相关论文: Anticorrelations and subdiffusion in financial sys…

We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and…

A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…

We study the Langevin dynamics of a heteropolymer by means of a mode-coupling approximation scheme, giving rise to a set of coupled integro-differential equations relating the response and correlation functions. The analysis shows that…

Many complex systems, ranging from migrating cells to animal groups, exhibit stochastic dynamics described by the underdamped Langevin equation. Inferring such an equation of motion from experimental data can provide profound insight into…

The possibility that price dynamics is affected by its distance from a moving average has been recently introduced as new statistical tool. The purpose is to identify the tendency of the price dynamics to be attractive or repulsive with…

In this paper we study the evolution of asset price bubbles driven by contagion effects spreading among investors via a random matching mechanism in a discrete-time version of the liquidity based model of [25]. To this scope, we extend the…

A new stochastic theory of a foreign exchange markets dynamics is developed. As a result we have the new probability distribution which well describes statistical and scaling dependencies ''experimentally'' observed in foreign exchange…

We study the effects of financial shocks on the United States economy by using a Bayesian structural vector autoregressive (SVAR) model that exploits the non-normalities in the data. We use this method to uniquely identify the model and…

Nonequilibrium systems exchange the energy with an environment in the form of work and heat. The work done on a system obeys the fluctuation theorem, while the dissipated heat which differs from the work by the internal energy change does…

In Part II of this paper, we concentrate our analysis on the price dynamical model with the moving average rules developed in Part I of this paper. By decomposing the excessive demand function, we reveal that it is the interplay between…

Identifying behavior that is relatively invariant under different conditions is a challenging task in far-from-equilibrium complex systems. As an example of how the existence of a semi-invariant signature can be masked by the heterogeneity…

Stochastic Langevin dynamics has been traditionally used as a tool to describe non-equilibrium processes. When utilized in systems with collective modes, traditional Langevin dynamics relaxes all modes indiscriminately, regardless of their…

Used to investigate the presence of distinctive recurrent behaviours in natural processes, the recurrence plots can be applied to the analysis of economic data, and, in particular, to the characterization of exchange rates of currencies…

In this work the system of agents is applied to establish a model of the nonlinear distributed signal processing. The evolution of the system of the agents - by the prediction time scale diversified trend followers, has been studied for the…

A simple quantitative example of a reflexive feedback process and the resulting price dynamics after an exogenous price shock to a financial network is presented. Furthermore, an outline of a theory that connects financial reflexivity,…

Theories with a sign problem due to a complex action or Boltzmann weight can sometimes be numerically solved using a stochastic process in the complexified configuration space. However, the probability distribution effectively sampled by…

We explore the international transmission of monetary policy and central bank information shocks originating from the United States and the euro area. Employing a panel vector autoregression, we use macroeconomic and financial variables…

This work studies the symmetry between colloidal dynamics and the dynamics of the Euro--US Dollar currency exchange market (EURUSD). We consider the EURUSD price in the time range between 2001 and 2015, where we find significant qualitative…

We consider work fluctuation relations (FRs) for generic types of dynamics generating anomalous diffusion: Levy flights, long-correlated Gaussian processes and time-fractional kinetics. By combining Langevin and kinetic approaches we…

The probability distributions, as well as the mean values of stochastic currents and fluxes, associated with a driven Langevin process, provide a good and topologically protected measure of how far a stochastic system is driven out of…