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This paper is the continuation of our earlier paper, where we proved t^{1/3}-order of current fluctuations across the characteristics in a class of one dimensional interacting systems with one conserved quantity. We also claimed two models…
Fluctuations in the statistical model of heavy ion collisions are studied. The role of statistics, relativity, constraints, decaying resonances and branching processes are investigated using this model. Also studied are thermodynamic…
We show that the total entropy production in stochastic processes with odd-parity variables (under time reversal) is separated into three parts, only two of which satisfy the integral fluctuation theorems in general. One is the usual excess…
We analyze particle velocity fluctuations in a simulated granular system subjected to homogeneous quasistatic shearing. We show that these fluctuations share the following scaling characteristics of fluid turbulence in spite of their…
The fluctuation-dissipation theory is grounded on the Langevin condition expressing the local independence between the thermal force and the particle velocity history. Upon hydrodynamic grounds, it is reasonable to relax this condition in…
In the present paper, we study the equilibrium fluctuations of a particle system in infinite volume with two conserved quantities and long-range dependence. More specifically, the model of interest is the so-called ABC model, in which three…
We show in detail how three one-body fluctuation profiles, namely the local compressibility, the local thermal susceptibility, and the reduced density, can be obtained from a statistical mechanical many-body description of classical…
Amorphous dielectric materials have been known to host two-level systems (TLSs) for more than four decades. Recent developments on superconducting resonators and qubits enable detailed studies on the physics of TLSs. In particular,…
We study the fluctuations of a stochastic Maxwell-Lorentz particle model driven by an external field to determine the extent to which fluctuation relations are related to large deviations. Focusing on the total entropy production of this…
We analyze daily prices of 29 commodities and 2449 stocks, each over a period of $\approx 15$ years. We find that the price fluctuations for commodities have a significantly broader multifractal spectrum than for stocks. We also propose…
It has long been suspected that flows of incompressible fluids at large or infinite Reynolds number (namely at small or zero viscosity) may present finite time singularities. We review briefly the theoretical situation on this point. We…
At the macroscopic scale, many important models of collective motion fall into the class of kinematic flows for which both velocity and diffusion terms depend only on particle density. When total particle numbers are fixed and finite,…
The class of Levy processes for which overshoots are almost surely constant quantities is precisely characterized.
Exponential L\'evy processes can be used to model the evolution of various financial variables such as FX rates, stock prices, etc. Considerable efforts have been devoted to pricing derivatives written on underliers governed by such…
We introduce a novel description of the dynamics of the order book of financial markets as that of an effective colloidal Brownian particle embedded in fluid particles. The analysis of a comprehensive market data enables us to identify all…
The measures of roughness of the volatility in the litterature are based on the realized volatility of high frequency data. Some authors show that this leads to a biased estimate, and does not necessarily indicate roughness of the…
Variable annuities (VA) are popular insurance products. VAs provides the insured with a guaranteed accumulation rate on their premium at maturity. In addition, the insured may receive extra benefit if returns of underlying funds are high…
This paper presents a novel one-factor stochastic volatility model where the instantaneous volatility of the asset log-return is a diffusion with a quadratic drift and a linear dispersion function. The instantaneous volatility mean reverts…
Inspired by the recent literature on aggregation theory, we aim at relating the long range correlation of the stocks return volatility to the heterogeneity of the investors' expectations about the level of the future volatility. Based on a…
We empirically analyze the price and liquidity responses to trade signs, traded volumes and signed traded volumes. Utilizing the singular value decomposition, we explore the interconnections of price responses and of liquidity responses…