating…

The dynamics of prices in financial markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, a complete stochastic characterization of volatility is still lacking. What it is well…

Selfsimilar space-time fractal fluctuations are generic to dynamical systems in nature such as atmospheric flows, heartbeat patterns, population dynamics, etc. The physics of the long-range correlations intrinsic to fractal fluctuations is…

Analogies between the price dynamics in the foreign exchange market and 3-dimensional fully developed turbulence were recently presented in Nature vol. 381, 767-769 (1996). Independently, we have carried out a study comparing the parallel…

We take prior-to-crash market prices (NASDAQ, Dow Jones Industrial Average) as a signal, a function of time, we project these discrete values onto a vertical axis, thus obtaining a Cantordust. We study said cantordust with the tools of…