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Financial time series have been investigated to follow fat-tailed distributions. Further, an empirical probability distribution sometimes shows cut-off shapes on its tails. To describe this stylized fact, we incorporate the cut-off effect in superstatistics. Then we confirm that the presented stochastic model is capable of describing the statistical properties of real financial time series. In addition, we present an option pricing formula with respect to superstatistics.
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 the distr
Data augmentation methods in combination with deep neural networks have been used extensively in computer vision on classification tasks, achieving great success; however, their use in time series classification is still at an early stage. This is ev
A well-interpretable measure of information has been recently proposed based on a partition obtained by intersecting a random sequence with its moving average. The partition yields disjoint sets of the sequence, which are then ranked according to the
This paper has been withdrawn by the authors.
We study tick-by-tick financial returns belonging to the FTSE MIB index of the Italian Stock Exchange (Borsa Italiana). We can confirm previously detected non-stationarities. However, scaling properties reported in the previous literature for other h