相关论文: Scaling and memory of intraday volatility return i…
One of the standardized features of financial data is that log-returns are uncorrelated, but absolute log-returns or their squares namely the fluctuating volatility are correlated and is characterized by heavy tailed in the sense that some…
Standard quantitative models of the stock market predict a log-normal distribution for stock returns (Bachelier 1900, Osborne 1959), but it is recognised (Fama 1965) that empirical data, in comparison with a Gaussian, exhibit leptokurtosis…
We study the intraday behaviour of the statistical moments of the trading volume of the blue chip equities that composed the Dow Jones Industrial Average index between 2003 and 2014. By splitting that time interval into semesters, we…
We provide a general probabilistic framework within which we establish scaling limits for a class of continuous-time stochastic volatility models with self-exciting jump dynamics. In the scaling limit, the joint dynamics of asset returns…
The scaling properties of oil price fluctuations are described as a non-stationary stochastic process realized by a time series of finite length. An original model is used to extract the scaling exponent of the fluctuation functions within…
This study presents a unified, distribution-aware, and complexity-informed framework for understanding equity return dynamics in the Indian market, using 34 years (1990 to 2024) of Nifty 50 index data. Addressing a key gap in the…
This paper investigates short-term behaviors of implied volatility of derivatives written on indexes in equity markets when the index processes are constructed by using a ranking procedure. Even in simple market settings where stock prices…
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with…
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…
We study the fluctuations of the area $A=\int_0^T x(t) dt$ under a one-dimensional Brownian motion $x(t)$ in a trapping potential $\sim |x|$, at long times $T\to\infty$. We find that typical fluctuations of $A$ follow a Gaussian…
We present a theoretical argument to derive a scaling law between the mean translocation time $\tau$ and the chain length $N$ for driven polymer translocation. This scaling law explicitly takes into account the pore-polymer interactions,…
A one-dimensional diagonal tight binding electronic system with correlated disorder is investigated. The correlation of the random potential is exponentially decaying with distance and its correlation length diverges as the concentration of…
We study the dynamical properties of the random transverse-field Ising chain at criticality using a mapping to free fermions, with which we can obtain numerically exact results for system sizes, L, as large as 256. The probability…
In this paper we show the convergence of the long-term return $t^{-\mu}\int_0^tX(s)\d s$ for some $\mu\geq1$, where $X$ is the short-term interest rate which follows an extension of Cox-Ingersoll-Ross type model with jumps and memory, and,…
We investigate the general problem of how to model the kinematics of stock prices without considering the dynamical causes of motion. We propose a stochastic process with long-range correlated absolute returns. We find that the model is…
This paper seeks to forecast intraday volatility curves for major foreign exchange (FX) currencies using functional GARCH models. Intraday return curves are observed at a daily frequency, yet preserve the full high-frequency trading…
We study the statistics of the recurrence times between earthquakes above a certain magnitude M$ in California. We find that the distribution of the recurrence times strongly depends on the previous recurrence time $\tau_0$. As a…
This paper introduces a unified approach for modeling high-frequency financial data that can accommodate both the continuous-time jump-diffusion and discrete-time realized GARCH model by embedding the discrete realized GARCH structure in…
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:…
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (2008). The required high-dimensional…