We introduce a stochastic model which describes the information diffusion on the network of a popular web service, Twitter. Restricting our attention to the daily diffusion from a popular account, we model the information diffusion as a random multiplicative process. We justify our model by...

We explain a possible mechanism of an information spreading on a network which spreads extremely far from a seed node, namely the viral spreading. On the basis of a model of the information spreading in an online social network, in which the dynamics is expressed as a random multiplicative...

In this paper, we report an analysis of the protein sequence length distribution for 13 bacteria, four archaea and one eukaryote whose genomes have been completely sequenced. The frequency distribution of protein sequence length for all the 18 organisms are remarkably similar, independent of...

A random multiplicative process (RMP) is one of the basic models which can generate a power law distribution. Actually, the distribution generated by RMP has two parts, which are closely matched to the head of a log-normal distribution and the tail of a power law distribution. We investigated...

One class of universal mechanisms that generate power-law probability distributions is that of random multiplicative processes. In this paper, we consider a multiplicative Langevin equation driven by non-Gaussian colored multipliers. We analytically derive a formula that relates the power-law...

Volatility clustering and asymmetry are considered as an essential element in time series data analysis for portfolio managers. This study is conducted to analyze the volatility clustering and asymmetry occurrence by employing different GARCH models. Data is collected from 11 Religion Dominant...

This paper examines the impact of natural disasters on the Australian equity market. The data set employed consists of daily price and accumulation returns over the period 31 December 1982 to 1 January 2002 for the All Ordinaries Index (AOI) and a record of forty-two severe storms, floods,...

Weather affects people's mood, according to psychological studies. For example, low temperature can cause aggression, whereas high temperature can induce apathy. Therefore, it may be possible that weather-influenced mood, driven by mood's impact on decision-making, exerts an influence on...

In this paper, we examine the Nigerian stock market sector returns and estimate the bull and bear betas using the Logistic Smooth Threshold Market (LSTM) model. The LSTM model specification follows from the linear Constant Risk Market (CRM) model. We estimate the LSTM model for the overall...

This study employs OLS, GARCH and EGARCH regression models to test the expiration-day effects of index stock futures on market returns, volatility and trading volume for the Ho Chi Minh Stock Exchange (HOSE). Data used in this study is from a daily return series of the VN30-Index for the period...