相关论文: Scaling and correlation in financial data

The field theoretic renormalization group and operator product expansion are applied to the problem of a passive scalar advected by the Gaussian nonsolenoidal velocity field with finite correlation time, in the presence of large-scale…

Simulation results of Ising systems for several update rules, observables, and dimensions are analyzed. The lattice-size dependence is discussed for the autocorrelation times and for the weights of eigenvalues, giving fit results in the…

An analytical study of the return time distribution of extreme events for stochastic processes with power-law correlation has been carried on. The calculation is based on an epsilon-expansion in the correlation exponent:…

We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…

This article is a contribution to the understanding of fluctuations in the out of equilibrium dynamics of glassy systems. By extending theoretical ideas based on the assumption that time-reparametrization invariance develops asymptotically…

Realized moments of higher order computed from intraday returns are introduced in recent years. The literature indicates that realized skewness is an important factor in explaining future asset returns. However, the literature mainly…

The assessment of risk based on historical data faces many challenges, in particular due to the limited amount of available data, lack of stationarity, and heavy tails. While estimation on a short-term horizon for less extreme percentiles…

Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…

In this manuscript we present a comparative study about the determination of the relaxation (\textit{i.e.}, independence) time scales obtained from the correlation function, the mutual information, and a criterion based on the evaluation of…

Following recent experiments on power law blinking behavior of single nano-crystals, we calculate two-time intensity correlation functions <I(t)I(t+t')> for these systems. We use a simple two state (on and off) stochastic model to describe…

Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series. This paper uses an adaptive spectral technique which jointly models the non-stationarity and…

This article is a presentation of specific recent results describing scaling limits of individual-based models. Thanks to them, we wish to relate the time-scales typical of demographic dynamics and natural selection to the parameters of the…

The way the increment statistics of turbulent velocity fluctuations scale with the increment size is a centerpiece of turbulence theories. We report data on decaying turbulence in the Max Planck Variable Density Turbulence Tunnel (VDTT),…

By studying the statistics of recurrence intervals, $\tau$, between volatilities of Internet traffic rate changes exceeding a certain threshold $q$, we find that the probability distribution functions, $P_{q}(\tau)$, for both byte and…

Intrinsic time is an example of an event-based conception of time, used to analyze financial time series. Here, for the first time, we reveal the connection between intrinsic time and physical time. In detail, we present an analytic…

We have discovered 12 independent new empirical scaling laws in foreign exchange data-series that hold for close to three orders of magnitude and across 13 currency exchange rates. Our statistical analysis crucially depends on an…

The correlation properties of the magnitudes of a time series (sometimes called volatility) are associated with nonlinear and multifractal properties and have been applied in a great variety of fields. Here, we have obtained analytically…

A reputation of high volatility accompanies the emergence of Bitcoin as a financial asset. This paper intends to nuance this reputation and clarify our understanding of Bitcoin's volatility. Using daily, weekly, and monthly closing prices…

We propose a stochastic process for stock movements that, with just one source of Brownian noise, has an instantaneous volatility that rises from a type of statistical feedback across many time scales. This results in a stationary…

The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…