相关论文: A continuous time random walk model for financial …

In high-frequency financial data not only returns, but also waiting times between consecutive trades are random variables. Therefore, it is possible to apply continuous-time random walks (CTRWs) as phenomenological models of the…

The distribution of money is analysed in connection with the Boltzmann distribution of energy in the degenerate states of molecules. Plots of the population density of income distribution for various countries are well reproduced by a Gamma…

This paper proceeds an approximate calculation of ultimate time survival probability for bi-seasonal discrete time risk model when premium rate equals two. The same model with income rate equal to one was investigated in 2014 by Damarackas…

We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this…

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…

Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…

We have studied numerically the statistical mechanics of the dynamic phenomena, including money circulation and economic mobility, in some transfer models. The models on which our investigations were performed are the basic model proposed…

We study the distributions of money in a simple closed economic system for different types of monetary transactions. We know that for arbitrary and random sharing but locally conserving money transactions, the money distribution goes to the…

We derive an exact closed-form analytical expression for the distribution of the cover time for a random walk over an arbitrary graph. In special case, we derive simplified exact expressions for the distributions of cover time for a…

In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock…

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…

We consider the distribution of the duration time, the time elapsed since it began, of a diffusion process given its present position, under the assumption that the process began at the origin. For unbiased diffusion, the distribution does…

The cover-time problem, i.e., time to visit every site in a system, is one of the key issues of random walks with wide applications in natural, social, and engineered systems. Addressing the full distribution of cover times for random walk…

In this paper, we investigate the economic mobility in some money transfer models which have been applied into the research on wealth distribution. We demonstrate the mobility by recording the time series of agents' ranks and observing…

Consider a system performing a continuous-time random walk on the integers, subject to catastrophes occurring at constant rate, and followed by exponentially-distributed repair times. After any repair the system starts anew from state zero.…

We study continuous time Markov processes on graphs. The notion of frequency is introduced, which serves well as a scaling factor between any Markov time of a continuous time Markov process and that of its jump chain. As an application, we…

In this paper, we consider a stochastic process that may experience random reset events which relocate the system to its starting position. We focus our attention on a one-dimensional, monotonic continuous-time random walk with a constant…

Random walk has wide applications in many fields, such as machine learning, biology, physics, and chemistry. Random walk can be discrete or continuous in time and space. Asymmetric random walk could be described by drift-diffusion equation.…

We study the poor-biased model for money exchange introduced in [2]: agents are being randomly picked at a rate proportional to their current wealth, and then the selected agent gives a dollar to another agent picked uniformly at random.…

We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…