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Dynamics of a financial market index after a crash

Lillo, Fabrizio; Mantegna, Rosario N - In: Physica A: Statistical Mechanics and its Applications 338 (2004) 1, pp. 125-134

We discuss the statistical properties of index returns in a financial market just after a major market crash. The observed non-stationary behavior of index returns is characterized in terms of the exceedances over a given threshold. This characterization is analogous to the Omori law originally...

Persistent link: https://www.econbiz.de/10010589340

On the closed form solutions for non-extensive Value at Risk

Stavroyiannis, S.; Makris, I.; Nikolaidis, V. - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 17, pp. 3536-3542

We examine possible closed form solutions for the cumulative distribution function for systems where the probability density function can be adequately described by the generalized non-extensive statistics framework. Application to financial time series as a possible Value at Risk technique...

Persistent link: https://www.econbiz.de/10010590466

Frequency domain principal components estimation of fractionally cointegrated processes: Some new results and an application to stock market volatility

Morana, Claudio - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 1, pp. 165-175

In this paper we present new results for the frequency domain principal components estimator of the cointegration space for stationary long memory processes of Morana [Appl. Econ. Lett. 11 (2004) 837], concerning asymptotic properties, identification of the cointegration space and the linkage...

Persistent link: https://www.econbiz.de/10010589506

Extreme-value dependence: An application to exchange rate markets

Fernandez, Viviana - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 2, pp. 583-589

Extreme value theory (EVT) focuses on modeling the tail behavior of a loss distribution using only extreme values rather than the whole data set. For a sample of 10 countries with dirty/free float regimes, we investigate whether paired currencies exhibit a pattern of asymptotic dependence. That...

Persistent link: https://www.econbiz.de/10010871832

Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theory

Wei, Yu; Chen, Wang; Lin, Yu - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 9, pp. 2163-2174

Shanghai Stock Exchange Component (SSEC) Index as example, this paper proposes a new method to measure daily Value-at-Risk (VaR …) by combining the newly introduced multifractal volatility (MFV) model and the extreme value theory (EVT) method. Two VaR … price volatility in Chinese stock market. VaR measures based on the multifractal volatility model and EVT method outperform …

Persistent link: https://www.econbiz.de/10010872923

Extremal behavior of a coupled continuous time random walk

Schumer, Rina; Baeumer, Boris; Meerschaert, Mark M. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 3, pp. 505-511

Coupled continuous time random walks (CTRWs) model normal and anomalous diffusion of random walkers by taking the sum of random jump lengths dependent on the random waiting times immediately preceding each jump. They are used to simulate diffusion-like processes in econophysics such as stock...

Persistent link: https://www.econbiz.de/10010874142

On the upper tail of Italian firms’ size distribution

Cirillo, Pasquale; Hüsler, Jürg - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 8, pp. 1546-1554

In this paper we analyze the upper tail of the size distribution of Italian companies with limited liability belonging to the CEBI database. Size is defined in terms of net worth.

Persistent link: https://www.econbiz.de/10011057197

The extremal independence problem

Eliazar, Iddo - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 4, pp. 659-666

Consider a finite sequence of independent–though not, necessarily, identically distributed–real-valued random scores. If the scores are absolutely continuous random variables, the sequence possesses a unique maximum (minimum). We say that “maximal (minimal) independence” holds if the...

Persistent link: https://www.econbiz.de/10011061989

Anomalous transport and diffusion versus extreme value theory

Kozłowska, Marzena; Kutner, Ryszard - In: Physica A: Statistical Mechanics and its Applications 357 (2005) 2, pp. 282-304

In the present work we match the biased hierarchical continuous-time random flight (HCTRF) on a regular lattice (based on hierarchical waiting-time distribution) and the extreme event theory (EVT). This approach extends the understanding of the anomalous transport and diffusion (for example,...

Persistent link: https://www.econbiz.de/10011063698

On the extreme flights of one-sided Lévy processes

Eliazar, Iddo; Klafter, Joseph - In: Physica A: Statistical Mechanics and its Applications 330 (2003) 1, pp. 8-17

We explore the statistical behavior of the order statistics of the flights of one-sided Lévy processes (OLPs). We begin with the study of the extreme flights of general OLPs, and then focus on the class of selfsimilar processes, investigating the following issues: (i) the inner hierarchy of the...

Persistent link: https://www.econbiz.de/10011064667