相关论文: Aging in Financial Market
The versatility of renewal theory is owed to its abstract formulation. Renewals can be interpreted as steps of a random walk, switching events in two-state models, domain crossings of a random motion, etc. We here discuss a renewal process…
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…
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…
We construct a financial "Turing test" to determine whether human subjects can differentiate between actual vs. randomized financial returns. The experiment consists of an online video-game (http://arora.ccs.neu.edu) where players are…
We apply the formalism of the continuous time random walk to the study of financial data. The entire distribution of prices can be obtained once two auxiliary densities are known. These are the probability densities for the pausing time…
Aging refers to the property of two-time correlation functions to decay very slowly on (at least) two time scales. This phenomenon has gained recent attention due to experimental observations of the history dependent relaxation behavior in…
In the renewal processes, if the waiting time probability density function is a tempered power-law distribution, then the process displays a transition dynamics; and the transition time depends on the parameter $\lambda$ of the exponential…
We used the random walk to model the problem of reserves. The classic case of a stochastic process is the example of random walks, which are used to study a set of phenomena and, particularly, as in this article, models of reserves…
We use life annuity prices to extract information about human longevity using a framework that links the term structure of mortality and interest rates. We invert the model and perform nonlinear least squares to obtain implied longevity…
Accurate modeling of the temporal evolution of asset prices is crucial for understanding financial markets. We explore the potential of discrete-time quantum walks to model the evolution of asset prices. Return distributions obtained from a…
In this paper we propose a new model for volatility fluctuations in financial time series. This model relies on a non-stationary gaussian process that exhibits aging behavior. It turns out that its properties, over any finite time interval,…
We show that the number of renewals up to time $t$ exhibits distributional fluctuations as $t\to\infty$ if the underlying lifetimes increase at an exponential rate in a distributional sense. This provides a probabilistic explanation for the…
We consider random walks amongst random conductances in the cases where the conductances can be arbitrarily small, with a heavy-tailed distribution at 0, and where the conductances may or may not have a heavy-tailed distribution at…
Financial networks have become extremely useful in characterizing the structure of complex financial systems. Meanwhile, the time evolution property of the stock markets can be described by temporal networks. We utilize the temporal network…
In financial markets, not only prices and returns can be considered as random variables, but also the waiting time between two transactions varies randomly. In the following, we analyse the statistical properties of General Electric stock…
Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market model to the valuation of perpetual American options:…
Market timing is an investment technique that tries to continuously switch investment into assets forecast to have better returns. What is the likelihood of having a successful market timing strategy? With an emphasis on modeling…
We briefly review our recent studies on stochastic processes modelling internet on-line trading. We present a way to evaluate the average waiting time between the observation of the price in financial markets and the next price change,…
We adapt continuous time random walk (CTRW) formalism to describe asset price evolution and discuss some of the problems that can be treated using this approach. We basically focus on two aspects: (i) the derivation of the price…
We consider weighted particle systems in which new generations are re-sampled from current particles with probabilities proportional to their weights. This covers a broad class of sequential Monte Carlo methods, widely used in applied…