相关论文: Analysis of price diffusion in financial markets u…

We investigate how price variations of a stock are transformed into profits and losses (P&Ls) of a trend following strategy. In the frame of a Gaussian model, we derive the probability distribution of P&Ls and analyze its moments (mean,…

The motion of self-propelled particles is modeled as a persistent random walk. An analytical framework is developed that allows the derivation of exact expressions for the time evolution of arbitrary moments of the persistent walk's…

This paper consider a highly general dissemination model that keeps track of the stochastic evolution of the distribution of wealth over a set of agents. There are two types of events: (i) units of wealth externally arrive, and (ii) units…

This paper develops power series expansions of a general class of moment functions, including transition densities and option prices, of continuous-time Markov processes, including jump--diffusions. The proposed expansions extend the ones…

Expected urban population doubling calls for a compelling theory of the city. Random walks and diffusions defined on spatial city graphs spot hidden areas of geographical isolation in the urban landscape going downhill. First--passage time…

Uncertainty analysis in the outcomes of model predictions is a key element in decision-based material design to establish confidence in the models and evaluate the fidelity of models. Uncertainty Propagation (UP) is a technique to determine…

Giant diffusion, where the diffusion coefficient of a Brownian particle in a periodic potential with an external force is significantly enhanced by the external force, is a non-trivial non-equilibrium phenomenon. We propose a simple…

The slow rolling inflation is dual to the random walk of conformal zero-mode. The 2 dimensional Fokker-Planck theory predicts the slow roll parameters of 4d inflation theory. The O(N) enhancements of the two point functions, N is the…

Starting from the model of continuous time random walk, we focus our interest on random walks in which the probability distributions of the waiting times and jumps have fat tails characterized by power laws with exponent between 0 and 1 for…

The basis of arbitrage methods depends on the circulation of information within the framework of the financial market. Following the work of Modigliani and Miller, it has become a vital part of discussions related to the study of financial…

Recently, a generalized Bernoulli process (GBP) was developed as a stationary binary sequence that can have long-range dependence. In this paper, we find the scaling limit of a random walk that follows GBP. The result is a new class of…

We consider a broad class of Continuous Time Random Walks with large fluctuations effects in space and time distributions: a random walk with trapping, describing subdiffusion in disordered and glassy materials, and a L\'evy walk process,…

Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law…

We present a preferential attachment growth model to obtain the distribution $P(K)$ of number of units $K$ in the classes which may represent business firms or other socio-economic entities. We found that $P(K)$ is described in its central…

In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…

We demonstrate that continuous time random walks in which successive waiting times are correlated by Gaussian statistics lead to anomalous diffusion with mean squared displacement <r^2(t)>~t^{2/3}. Long-ranged correlations of the waiting…

In this paper we study the asymptotic behavior of the Random-Walk Metropolis algorithm on probability densities with two different `scales', where most of the probability mass is distributed along certain key directions with the…

This paper examines the problem of pricing spread options under some models with jumps driven by Compound Poisson Processes and stochastic volatilities in the form of Cox-Ingersoll-Ross(CIR) processes. We derive the characteristic function…

Levy walk (LW) process has been used as a simple model for describing anomalous diffusion in which the mean squared displacement of the walker grows non-linearly with time in contrast to the diffusive motion described by simple random walks…

Continuous time random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporating a random waiting time between particle jumps. In finance, the particle jumps are log-returns and the waiting times measure delay between…