相关论文: Aging in Financial Market

In this report, we talked about a new quantitative strategy for choosing the optimal(s) stock(s) to trade. The basic notions are generally very known by the financial community. The key here is to understand 1) the standard score applied to…

Consider a coin tossing experiment which consists of tossing one of two coins at a time, according to a renewal process. The first coin is fair and the second has probability $1/2 + \theta$, $\theta \in [-1/2,1/2]$, $\theta$ unknown but…

Aging, as defined in terms of the slope of the probability of death versus time (hazard curve), is a generic phenomenon observed in nearly all complex systems. Theoretical models of aging predict hazard curves that monotonically increase in…

We define causal estimands for experiments on single time series, extending the potential outcome framework to dealing with temporal data. Our approach allows the estimation of some of these estimands and exact randomization based p-values…

By appealing to renewal theory we determine the equations that the mean exit time of a continuous-time random walk with drift satisfies both when the present coincides with a jump instant or when it does not. Particular attention is paid to…

We propose a random walk model of asset returns where the parameters depend on market stress. Stress is measured by, e.g., the value of an implied volatility index. We show that model parameters including standard deviations and…

Via a coupling argument, it is proved that the solution to a renewal equation has a power law decay rate in the case of a spread out interarrival distribution. By the regenerative property, the convergence in distribution for the recurrence…

We consider continuous time random walks (CTRW) and discuss situations pertinent to aging. These correspond to the case when the initial state of the system is known not at preparation (at $t=0$) but at the later instant of time $t_1>0$…

In financial time series there are periods in which the value increases or decreases monotonically. We call those periods elemental trends and study the probability distribution of their duration for the indices DJIA, NASDAQ and IPC. It is…

The stock market is a crucial component of the financial market, playing a vital role in wealth accumulation for investors, financing costs for listed companies, and the stable development of the national macroeconomy. Significant…

The probability of the survival of the population of individuals of both sexes of given mature age, procreation rate and structure stability has been searched in the numerical experiment. The populations with long period of reproduction and…

We show aging of Glauber-type dynamics on the random energy model, in the sense that we obtain the scaling limits of the clock process and of the age process. The latter encodes the Gibbs weight of the configuration occupied by the…

We review statistical properties of models generated by the application of a (positive and negative order) fractional derivative operator to a standard random walk and show that the resulting stochastic walks display slowly-decaying…

In this paper we look at the efficacy of different risk measures on energy markets and across several different stock market indices. We use both the Value at Risk and the Tail Conditional Expectation on each of these data sets. We also…

Applying the new tools developed in [G1], we investigate the arcsine aging regime of the random hopping time dynamics of the REM. Our results are optimal in several ways. They cover the full time-scale and temperature domain where this…

We consider a renewal process which models a cumulative shock model that fails when the accumulation of shocks up-crosses a certain threshold. The ratio limit properties of the probabilities of non-failure after n cumulative shocks are…

The time distribution of relaxation events in an aging system is investigated via molecular dynamics simulations. The focus is on the distribution functions of the first passage time, $p_1(\Delta t)$, and the persistence time, $p(\tau)$. In…

This paper studies the on- and off-diagonal upper estimate and the two-sided transition probability estimate of random walks on weighted graphs.

Using a rolling windows analysis of filtered and aligned stock index returns from 40 countries during the period 2006-2014, we construct Granger causality networks and investigate the ensuing structure of the relationships by studying…

We analyze the dynamics of random walks with long-term memory (binary chains with long-range correlations) in the presence of an absorbing boundary. An analytically solvable model is presented, in which a dynamical phase-transition occurs…