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

Recently, a new model of quantum walk, utilizing recycled coins, was introduced; however little is yet known about its properties. In this paper, we study its behavior on the cycle graph. In particular, we will consider its time averaged…

The spatial coverage produced by a single discrete-time random walk, with asymmetric jump probability $p\neq 1/2$ and non-uniform steps, moving on an infinite one-dimensional lattice is investigated. Analytical calculations are complemented…

The price of financial assets are, since Bachelier, considered to be described by a (discrete or continuous) time sequence of random variables, i.e a stochastic process. Sharp scaling exponents or unifractal behavior of such processes has…

In Part II of this paper, we concentrate our analysis on the price dynamical model with the moving average rules developed in Part I of this paper. By decomposing the excessive demand function, we reveal that it is the interplay between…

We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and…

Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress,…

We introduce a stochastic model to explain a double power-law distribution which exhibits two different Paretian behaviors in the upper and the lower tail and widely exists in social and economic systems. The model incorporates fitness…

We present a stochastic analysis of a data set consisiting of 10^6 quotes of the US Doller - German Mark exchange rate. Evidence is given that the price changes x(tau) upon different delay times tau can be described as a Markov process…

During a stock market peak the price of a given stock ($ i $) jumps from an initial level $ p_1(i) $ to a peak level $ p_2(i) $ before falling back to a bottom level $ p_3(i) $. The ratios $ A(i) = p_2(i)/p_1(i) $ and $ B(i)= p_3(i)/p_1(i)…

In this paper, our focus lies on the Merton's jump diffusion model, employing jump processes characterized by the compound Poisson process. Our primary objective is to forecast the drift and volatility of the model using a variety of…

Recently Carlon et. al. investigated the critical behavior of the pair contact process with diffusion [cond-mat/9912347]. Using density matrix renormalization group methods, they estimate the critical exponents, raising the possibility that…

Model uncertainty is a type of inevitable financial risk. Mistakes on the choice of pricing model may cause great financial losses. In this paper we investigate financial markets with mean-volatility uncertainty. Models for stock markets…

We recently demonstrated that standard fixed-time lattice random-walk models cannot be modified to properly represent biased diffusion processes in more than two dimensions. The origin of this fundamental limitation appears to be the fact…

We explore nature of price formation in financial markets and develop a theory of bid and ask price dynamics in which the two prices form due to quantum-chaotic interaction between buy and sell orders. In this model bid and ask prices are…

Refining previously known estimates, we give large-strike asymptotics for the implied volatility of Merton's and Kou's jump diffusion models. They are deduced from call price approximations by transfer results of Gao and Lee. For the Merton…

We study the distributions of money in a simple closed economic system for different types of monetary transactions. We know that for arbitrary and random sharing but locally conserving money transactions, the money distribution goes to the…

Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…

This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility…

The statistics of equally weighted random paths (ideal polymer) is studied in $2$ and $3$ dimensional percolating clusters. This is equivalent to diffusion in the presence of a trapping environment. The number of $N$ step walks follows a…

Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…