相关论文: Hidden Forces and Fluctuations from Moving Average…

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…

Hidden variable graphical models can sometimes imply constraints on the observable distribution that are more complex than simple conditional independence relations. These observable constraints can falsify assumptions of the model that…

Properties of weighted averages are studied for the general case that the individual measurements are subject to hidden correlations and have asymmetric statistical as well as systematic errors. Explicit expressions are derived for an…

The distance from a given position toward one or more destinations, exits, and way points is a more or less important input variable in most models of pedestrian dynamics. Except for the special case when there are no obstacles in a concave…

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…

Fluctuation dynamics of an experimentally measured observable offer a primary signal for nonequilibrium systems, along with dynamics of the mean. While universal speed limits for the mean have actively been studied recently, constraints for…

The dynamics of market prices is described as the evolution of opinions in the trading community regarding future market behavior. The price then is a function of the voting process of the market players in favor to raise or reduce the…

A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an…

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…

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…

The influence of the past price behaviour on the realized volatility is investigated in the present article. The results show that trending (drifting) prices lead to increased (decreased) realized volatility. This ``volatility induced by…

We propose a new test statistic based on a score process for determining the statistical significance of a putative signal that may be a small perturbation to a noisy experimental background. We derive the reference distribution for this…

Dynamic feature selection, where we sequentially query features to make accurate predictions with a minimal budget, is a promising paradigm to reduce feature acquisition costs and provide transparency into a model's predictions. The problem…

We study prior-independent pricing for selling a single item to a single buyer when the seller observes only a single sample from the valuation distribution, while the buyer knows the distribution. Classical robust pricing approaches either…

What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…

Extracted event data from information systems often contain a variety of process executions making the data complex and difficult to comprehend. Unlike current research which only identifies the variability over time, we focus on other…

The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself.…

Understanding the statistical dynamics of growth and inequality is a fundamental challenge to ecology and society. Recent analyses of wealth and income dynamics in contemporary societies show that economic inequality is very dynamic and…

Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. Anticorrelations of price returns, and subdiffusion of prices is found from the model,…

Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…