Related papers: Universal Fluctuations of AEX index
The $\alpha$-$\eta$-$\kappa$-$\mu$ is one of the most generalized and flexible channel models having an excellent fit to experimental data from diverse propagation environments. The existing statistical results on the envelope of…
We significantly advance the research program initiated in "Moment-Based Evidence for Simple Rational-Valued Hilbert-Schmidt Generic 2 x 2 Separability Probabilities" (J. Phys. A, 45, 095305 [2012]). A function P(alpha), incorporating a…
Approximate Bayesian Computation (ABC) methods rely on asymptotic arguments, implying that parameter inference can be systematically biased even when sufficient statistics are available. We propose to construct the ABC accept/reject step…
We develop a Fokker-Planck approach to describe the dynamics of staggered magnetization and thermal fluctuations in a two-dimensional antiferromagnetic system with uniaxial anisotropy. Beginning with a classical model for the…
The fluctuation exchange (FLEX) approximation is applied to study the Holstein-Hubbard model. Due to the retarded nature of the phonon-mediated electron-electron interaction, neither fast Fourier transform (FFT) nor previously developed NRG…
Volatility, as a primary indicator of financial risk, forms the foundation of classical frameworks such as Markowitz's Portfolio Theory and the Efficient Market Hypothesis (EMH). However, its conventional use rests on assumptions-most…
In this work we consider a generalization of Starobinsky inflation obtained by combining power law ($R^\beta$), and $\alpha$-Starobinsky inflation ($E$-model). The Einstein frame potential for this model is that of power law Starobinsky…
We compute exact asymptotic results for the probability of the occurrence of large deviations of the largest (smallest) eigenvalue of random matrices belonging to the Gaussian orthogonal, unitary and symplectic ensembles. In particular, we…
The true probability of a European call option to achieve positive return is investigated under the Black-Scholes model. It is found that the probability is determined by those market factors appearing in the BS formula, besides the growth…
The problem of making predictions in eternally inflating universe that thermalizes by bubble nucleation is considered. A recently introduced regularization procedure is applied to find the probability distribution for the ensemble of…
There is an abundance of useful fluctuation identities for one-sided L\'evy processes observed up to an independent exponentially distributed time horizon. We show that all the fundamental formulas generalize to time horizons having matrix…
This paper focuses on testing for the presence of alpha in time-varying factor pricing models, specifically when the number of securities N is larger than the time dimension of the return series T. We introduce a maximum-type test that…
A new three-parameter cumulative distribution function defined on $(\alpha,\infty)$, for some $\alpha\geq0$, with asymmetric probability density function and showing exponential decays at its both tails, is introduced. The new distribution…
Fluctuation theorems have a very special place in the study of non equilibrium dynamics of physical systems. The form in which it is used most extensively is the Gallavoti-Cohen Fluctuation Theorem which is in terms of the distribution of…
We argue that while fluctuating fronts propagating into an unstable state should be in the standard KPZ universality class when they are {\em pushed}, they should not when they are {\em pulled}: The universal $1/t$ velocity relaxation of…
Different choices exist for the renormalisation group resummation in the determination of $\alpha_s$ from hadronic $\tau$ decays: namely fixed-order (FOPT) and contour-improved perturbation theory (CIPT). The two approaches lead to…
The estimation of mutation probabilities and relative fitnesses in fluctuation analysis is based on the unrealistic hypothesis that the single-cell times to division are exponentially distributed. Using the classical Luria-Delbr\"{u}ck…
This paper derives the Fokker-Planck (FP) equation for a particle moving in potential by a randomly modulated dipole. The FP equation describes the anomalous diffusion observed in the companion paper [1] and breaks the conservation of the…
For a regression model, we consider the risk of the maximum likelihood estimator with respect to $\alpha$-divergence, which includes the special cases of Kullback-Leibler divergence, Hellinger distance and $\chi^2$ divergence. The…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…