The paper presents an evolutionary economic model for the price evolution of stocks. Treating a stock market as a self-organized system governed by a fast purchase process and slow variations of demand and supply the model suggests that the short term price distribution has the form a logistic...

We apply the recently developed multifractal detrended cross-correlation analysis method to investigate the cross-correlation behavior and fractal nature between two non-stationary time series. We analyze the daily return price of gold, West Texas Intermediate and Brent crude oil, foreign...

We investigate the statistical properties of the EBS order book for the EUR/USD and USD/JPY currency pairs and the impact of a ten-fold tick size reduction on its dynamics. A large fraction of limit orders are still placed right at or halfway between the old allowed prices. This generates price...

In this article, we investigate the hidden cross-correlation structures in Chinese stock markets and US stock markets by performing PCSE combined with PCA approach. It is suggested that PCSE can provide a more faithful and more interpretable description of the dynamic mechanism between time...

We propose a method of estimating network structures only from observed marked point processes using the multi-dimensional scaling. In this method, first, we calculate a spike time metric which quantifies a metric distance between the observed marked point processes. Next, to represent a...

Risk measurement has both theoretical and practical significance in risk management. Using daily sample of 10 international stock indices, firstly this paper models the internal structures among different stock markets with C-Vine, D-Vine and R-Vine copula models. Secondly, the Value-at-Risk...

In this paper, topology evolution problem is addressed for improving the network performance in wireless multi-hop networks. A novel topology model based on social inspired mechanism with energy-aware and local-world features is proposed to handle the time-varying nature of wireless multi-hop...

We discuss reasons justifying a multi-scale continuum description of sparse media, which do not admit a choice of a representative volume element remaining permanent in time with constant mass. We suggest the choice of objective derivatives for time-varying terms in the balance equations...

The microscopic structural features of porous media directly affect their macroscopic properties (e.g., mechanical, electromagnetic, capillary, and transport properties). As for sandstone, the distributions of the clay and the pore in three-dimensional (3D) space have important effects on its...

An integro-differential diffusion equation with linear force, based on the continuous time random walk model, is considered. The equation generalizes the ordinary and fractional diffusion equations. Analytical expressions related to neutron scattering experiments are presented and analyzed,...