Multifractal cross-correlations between the world oil and other financial markets in 2012–2017
Statistical and multiscaling characteristics of WTI Crude Oil futures prices expressed in US
dollar in relation to the most traded currencies as well as to gold futures and to the E-mini …
dollar in relation to the most traded currencies as well as to gold futures and to the E-mini …
Directed continuous-time random walk with memory
In this paper, we are addressing the old problem of long-term nonlinear autocorrelation
function versus short-term linear autocorrelation function. As continuous-time random walk …
function versus short-term linear autocorrelation function. As continuous-time random walk …
Continuous time random walk with correlated waiting times. the crucial role of inter-trade times in volatility clustering
In many physical, social, and economic phenomena, we observe changes in a studied
quantity only in discrete, irregularly distributed points in time. The stochastic process usually …
quantity only in discrete, irregularly distributed points in time. The stochastic process usually …
Approximation of the first passage time distribution for the birth–death processes
A Kononovicius, V Gontis - Journal of Statistical Mechanics …, 2019 - iopscience.iop.org
We propose a general method to obtain approximation of the first passage time distribution
for the birth–death processes. We rely on the general properties of birth–death processes …
for the birth–death processes. We rely on the general properties of birth–death processes …
The Key Role of Inter-Event Times in Volatility Clustering
Over 50 years ago, two physicists Montroll and Weiss in the physical context of dispersive
transport and diffusion introduced stochastic process, named Continuous-Time Random …
transport and diffusion introduced stochastic process, named Continuous-Time Random …