相关论文: Small scale behavior of financial data

For the pedestrian observer, financial markets look completely random with erratic and uncontrollable behavior. To a large extend, this is correct. At first approximation the difference between real price changes and the random walk model…

Three aspects of time series are uncertainty (dispersion at a given time scale), scaling (time-scale dependence), and intermittency (inclination to change dynamics). Simple measures of dispersion are the mean absolute deviation and the…

The probability distribution of log-returns of financial time series, sampled at high frequency, is the basis for any further developments in quantitative finance. In this letter, we present experimental results based on a large set of time…

The financial markets are understood as complex dynamical systems whose dynamics is analysed mostly using nonstationary and brief data sets that usually come from stock markets. For such data sets, a reliable method of analysis is based on…

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…

Statistics of drawdowns (loss from the last local maximum to the next local minimum) plays an important role in risk assessment of investment strategies. As they incorporate higher ($>$ two) order correlations, they offer a better measure…

Records of the traded value f_i(t) of stocks display fluctuation scaling, a proportionality between the standard deviation sigma(i) and the average <f(i)>: sigma(i) ~ f(i)^alpha, with a strong time scale dependence alpha(dt). The…

High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…

Systemic risk measures were introduced to capture the global risk and the corresponding contagion effects that is generated by an interconnected system of financial institutions. To this purpose, two approaches were suggested. In the first…

The analysis of logarithmic return distributions defined over large time scales is crucial for understanding the long-term dynamics of asset price movements. For large time scales of the order of two trading years, the anticipated Gaussian…

The application of Statistical Physics to social systems is mainly related to the search for macroscopic laws, that can be derived from experimental data averaged in time or space,assuming the system in a steady state. One of the major…

We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a…

Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…

The statistics of records for a time series generated by a continuous time random walk is studied, and found to be independent of the details of the jump length distribution, as long as the latter is continuous and symmetric. However, the…

Gradually Truncated Log-normal distribution - Size distribution of firms Abstract Many natural and economical phenomena are described through power law or log- normal distributions. In these cases, probability decreases very slowly with…

We present the analytical and numerical results of a random walk on the family of small-world graphs. The average access time shows a crossover from the regular to random behavior with increasing distance from the starting point of the…

Share price returns on different time scales can be well modelled by a superstatistical dynamics. Here we provide an investigation which type of superstatistics is most suitable to properly describe share price dynamics on various time…

The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…

Computing the similarity between two probability distributions is a recurring theme across control. We introduce a unified family of distances between the probability distributions of two random variables that is based on the discrepancy…

Time irreversibility, defined as the lack of invariance of the statistical properties of a system or time series under the operation of time reversal, has received an increasing attention during the last decades, thanks to the information…