相关论文: Apparent multifractality in financial time series

A recent method based on the concurrence of complex networks and multifractal analyses is applied for the first time to explore ground-level ozone behavior. Ozone time series are converted into complex networks for their posterior analysis.…

The distribution of the return intervals $\tau$ between volatilities above a threshold $q$ for financial records has been approximated by a scaling behavior. To explore how accurate is the scaling and therefore understand the underlined…

In multivariate time series systems, lead-lag relationships reveal dependencies between time series when they are shifted in time relative to each other. Uncovering such relationships is valuable in downstream tasks, such as control,…

For many externally driven complex systems neither the noisy driving force, nor the internal dynamics are a priori known. Here we focus on systems for which the time dependent activity of a large number of components can be monitored,…

We introduce a tractable multi-currency model with stochastic volatility and correlated stochastic interest rates that takes into account the smile in the FX market and the evolution of yield curves. The pricing of vanilla options on FX…

A new approach is presented to describe the change in the statistics of the log return distribution of financial data as a function of the timescale. To this purpose a measure is introduced, which quantifies the distance of a considered…

Throughout history, many countries have repeatedly experienced large swings in asset prices, which are usually accompanied by large fluctuations in macroeconomic activity. One of the characteristics of the period before major economic…

When time and velocities are dynamically rescaled relative to the instantaneous turnover time, the Sabra shell model acquires another (hidden) form of scaling symmetry. It has been previously shown that this symmetry is statistically…

We develop a new stock market index that captures the chaos existing in the market by measuring the mutual changes of asset prices. This new index relies on a tensor-based embedding of the stock market information, which in turn frees it…

We introduce a general approach for modeling the dynamic of multivariate time series when the data are of mixed type (binary/count/continuous). Our method is quite flexible and conditionally on past values, each coordinate at time $t$ can…

We calculate the realized volatility in the spin model of financial markets and examine the returns standardized by the realized volatility. We find that moments of the standardized returns agree with the theoretical values of standard…

Characterising the stratosphere as a turbulent system, temporal fluctuations often show different correlations for different time scales as well as intermittent behaviour that cannot be captured by a single scaling exponent. In this study,…

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…

Multiscale phenomena are ubiquitous in nature as well in laboratories. A broad range of interacting space and time scales determines the dynamics of many systems which are inherently multiscale. In most research disciplines multiscale…

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…

The simulation of systems that act on multiple time scales is challenging. A stable integration of the fast dynamics requires a highly accurate approximation whereas for the simulation of the slow part, a coarser approximation is accurate…

An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock markets, memory effect of the average…

In this article, we consider abstract linear conservative systems and their time-discrete counterparts. Our main result is a representation formula expressing solutions of the continuous model through the solution of the corresponding…

Modelling multivariate circular time series is considered. The cross-sectional and serial dependence is described by circulas, which are analogs of copulas for circular distributions. In order to obtain a simple expression of the dependence…

In complex systems such as turbulent flows and financial markets, the dynamics in long and short time-lags, signaled by Gaussian and fat-tailed statistics, respectively, calls for a unified description. To address this issue we analyze a…