相关论文: Modelling High-frequency Economic Time Series

High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…

An analytical formula for the probability density function (PDF) of the velocity fluctuation in fully-developed turbulence is derived, non-perturbatively, by assuming that its underlying statistics is the one based on the generalized…

This paper deals with the analysis of stochastic systems which can be described by a Langevin equation. By the method presented in this paper drift and diffusion terms of the corresponding Fokker-Planck equation can be extracted from the…

Motivated by stochastic models of climate phenomena, the steady-state of a linear stochastic model with additive Gaussian white noise is studied. Fluctuation theorems for nonequilibrium steady-states provide a constraint on the character of…

A new approach for the analysis of Langevin-type stochastic processes in the presence of strong measurement noise is presented. For the case of Gaussian distributed, exponentially correlated, measurement noise it is possible to extract the…

Unconditional and conditional statistics is used for studying the histograms of magnetic field multi-scale fluctuations in the solar wind near the solar cycle minimum in 2008. The unconditional statistics involves the magnetic data during…

In the face of the upcoming 30th anniversary of econophysics, we review our contributions and other related works on the modeling of the long-range memory phenomenon in physical, economic, and other social complex systems. Our group has…

We analyze the probability density function (PDF) of waiting times between financial loss exceedances. The empirical PDFs are fitted with the self-excited Hawkes conditional Poisson process with a long power law memory kernel. The Hawkes…

We present results of the numerical simulations and the scaling characteristics of one-dimensional random fluctuations with heavy tailed probability distribution functions. Assuming that the distribution function of the random fluctuations…

We present a nonlinear stochastic differential equation (SDE) which mimics the probability density function (PDF) of the return and the power spectrum of the absolute return in financial markets. Absolute return as a measure of market…

Intermittency in MHD turbulence has been analyzed using high resolution 2D numerical simulations. We show that the Probability Distribution Functions (PDFs) of the fluctuations of the Elsasser fields, magnetic field and velocity field…

The solution of the Langevin equation of an anisotropic fluid [Colmenares P. J; L\'opez F. and Olivares-Rivas W., Phys. Rev E. 2009, 80061123] allowed the evaluation of the position dependent perpendicular and parallel diffusion…

We propose how to quantify high-frequency market sentiment using high-frequency news from NASDAQ news platform and support vector machine classifiers. News arrive at markets randomly and the resulting news sentiment behaves like a…

We consider the usual Langevin equation depending on an internal time. This parameter is substituted by a first passage time of a self-similar Markov process. Then the Gaussian process is parent, and the hitting time process is directing.…

Stochastic processes with renewal properties are powerful tools for modeling systems where memory effects and long-time correlations play a significant role. In this work, we study a broad class of renewal processes where a variable's value…

We study the motion of a Brownian particle in a medium with inhomogeneous temperature. In the overdamped regime of low Reynolds numbers, the probability distribution function (PDF) of the particle is obtained from the van Kampen diffusion…

A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked…

In this note, we present a version of Hoeffding's inequality in a continuous-time setting, where the data stream comes from a uniformly ergodic diffusion process. Similar to the well-studied case of Hoeffding's inequality for discrete-time…

There has been considerable efforts to understand the underlying complex dynamics in physiological time series. Methods originated from statistical physics revealed a non-Gaussian statistics and long range correlations in those signals.…

Diffusion in nonhomogeneous media is described by a dynamical process driven by a general Levy noise and subordinated to a random time; the subordinator depends on the position. This problem is approximated by a multiplicative process…