Related papers: Return distributions in dog-flea model revisited
Converting neutron scattering data to real-space time-dependent structures can only be achieved through suitable models, which is particularly challenging for geometrically disordered structures. We address this problem by introducing…
Computer simulations of the Ising model exhibit white noise if thermal fluctuations are governed by Boltzmann's factor alone; whereas we find that the same model exhibits 1/f noise if Boltzmann's factor is extended to include local…
We present results of the numerical simulations and the scaling characteristics of one-dimensional random fluctuations with heavy tailed probability distribution functions. Assuming that the distribution function of the random fluctuations…
Financial time series typically exhibit strong fluctuations that cannot be described by a Gaussian distribution. In recent empirical studies of stock market indices it was examined whether the distribution P(r) of returns r(tau) after some…
An analytical study of the return time distribution of extreme events for stochastic processes with power-law correlation has been carried on. The calculation is based on an epsilon-expansion in the correlation exponent:…
We discuss a specific model of elliptic flow fluctuations due to Gaussian fluctuations in the initial spatial $x$ and $y$ eccentricity components $\left\{\mean{(\sigma_y^2-\sigma_x^2)/(\sigma_x^2+\sigma_y^2)},…
In this paper we analyze, for a model of linear regression with gaussian covariates, the performance of a Bayesian estimator given by the mean of a log-concave posterior distribution with gaussian prior, in the high-dimensional limit where…
Damping on an object generally depends on its conformation (shape size etc.). We consider the Langevin dynamics of a model system with a conformation dependent damping and generalize the fluctuation dissipation relation to fit in such a…
In a critically self--organized model of punctuated equilibrium, boundaries determine peculiar scaling of the size distribution of evolutionary avalanches. This is derived by an inhomogeneous generalization of standard branching processes,…
We argue that the ratio between the shear viscosity and the shear relaxation time, $\eta/\tau_\pi$, should be defined as a thermodynamic quantity obtained from the equal-time symmetric correlator of the shear-stress tensor. In kinetic…
We present a mathematical theory of dynamical fluctuations for the hard sphere gas in the Boltzmann-Grad limit. We prove that: (1) fluctuations of the empirical measure from the solution of the Boltzmann equation, scaled with the square…
We study the fluctuations of eigenvalues from a class of Wigner random matrices that generalize the Gaussian orthogonal ensemble. We begin by considering an $n \times n$ matrix from the Gaussian orthogonal ensemble (GOE) or Gaussian…
We analyze the Standard & Poor's 500 stock market index from the last 22 years. The probability density function of price returns exhibits two well-distinguished regimes with self-similar structure: the first one displays strong…
We study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. While at shorter microscopic time lags the distribution has power-law tails, for mesoscopic times…
We study the distribution of equilibrium avalanches (shocks) in Ising spin glasses which occur at zero temperature upon small changes in the magnetic field. For the infinite-range Sherrington-Kirkpatrick model we present a detailed…
Fractional Gaussian noise models the time series with long-range dependence; when the Hurst index $H>1/2$, it has positive correlation reflecting a persistent autocorrelation structure. This paper studies the numerical method for solving…
We discuss how a finite noise correlation time, which can arise through coupling to engineered nonthermal environments, affects the fluctuation-driven response in a superconductor above its critical temperature. Using the phenomenological…
We performed fluctuation analysis by means of the local scaling dimension for the strength function of the isoscalar (IS) and the isovector (IV) giant quadrupole resonances (GQR) in $^{40}$Ca, where the strength functions are obtained by…
We introduce and study a class of models of free fermions hopping between neighbouring sites with random Brownian amplitudes. These simple models describe stochastic, diffusive, quantum, unitary dynamics. We focus on periodic boundary…
We study the return interval $\tau$ between price volatilities that are above a certain threshold $q$ for 31 intraday datasets, including the Standard & Poor's 500 index and the 30 stocks that form the Dow Jones Industrial index. For…