相关论文: Aging in Financial Market

We give a general proof of aging for trap models using the arcsine law for stable subordinators. This proof is based on abstract conditions on the potential theory of the underlying graph and on the randomness of the trapping landscape. We…

We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative…

In this paper, we investigate various stochastic orderings for series and parallel systems with independent and heterogeneous components having lifetimes following the proportional odds model. We also investigate comparisons between system…

Time reversal invariance can be summarized as follows: no difference can be measured if a sequence of events is run forward or backward in time. Because price time series are dominated by a randomness that hides possible structures and…

We consider random variables observed at arrival times of a renewal process, which possibly depends on those observations and has regularly varying steps with infinite mean. Due to the dependence and heavy tailed steps, the limiting…

This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit heavy-tailed interarrival times, posing a significant challenge…

We study the out of equilibrium dynamics of several models exhibiting aging. We attempt at identifying various types of aging systems using a phase space point of view: we introduce a trial classification, based on the overlap between two…

Experiments on spin glasses can now make precise measurements of the exponent $z(T)$ governing the growth of glassy domains, while our computational capabilities allow us to make quantitative predictions for experimental scales. However,…

We review the theory of renewal reward processes, which describes renewal processes that have some cost or reward associated with each cycle. We present a new simplified proof of the renewal reward theorem that mimics the proof of the…

We consider the contact process with dormancy, where wake-up times follow a renewal process. Without infection between dormant individuals, we show that the process under certain conditions grows at most logarithmically. On the other hand,…

This paper is the first study to examine the time instability of the APT in the Japanese stock market. In particular, we measure how changes in each risk factor affect the stock risk premiums to investigate the validity of the APT over…

We study persistence probabilities for random walks in correlated Gaussian random environment first studied by Oshanin, Rosso and Schehr. From the persistence results, we can deduce properties of critical branching processes with offspring…

We consider reversible random walks in random environment obtained from symmetric long--range jump rates on a random point process. We prove almost sure transience and recurrence results under suitable assumptions on the point process and…

We test a historical price time series in a financial market (the NASDAQ 100 index) for a statistical property known as detailed balance. The presence of detailed balance would imply that the market can be modeled by a stochastic process…

We exploit a continuous time random walk description of stock prices to obtain a fast and accurate evaluation of their volatility from intraday data. We show that financial markets are usefully described as open physical systems. Indeed we…

The study of record statistics of correlated series is gaining momentum. In this work, we study the records statistics of the time series of select stock market data and the geometric random walk, primarily through simulations. We show that…

Renewal processes are a popular approach used in modelling infectious disease outbreaks. In a renewal process, previous infections give rise to future infections. However, while this formulation seems sensible, its application to infectious…

The probability distribution of log-returns of financial time series, sampled at high frequency, is the basis for any further developments in quantitative finance. In this letter, we present experimental results based on a large set of time…

A new test for measuring the accuracy of financial market risk estimations is introduced. It is based on the probability integral transform (PIT) of the ex post realized returns using the ex ante probability distributions underlying the…

We study the asymptotic behavior of ruin probabilities, as the initial reserve goes to infinity, for a reserve process model where claims arrive according to a renewal process, while between the claim times the process has the dynamics of…