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Achieving Global Cooperation on Economic Recovery and Long-Term Sustainable Development
Global Cooperation Economic Recovery
2009/9/1
The global financial crisis results from three factors: overly expansionary US
monetary policy; inappropriate financial deregulation; and a financial panic
following the bankruptcy of Lehman Brother...
Cross-correlation of long-range correlated series
Cross-correlation long-range correlated series
2010/12/17
A method for estimating the cross-correlation $C_{xy}(\tau)$ of long-range correlated series $x(t)$ and $y(t)$, at varying lags $\tau$ and scales $n$, is proposed. For fractional Brownian motions with...
On discrete stochastic processes with long-lasting time dependence
discrete stochastic processes long-lasting time dependence
2010/12/20
In this manuscript, we analytically and numerically study statistical properties of an heteroskedastic process based on the celebrated ARCH generator of random variables whose variance is defined by a...
A model for interevent times with long tails and multifractality in human communications: An application to financial trading
model interevent times long tails multifractality human communications application financial trading
2010/12/17
Social, technological and economic time series are divided by events which are usually assumed to be random albeit with some hierarchical structure. It is well known that the interevent statistics ob...
Fractional derivatives of random walks: Time series with long-time memory
Fractional derivatives random walks Time series long-time memory
2010/12/20
We review statistical properties of models generated by the application of a (positive and negative order) fractional derivative operator to a standard random walk and show that the resulting stochas...
Mathematical analysis of long tail economy using stochastic ranking processes
Mathematical analysis long tail economy stochastic ranking processes
2010/12/17
We present a new method of estimating the distribution of sales rates of, e.g., book titles at an online bookstore, from the time evolution of ranking data found at websites of the store. The method i...
Return interval distribution of extreme events and long term memory
Return interval distribution extreme events long term memory
2010/12/17
The distribution of recurrence times or return intervals between extreme events is important to characterize and understand the behavior of physical systems and phenomena in many disciplines. It is we...