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

We explore heterogeneous prices as a source of heterogeneous or stochastic demand. Heterogeneous prices could arise either because there is actual price variation among consumers or because consumers (mis)perceive prices differently. Our…

Identifying behavior that is relatively invariant under different conditions is a challenging task in far-from-equilibrium complex systems. As an example of how the existence of a semi-invariant signature can be masked by the heterogeneity…

The paper considers an extension of factor analysis to moving average processes. The problem is formulated as a rank minimization of a suitable spectral density. It is shown that it can be adequately approximated via a trace norm convex…

It is suggested that the motion of pedestrians can be described as if they would be subject to `social forces'. These `forces' are not directly exerted by the pedestrians' personal environment, but they are a measure for the internal…

Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility…

The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…

The Social Force Model is one of the most prominent models of pedestrian dynamics. As such naturally much discussion and criticism has spawned around it, some of which concerns the existence of oscillations in the movement of pedestrians.…

A new type of moving average is developed. Whereas a regular moving average (e.g. of price) has a built-in internal time scale (time-window, exponential weight, etc.), the moving average developed in this paper has the weight as the product…

Fluctuations in the return time statistics of a dynamical system can be described by a new spectrum of dimensions. Comparison with the usual multifractal analysis of measures is presented, and difference between the two corresponding sets…

Time variation and persistence are crucial properties of volatility that are often studied separately in energy volatility forecasting models. Here, we propose a novel approach that allows shocks with heterogeneous persistence to vary…

Quantitatively modeling the trajectories and behavior of pedestrians walking in crowds is an outstanding fundamental challenge deeply connected with the physics of flowing active matter, from a scientific point of view, and having societal…

We propose a dynamic model for a system consisting of self-propelled agents in which the influence of an agent on another agent is weighted by geographical distance. A parameter $\alpha$ is introduced to adjust the influence: the smaller…

I review recent work in the statistics literature on instrumental variables methods from an econometrics perspective. I discuss some of the older, economic, applications including supply and demand models and relate them to the recent…

This work suggests modifications to a previously introduced class of heterogeneous agent models that allow for the inclusion of different types of agent motivations and behaviours in a unified way. The agents operate within a highly…

Model-free and model-based reinforcement learning are two ends of a spectrum. Learning a good policy without a dynamic model can be prohibitively expensive. Learning the dynamic model of a system can reduce the cost of learning the policy,…

Experimental evidence is presented connecting small fluctuations in the posture of a quiet standing subject and the probability that the subject will have an accidental fall within a time period of one year. The data can be understood on…

A new concept of the available force in long-range interaction complex systems is proposed. The relationship between the available force in different time intervals and the interaction parameters of complex systems is described. It is found…

The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…

An approach for the description of stochastic systems is derived. Some of the variables in the system are studied forward in time, others backward in time. The approach is based on a perturbation expansion in the strength of the coupling…

This survey reviews recent developments in revealed preference theory. It discusses the testable implications of theories of choice that are germane to specific economic environments. The focus is on expected utility in risky environments;…