相关论文: Scaling transformation and probability distributio…

We analyse tick-by-tick data representing major cryptocurrencies traded on some different cryptocurrency trading platforms. We focus on such quantities like the inter-transaction times, the number of transactions in time unit, the traded…

This article is the second one in a series on the use of scaling invariance in finance. In the first article (cond-mat/9906048), we introduced a new formalism for the pricing of derivative securities, which focusses on tradable objects…

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…

In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose Dow Jones Industrial Average. The analysis consists about…

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…

An empirical algorithm is used here to study the stochastic and multifractal nature of nonlinear time series. A parameter can be defined to quantitatively measure the deviation of the time series from a Wiener process so that the…

We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling…

A microscopic model of financial markets is considered, consisting of many interacting agents (spins) with global coupling and discrete-time thermal bath dynamics, similar to random Ising systems. The interactions between agents change…

We discuss the time evolution of quotations of stocks and commodities and show that corrections to the orthodox Bachelier model inspired by quantum mechanical time evolution of particles may be important. Our analysis shows that traders…

Multifractal analysis is one of the important approaches that enables us to measure the complexity of various data via the scaling properties. We compare the most common techniques used for multifractal exponents estimation from both…

Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using…

In this paper we have analyzed scaling properties of time series of stock market indices (SMIs) of developing economies of Western Balkans, and have compared the results we have obtained with the results from more developed economies. We…

The concepts of scale invariance, self-similarity and scaling have been fruitfully applied to the study of price fluctuations in financial markets. After a brief review of the properties of stable Levy distributions and their applications…

Recent empirical studies suggest that the volatility of an underlying price process may have correlations that decay slowly under certain market conditions. In this paper, the volatility is modeled as a stationary process with long-range…

We investigate large changes, bursts, of the continuous stochastic signals, when the exponent of multiplicativity is higher than one. Earlier we have proposed a general nonlinear stochastic model which can be transformed into Bessel process…

Different methods are used to determine the scaling exponents associated with a time series describing a complex dynamical process, such as those observed in geophysical systems. Many of these methods are based on the numerical evaluation…

Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…

In this paper we propose a new model for volatility fluctuations in financial time series. This model relies on a non-stationary gaussian process that exhibits aging behavior. It turns out that its properties, over any finite time interval,…

Recently, a generalized Bernoulli process (GBP) was developed as a stationary binary sequence that can have long-range dependence. In this paper, we find the scaling limit of a random walk that follows GBP. The result is a new class of…

Oil price data have a complicated multi-scale structure that may vary with time. We use time-frequency analysis to identify the main features of these variations and, in particular, the regime shifts. The analysis is based on a…