We have previously examined the role of autocorrelations in the sum of stochastic variables together with the existence of scaling power laws (Physica A 323 (2003) 601). Here we employ such an approach to analyze the sluggish convergence [2] in data coming from the S&P500 index. We also employ...

Given that financial series are poorly described by Gaussian distributions, how can the volatility behavior of such series be explained? Here we put forward a possible explanation to add the existing ones. We focus on a class of reduced variables that are independent and identically distributed....

This paper considers independently distributed stochastic processes that are also nonidentically distributed. We find that an identically distributed process with autocorrelations can be obtained from an independent, yet nonidentically distributed, random generator. Our approach is illustrated...

Applied econometricians tend to show a long neglect for the proper frequency to be considered while sampling the time series data. The present study shows how spectral analysis can be usefully employed to fix this problem. The case is illustrated with ultra-high-frequency data and daily prices...

The yuan-dollar returns prior to the 2005 revaluation show a Sierpinski triangle in an iterated function system clumpiness test. Yet the fractal vanishes after the revaluation. The Sierpinski commonly emerges in the chaos game, where randomness coexists with deterministic rules (M.F. Barnsley,...

We devise a new asymptotic statistical test to assess independence in bivariate continuous distributions. Our approach is based on the Cramér–von Mises test, in which the empirical process is viewed as the Kullback–Leibler divergence, that is, as the distance between the data under the...

We examine whether investing experience can dampen the disposition effect, that is, the fact that investors seem to hold on to their losing stocks to a greater extent than they hold on to their winning stocks. To do so, we devise a computer program that simulates the stock market. We use the...

We suggest that the ultraslow speed of convergence associated with truncated Lévy flights (Phys. Rev. Lett. 73 (1994) 2946) may well be explained by autocorrelations in data. We show how a particular type of autocorrelation generates power laws consistent with a truncated Lévy flight. Stock...

We revisit the finding that crashes can be deterministic and governed by log-periodic formulas [D. Sornette, A. Johansen, Significance of log-periodic precursors to financial crashes, Quant. Finance 1 (2001) 452–471; D. Sornette, W.X. Zhou, The US 2000–2002 market descent: how much longer and...