相关论文: Financial Market Dynamics
We consider a class of multiplicative processes which, added with stochastic reset events, give origin to stationary distributions with power-law tails -- ubiquitous in the statistics of social, economic, and ecological systems. Our main…
This paper develops solutions of fractional Fokker-Planck equations describing subdiffusion of probability densities of stochastic dynamical systems driven by non-Gaussian L\'evy processes, with space-time-dependent drift, diffusion and…
Statistical thermodynamics of small systems shows dramatic differences from normal systems. Parallel to the recently presented steady-state thermodynamic formalism for master equation and Fokker-Planck equation, we show that a…
The standard Black-Scholes theory of option pricing is extended to cope with underlying return fluctuations described by general probability distributions. A Langevin process and its related Fokker-Planck equation are devised to model the…
We study a stochastic multiplicative system composed of finite asynchronous elements to describe the wealth evolution in financial markets. We find that the wealth fluctuations or returns of this system can be described by a walk with…
By using the maximum entropy principle, with Tsallis entropy, we obtain an explicit dependence for energy distribution of earthquakes. This function describes very well the observations in a wide range of energies, where other distribution…
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics offers models of markets as complex systems, that try to comprehend macro-, system-wide states of the economy from the…
The Fokker-Planck equation has been very useful for studying dynamic behavior of stochastic differential equations driven by Gaussian noises. In this paper, we derive a Fractional Fokker--Planck equation for the probability distribution of…
We study the dynamics of inertial particles in turbulence using datasets obtained from both direct numerical simulations and laboratory experiments of turbulent swirling flows. By analyzing time series of particle velocity increments at…
The methodology presented provides a quantitative way to characterize investor behavior and price dynamics within a particular asset class and time period. The methodology is applied to a data set consisting of over 250,000 data points of…
We characterize a stochastic dynamical system with tempered stable noise, by examining its probability density evolution. This probability density function satisfies a nonlocal Fokker-Planck equation. First, we prove a superposition…
Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter…
Extreme events and the heavy tail distributions driven by them are ubiquitous in various scientific, engineering and financial research. They are typically associated with stochastic instability caused by hidden unresolved processes.…
We study the nonextensive thermodynamics for open systems. On the basis of the maximum entropy principle, the dual power-law q-distribution functions are re-deduced by using the dual particle number definitions and assuming that the…
Fokker-Planck equations (forward Kolmogorov equations) evolve probability densities in time from an initial condition. For distributions over the real line, these evolution equations can sometimes be transformed into dynamics over the…
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic law. It supports the possibility that…
The statistics of return distributions on various time scales constitutes one of the most informative characteristics of the financial dynamics. Here we present a systematic study of such characteristics for the Polish stock market index…
We point out a connection between anomalous quantum transport in an optical lattice and Tsallis' generalized thermostatistics. Specifically, we show that the momentum equation for the semiclassical Wigner function that describes atomic…
We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ~ 1/f**beta, scaled as power of frequency for various values of beta…
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…