Kelly criterion, that maximizes the expectation value of the logarithm of wealth for bookmaker bets, gives an advantage over different class of strategies. We use projective symmetries for a explanation of this fact. Kelly's approach allows for an interesting financial interpretation of the...

The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend. These empirical asymmetries predict that stock index...

Starting from the generalized exponential function <InlineEquation ID="Equ1"> <EquationSource Format="TEX">$\exp_{\kappa}(x)=(\sqrt{1+\kappa^{2}x^{2}}+\kappa x)^{1/\kappa}$</EquationSource> </InlineEquation>, with exp <Subscript>0</Subscript>(x)=exp (x), proposed in reference [G. Kaniadakis, Physica A <Emphasis Type="Bold">296, 405 (2001)], the survival function P<Subscript></Subscript>(x)=exp <Subscript>κ</Subscript>(-βx<Superscript>α</Superscript>), where x∈R<Superscript>+</Superscript>, α,β0, and <InlineEquation ID="Equ2"> <EquationSource Format="TEX">$\kappa\in[0,1)$</EquationSource>...</equationsource></inlineequation></superscript></superscript></subscript></subscript></emphasis></subscript></equationsource></inlineequation>

Human beings like to believe they are in control of their destiny. This ubiquitous trait seems to increase motivation and persistence, and is probably evolutionarily adaptive [J.D. Taylor, S.E. Brown, Psych. Bull. <Emphasis Type="Bold">103, 193 (1988); A. Bandura, Self-efficacy: the exercise of control (WH Freeman,...</emphasis>

We examine the volatility of an Indian stock market in terms of correlation of stocks and quantify the volatility using the random matrix approach. First we discuss trends observed in the pattern of stock prices in the Bombay Stock Exchange for the three-year period 2000–2002. Random matrix...