Factorial Moments in Complex Systems

Factorial moments are convenient tools in particle physics to characterize the multiplicity distributions when phase-space resolution ($Δ$) becomes small. They include all correlations within the system of particles and represent integral characteristics of any correlation between these particles. In this letter, we show a direct comparison between high energy physics and quantitative finance results. Both for physics and finance, we illustrate that correlations between particles lead to a broadening of the multiplicity distribution and to dynamical fluctuations when the resolution becomes small enough. From the generating function of factorial moments, we make a prediction on the gap probability for sequences of returns of positive or negative signs. The gap is defined as the number of consecutive positive returns after a negative return, thus this is a gap in negative return. Inversely for a gap in positive return. Then, the gap probability is shown to be exponentially suppressed within the gap size. We confirm this prediction with data.

No reviews yet.

No comments yet.