相关论文: Aging in Financial Market

Recently, in ["The coin-turning walk and its scaling limit", Electronic Journal of Probability, 25 (2020)], the ``coin-turning walk'' was introduced on ${\mathbb Z}$. It is a non-Markovian process where the steps form a (possibly)…

Aging, the process of growing old or maturing, is one of the most widely seen natural phenomena in the world. For the stochastic processes, sometimes the influence of aging can not be ignored. For example, in this paper, by analyzing the…

Fundamental variables in financial market are not only price and return but a very important role is also played by trading volumes. Here we propose a new multivariate model that takes into account price returns, logarithmic variation of…

This paper provides a unique approach with AI algorithms to predict emerging stock markets volatility. Traditionally, stock volatility is derived from historical volatility,Monte Carlo simulation and implied volatility as well. In this…

Markets efficiency implies that the stock returns are intrinsically unpredictable, a property that makes markets comparable to random number generators. We present a novel methodology to investigate ultra-high frequency financial data and…

My analysis uses methods developed for data mining microarray experiments, adapted for ageing research. Methods bridge knowledge of statistical mechanics with data mining methods developed in statistical mathematics. Analyses can reveal how…

We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this…

The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of risk. I introduce the Life Time of…

We consider random walks on dynamical networks where edges appear and disappear during finite time intervals. The process is grounded on three independent stochastic processes determining the walker's waiting-time, the up-time and down-time…

This paper describes the dependence of market-based statistical moments of returns on statistical moments and correlations of the current and past trade values. We use Markowitz's definition of value weighted return of a portfolio as the…

We study the continuous-time evolution of the recombination equation of population genetics. This evolution is given by a differential equation that acts on a product probability space, and its solution can be described by a Markov chain on…

The distribution of a population throughout the physiological age of the individuals is very relevant information in population studies. It has been modeled by the Langevin and the Fokker- Planck equations. A major problem with these…

We consider the biased random walk on a critical Galton-Watson tree conditioned to survive, and confirm that this model with trapping belongs to the same universality class as certain one-dimensional trapping models with slowly-varying…

We propose a model of random walks on weighted graphs where the weights are interval valued, and connect it to reversible imprecise Markov chains. While the theory of imprecise Markov chains is now well established, this is a first attempt…

Aging, the dependence of the dynamics of a physical process on the time $t_a$ since its original preparation, is observed in systems ranging from the motion of charge carriers in amorphous semiconductors over the blinking dynamics of…

The GREM-like trap model is a continuous time Markov jump process on the leaves of a finite volume $L$-level tree whose transition rates depend on a trapping landscape built on the vertices of the whole tree. We prove that the natural…

In this paper we test computationally the performance of CAPM in an evolutionary setting. In particular we study the stability of wealth distribution in a financial market where some traders invest as prescribed by CAPM and others behave…

This article proposes omnibus portmanteau tests for contrasting adequacy of time series models. The test statistics are based on combining the autocorrelation function of the conditional residuals, the autocorrelation function of the…

Lifespan distributions of populations of quite diverse species such as humans and yeast seem to surprisingly well follow the same empirical Gompertz-Makeham law, which basically predicts an exponential increase of mortality rate with age.…

In this paper we consider a stochastic process that may experience random reset events which bring suddenly the system to the starting value and analyze the relevant statistical magnitudes. We focus our attention on monotonous…