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 Quantitative Finance , 2010, DOI: 10.1016/j.physa.2010.06.012 Abstract: We compute the analytic expression of the probability distributions F{AEX,+} and F{AEX,-} of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the \alpha re-scaled AEX daily index positive returns r(t)^\alpha and negative returns (-r(t))^\alpha that we call, after normalization, the \alpha positive fluctuations and \alpha negative fluctuations. We use the Kolmogorov-Smirnov statistical test, as a method, to find the values of \alpha that optimize the data collapse of the histogram of the \alpha fluctuations with the Bramwell-Holdsworth-Pinton (BHP) probability density function. The optimal parameters that we found are \alpha+=0.46 and \alpha-=0.43. Since the BHP probability density function appears in several other dissimilar phenomena, our results reveal universality in the stock exchange markets.
 Quantitative Finance , 2008, Abstract: We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using Multifractal Detrended Fluctuation Analysis (MFDFA). By calculating the singularity spectra $f(\alpha)$ we show that returns of both signs reveal multiscaling. Curiously, these spectra display a significant difference in the scaling properties of returns with opposite sign. The negative price changes are ruled by stronger temporal correlations than the positive ones, what is manifested by larger values of the corresponding H\"{o}lder exponents. As regards the properties of dominant trends, a bear market is more persistent than the bull market irrespective of the sign of fluctuations.
 Quantitative Finance , 2010, Abstract: 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, after normalization, the alpha positive fluctuations and alpha negative fluctuations. We use the Kolmogorov-Smirnov statistical test, as a method, to find the values of alpha that optimize the data collapse of the histogram of the alpha fluctuations with the Bramwell-Holdsworth-Pinton (BHP) probability density function. The optimal parameters that we found are alpha+=0.55 and alpha-=0.55. Since the BHP probability density function appears in several other dissimilar phenomena, our results reveal universality in the stock exchange markets.
 Physics , 2005, DOI: 10.1016/j.physa.2004.11.054 Abstract: We present a relatively detailed analysis of the persistence probability distributions in financial dynamics. Compared with the auto-correlation function, the persistence probability distributions describe dynamic correlations non-local in time. Universal and non-universal behaviors of the German DAX and Shanghai Index are analyzed, and numerical simulations of some microscopic models are also performed. Around the fixed point $z_0=0$, the interacting herding model produces the scaling behavior of the real markets.
 Physics , 2010, DOI: 10.1016/j.physa.2011.07.037 Abstract: The level crossing and inverse statistics analysis of DAX and oil price time series are given. We determine the average frequency of positive-slope crossings, $\nu_{\alpha}^+$, where $T_{\alpha} =1/\nu_{\alpha}^+$ is the average waiting time for observing the level $\alpha$ again. We estimate the probability $P(K, \alpha)$, which provides us the probability of observing $K$ times of the level $\alpha$ with positive slope, in time scale $T_{\alpha}$. For analyzed time series we found that maximum $K$ is about 6. We show that by using the level crossing analysis one can estimate how the DAX and oil time series will develop. We carry out same analysis for the increments of DAX and oil price log-returns,(which is known as inverse statistics) and provide the distribution of waiting times to observe some level for the increments.
 Physics , 2006, DOI: 10.1016/j.physa.2007.11.031 Abstract: One of the principal statistical features characterizing the activity in financial markets is the distribution of fluctuations in market indicators such as the index. While the developed stock markets, e.g., the New York Stock Exchange (NYSE) have been found to show heavy-tailed return distribution with a characteristic power-law exponent, the universality of such behavior has been debated, particularly in regard to emerging markets. Here we investigate the distribution of several indices from the Indian financial market, one of the largest emerging markets in the world. We have used tick-by-tick data from the National Stock Exchange (NSE), as well as, daily closing data from both NSE and Bombay Stock Exchange (BSE). We find that the cumulative distributions of index returns have long tails consistent with a power-law having exponent \alpha \approx 3, at time-scales of both 1 min and 1 day. This inverse cubic law'' is quantitatively similar to what has been observed in developed markets, thereby providing strong evidence of universality in the behavior of market fluctuations.
 Physics , 2010, Abstract: Phenomena as diverse as breeding bird populations, the size of U.S. firms, money invested in mutual funds, the GDP of individual countries and the scientific output of universities all show unusual but remarkably similar growth fluctuations. The fluctuations display characteristic features, including double exponential scaling in the body of the distribution and power law scaling of the standard deviation as a function of size. To explain this we propose a remarkably simple additive replication model: At each step each individual is replaced by a new number of individuals drawn from the same replication distribution. If the replication distribution is sufficiently heavy tailed then the growth fluctuations are Levy distributed. We analyze the data from bird populations, firms, and mutual funds and show that our predictions match the data well, in several respects: Our theory results in a much better collapse of the individual distributions onto a single curve and also correctly predicts the scaling of the standard deviation with size. To illustrate how this can emerge from a collective microscopic dynamics we propose a model based on stochastic influence dynamics over a scale-free contact network and show that it produces results similar to those observed. We also extend the model to deal with correlations between individual elements. Our main conclusion is that the universality of growth fluctuations is driven by the additivity of growth processes and the action of the generalized central limit theorem.
 Quantitative Finance , 2014, Abstract: We discuss modelling of SPX and DAX index option prices using the Shifted Log-Normal (SLN) model, (also known as Displaced Diffusion), and the SABR model. We found out that for SPX options, an example of strongly skewed option prices, SLN can produce a quite accurate fit. Moreover, for both types of index options, the SLN model is giving a good fit of near-at-the-forward strikes. Such a near-at-the-money fit allows us to calculate precisely the skew parameter without involving directly the 3rd moment of the related probability distribution. Eventually, we can follow with a procedure in which the skew is calculated using the SLN model and further smile effects are added as a next iteration/perturbation. Furthermore, we point out that the SLN trajectories are exact solutions of the SABR model for rho = +/-1.
 Teodor Banica Mathematics , 2014, Abstract: The glow of an Hadamard matrix $H\in M_N(\mathbb C)$ is the probability measure $\mu\in\mathcal P(\mathbb C)$ describing the distribution of $\varphi(a,b)=$, where $a,b\in\mathbb T^N$ are random. We prove that $\varphi/N$ becomes complex Gaussian with $N\to\infty$, and that the universality holds as well at order 2. In the case of a Fourier matrix, $F_G\in M_N(\mathbb C)$ with $|G|=N$, the universality holds up to order 4, and the fluctuations are encoded by certain subtle integrals, which appear in connection with several Hadamard-related questions. In the Walsh matrix case, $G=\mathbb Z_2^n$, we conjecture that the glow is polynomial in $N=2^n$.
 Quantitative Finance , 2012, Abstract: We present a simple dynamical model of stock index returns which is grounded on the ability of the Cyclically Adjusted Price Earning (CAPE) valuation ratio devised by Robert Shiller to predict long-horizon performances of the market. More precisely, we discuss a discrete time dynamics in which the return growth depends on three components: i) a momentum component, naturally justified in terms of agents' belief that expected returns are higher in bullish markets than in bearish ones, ii) a fundamental component proportional to the logarithmic CAPE at time zero. The initial value of the ratio determines the reference growth level, from which the actual stock price may deviate as an effect of random external disturbances, and iii) a driving component which ensures the diffusive behaviour of stock prices. Under these assumptions, we prove that for a sufficiently large horizon the expected rate of return and the expected gross return are linear in the initial logarithmic CAPE, and their variance goes to zero with a rate of convergence consistent with the diffusive behaviour. Eventually this means that the momentum component may generate bubbles and crashes in the short and medium run, nevertheless the valuation ratio remains a good reference point of future long-run returns.
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