A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study shows cryptocurrency price fluctuations become more similar to national currencies over time.
Bayesian models' singular fluctuation is shown to be akin to specific heat, influencing model complexity and generalization.
We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets belonging to Daubechies basis. The fact that these basis sets satisfy vanishing moments conditions makes them ideal to …
New spectral functionals for Dirac operators with inner fluctuations computed.
We propose a new approach for properly analyzing stochastic time series by mapping the dynamics of time series fluctuations onto a suitable nonequilibrium surface-growth problem. In this framework, the fluctuation sampling time interval plays the role of time variable, whereas the physical time is treated as the analog…
The average economic agent is often used to model the dynamics of simple markets, based on the assumption that the dynamics of many agents can be averaged over in time and space. A popular idea that is based on this seemingly intuitive notion is to dampen electric power fluctuations from fluctuating sources (as e.g. wi…
This work studies fluctuation in multilayer neural networks using mean field theory.
We propose a new approach for analyzing price fluctuations in their strongly correlated regime ranging from minutes to months. This is done by employing a self-similarity assumption for the magnitude of coarse-grained price fluctuation or volatility. The existence of a Cramer function, the characteristic function for s…
We analyze daily prices of 29 commodities and 2449 stocks, each over a period of years. We find that the price fluctuations for commodities have a significantly broader multifractal spectrum than for stocks. We also propose that multifractal properties of both stocks and commodities can be attributed mainl…
Trading affects grid frequency fluctuations, making them more extreme.
A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to higher orders. Non-universal dynamics have been found not only in exponents diff…
Study identifies contagion in aggregated defaults despite environmental changes.
In this paper we compare market price fluctuations with the response to fundamental price drops within the Lux-Marchesi model which is able to reproduce the most important stylized facts of real market data. Major differences can be observed between the decay of spontaneous fluctuations and of changes due to external p…
We address the question of how stock prices respond to changes in demand. We quantify the relations between price change over a time interval and two different measures of demand fluctuations: (a) , defined as the difference between the number of buyer-initiated and seller-initiated trades, and (b) , def…
Conservative SPDEs emerge from fluctuating SGD dynamics in neural networks.
Study on price fluctuations in NFT market, showing heavy-tailed distributions and long-range memory.
Spectral clustering performance depends on eigenvector fluctuations, shown to be Gaussian.
We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated firm-by-firm default timing. We prove a weak convergence result for the fluctuation process and use it for developing a conditionally Gaussian approximation to the loss distribution. Nume…
In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose Dow Jones Industrial Average. The analysis consists about quantification of dependence and non-Gaussianity on the multifractal character of fi…
Derives scaling limits and fluctuations for SGD in high dimensions.
Study analyzes fluctuations in Mexican financial market index.
We constructed an analog electrical circuit which generates fluctuations in which probability density function has power law tails. In the circuit fluctuations with an arbitrary exponent of the power law can be obtained by adjusting the resistance. With this low cost circuit the random fluctuations which have the simil…
The financial market and turbulence have been broadly compared on account of the same quantitative methods and several common stylized facts they shared. In this paper, the She-Leveque (SL) hierarchy, proposed to explain the anomalous scaling exponents deviated from Kolmogorov monofractal scaling of the velocity fluctu…
Study uses neural networks to predict wall quantities in turbulent flows.
This paper proposes a framework to predict long-term trends and short-term fluctuations in multivariate time series.
Predicting absolute magnitude of fluctuations of price, even if their sign remains unknown, is important for risk analysis and for option prices. In the present work, we display our predictions about absolute magnitude of daily fluctuations of the Dow Jones Industrials Average (DJIA), utilizing the original theory of c…
We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by a power law, and the exponents usually vary with the strength of the lar…
The paper analyzes fluctuations in ensemble models in high-dimensional settings.
A new model that combines economic growth rate fluctuations at the microscopic and macroscopic level is presented. At the microscopic level, firms are growing at different rates while also being exposed to idiosyncratic shocks at the firm and sector level. We describe such fluctuations as independent Lévy-stable fluctu…
In this paper, we present own point of view how the unexpected fluctuations of the long-term real interest rate can be explained. We describe a macroeconomic environment by the modification of the fundamental macroeconomic equilibrium model called the IS-LM model. Last but not least, we suggest a possible cooperation b…
The study reveals the hierarchical structure of the international FOREX market using currency fluctuation distribution similarities.
Stable cooperation emerges in fluctuating environments.
We study the cause of large fluctuations in prices in the London Stock Exchange. This is done at the microscopic level of individual events, where an event is the placement or cancellation of an order to buy or sell. We show that price fluctuations caused by individual market orders are essentially independent of the v…
Model shows how heterogeneity in strategies and risk tolerance affects financial market stability.
Quantum annealing (QA) is a generic method for solving optimization problems using fictitious quantum fluctuation. The current device performing QA involves controlling the transverse field; it is classically simulatable by using the standard technique for mapping the quantum spin systems to the classical ones. In this…
In a recent Nature paper, Gabaix et al. \cite{Gabaix03} presented a theory to explain the power law tail of price fluctuations. The main points of their theory are that volume fluctuations, which have a power law tail with exponent roughly -1.5, are modulated by the average market impact function, which describes the r…
Stochastic gradient descent's long-term fluctuations are described by a diffusion limit.
To elucidate allometric scaling in complex systems, we investigated the underlying scaling relationships between typical three-scale indicators for approximately 500,000 Japanese firms; namely, annual sales, number of employees, and number of business partners. First, new scaling relations including the distributions o…
The properties of q-dependent cross-correlation matrices of stock market have been analyzed by using the random matrix theory and complex network. The correlation structures of the fluctuations at different magnitudes have unique properties. The cross-correlations among small fluctuations are much stronger than those a…
We compute the analytic expression of the probability distributions F{FTSE100,+} and F{FTSE100,-} of the normalized positive and negative FTSE100 (UK) index daily returns r(t). Furthermore, we define the alpha re-scaled FTSE100 daily index positive returns r(t)^alpha and negative returns (-r(t))^alpha that we call, aft…
Matrix H-theory models stock market fluctuations using hierarchical multivariate distributions.
Quantum field theory connects Riemannian geometry to quantum fluctuations.
The paper shows Gaussian fluctuations in eigenvalue statistics of random hyperbolic surfaces.
Recent research has considered the stochastic thermodynamics of multiple interacting systems, representing the overall system as a Bayes net. I derive fluctuation theorems governing the entropy production (EP)of arbitrary sets of the systems in such a Bayes net. I also derive ``conditional'' fluctuation theorems, gover…
In terms of the stock exchange returns, we compute the analytic expression of the probability distributions F{DAX,+} and F{DAX,-} of the normalized positive and negative DAX (Germany) index daily returns r(t). Furthermore, we define the alpha re-scaled DAX daily index positive returns r(t)^alpha and negative returns (-…
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary mechanism responsible for the observed long-range dependence and statistical propertie…
We investigate how the local fluctuations of the signed traded volumes affect the dependence of demands between stocks. We analyze the empirical dependence of demands using copulas and show that they are well described by a bivariate copula density function. We find that large local fluctuations strongly …
Study uses detrended cross-correlation to analyze cryptocurrency market, revealing robust collective modes and distinguishing interdependencies.