31 citations · 105 across the 10 of their papers we have counts for
12 papers
Measuring intraday return-shape geometry with modified Brownian motion
Mattera Raffaele, Rajabali Ghasem Pour, Parmjit Kaur +2
Realised kurtosis measures intraday tail risk but compresses the shape of the return distribution into a single scalar, so trading days with similar kurtosis may differ in how prob…
Hybrid Galam--Bass Model for Technology Innovation
Giulia Rotundo, Roy Cerqueti, Gurjeet Dhesi +3
This work proposes a hybrid model that combines the Galam model of opinion dynamics with the Bass diffusion model used in technology adoption on Barabasi-Albert complex networks. T…
Markov Chain Monte Carlo for generating ranked textual data
Roy Cerqueti, Valerio Ficcadenti, Gurjeet Dhesi +1
This paper faces a central theme in applied statistics and information science, which is the assessment of the stochastic structure of rank-size laws in text analysis. We consider…
Stock index futures trading impact on spot price volatility. The CSI 300 studied with a TGARCH model
Marcel Ausloos, Yining Zhang, Gurjeet Dhesi
A TGARCH modeling is argued to be the optimal basis for investigating the impact of index futures trading on spot price variability. We discuss the CSI-300 index (China-Shanghai-Sh…
Benford's laws tests on S&P500 daily closing values and the corresponding daily log-returns both point to huge non-conformity
Marcel Ausloos, Valerio Ficcadenti, Gurjeet Dhesi +1
The so-called Benford's laws are of frequent use in order to observe anomalies and regularities in data sets, in particular, in election results and financial statements. Yet, basi…
Words ranking and Hirsch index for identifying the core of the hapaxes in political texts
Valerio Ficcadenti, Roy Cerqueti, Marcel Ausloos +1
This paper deals with a quantitative analysis of the content of official political speeches. We study a set of about one thousand talks pronounced by the US Presidents, ranging fro…
Evidence for Gross Domestic Product growth time delay dependence over Foreign Direct Investment. A time-lag dependent correlation study
Marcel Ausloos, Ali Eskandary, Parmjit Kaur +1
This paper considers an often forgotten relationship, the time delay between a cause and its effect in economies and finance. We treat the case of Foreign Direct Investment (FDI) a…
Decomposition of the Inequality of Income Distribution by Income Types - Application for Romania
Tudorel Andrei, Bogdan Oancea, Peter Richmond +2
This paper identifies the salient factors that characterize the inequality income distribution for Romania. Data analysis is rigorously carried out using sophisticated techniques b…
Finite size effects. The averaged eigenvalue density of Wigner random sign real symmetric matrices
G. S. Dhesi, M. Ausloos
Nowadays, strict finite size effects must be taken into account in condensed matter problems when treated through models based on lattices or graphs. On the other hand, the cases o…
Modelling and Measuring the Irrational behaviour of Agents in Financial Markets: Discovering the Psychological Soliton
Gurjeet Dhesi, Marcel Ausloos
Following a Geometrical Brownian Motion extension into an Irrational Fractional Brownian Motion model, we re-examine agent behaviour reacting to time dependent news on the log-retu…
Modified Brownian Motion Approach to Modelling Returns Distribution
Gurjeet Dhesi, Muhammad Bilal Shakeel, Ling Xiao
An innovative extension of Geometric Brownian Motion model is developed by incorporating a weighting factor and a stochastic function modelled as a mixture of power and trigonometr…
Semiclosed Pricing Mechanism
Dr. Gurjeet Dhesi, Mohammad Abdul Washad Emambocus, Muhammad Bilal Shakeel
This paper aims at designing the different important components of a semi-closed simulated stock market (pricing mechanism, stock allocation and news generation). The purpose is to…