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In this paper, we develop a Markovian model that deals with the volume offered at the best quote of an electronic order book. The volume of the first limit is a stochastic process whose paths are periodically interrupted and reset to a new…

Trading and Market Microstructure · Quantitative Finance 2019-07-15 Ioane Muni Toke

A simple, discrete, parametric model is proposed to describe conditional (correlated) deposition of particles on a surface and formation of a connecting (percolating) cluster. The surface changes spontaneously its properties (phase…

Statistical Mechanics · Physics 2007-05-23 Ana Proykova , Boris Karadjov

The homogeneous partly pinned fluid systems are simple models of a fluid confined in a disordered porous matrix obtained by arresting randomly chosen particles in a one-component bulk fluid or one of the two components of a binary mixture.…

Soft Condensed Matter · Physics 2010-12-07 Vincent Krakoviack

We explore adhesive loose packings of dry small spherical particles of micrometer size using 3D discrete-element simulations with adhesive contact mechanics. A dimensionless adhesion parameter ($Ad$) successfully combines the effects of…

Soft Condensed Matter · Physics 2015-09-10 Wenwei Liu , Shuiqing Li , Adrian Baule , Hernán A. Makse

We include alignment interactions in a well-studied first-order attractive-repulsive macroscopic model for aggregation. The distinctive feature of the extended model is that the equation that specifies the velocity in terms of the…

Analysis of PDEs · Mathematics 2016-06-22 Razvan C. Fetecau , Weiran Sun , Changhui Tan

We study a novel large dimensional approximate factor model with regime changes in the loadings driven by a latent first order Markov process. By exploiting the equivalent linear representation of the model, we first recover the latent…

Econometrics · Economics 2024-12-04 Matteo Barigozzi , Daniele Massacci

We describe a criterion for particles suspended in a randomly moving fluid to aggregate. Aggregation occurs when the expectation value of a random variable is negative. This random variable evolves under a stochastic differential equation.…

Statistical Mechanics · Physics 2009-11-10 B. Mehlig , M. Wilkinson , K. Duncan , T. Weber , M. Ljunggren

Consider the random sequential packing model with infinite input and in any dimension. When the input consists of non-zero volume convex solids we show that the total number of solids accepted over cubes of volume $\lambda$ is…

Probability · Mathematics 2015-06-26 T. Schreiber , Mathew D. Penrose , J. E. Yukich

We define a stochastic model of a two-sided limit order book in terms of its key quantities \textit{best bid [ask] price} and the \textit{standing buy [sell] volume density}. For a simple scaling of the discreteness parameters, that keeps…

Mathematical Finance · Quantitative Finance 2015-01-06 Ulrich Horst , Michael Paulsen

Under sufficient permanent random covalent bonding, a fluid of atoms or small molecules is transformed into an amorphous solid network. Being amorphous, local structural properties in such networks vary across the sample. A natural order…

Disordered Systems and Neural Networks · Physics 2009-10-31 Konstantin A. Shakhnovich , Paul M. Goldbart

We present a theoretical discussion of the reversible parking problem, which appears to be one of the simplest systems exhibiting glassy behavior. The existence of slow relaxation, nontrivial fluctuations, and an annealing effect can all be…

Statistical Mechanics · Physics 2009-10-31 Amy J. Kolan , Edmund R. Nowak , Alexei V. Tkachenko

In this paper we describe the construction of an efficient probabilistic parameterization that could be used in a coarse-resolution numerical model in which the variation of moisture is not properly resolved. An Eulerian model using a…

Atmospheric and Oceanic Physics · Physics 2018-10-30 Yue-Kin Tsang , Geoffrey K. Vallis

The rotating shallow water model is a simplification of oceanic and atmospheric general circulation models that are used in many applications such as surge prediction, tsunami tracking and ocean modelling. In this paper we introduce a class…

Analysis of PDEs · Mathematics 2023-03-22 Oana Lang , Dan Crisan , Etienne Mémin

The ability to understand spatial-temporal patterns for crowds of people is crucial for achieving long-term autonomy of mobile robots deployed in human environments. However, traditional historical data-driven memory models are inadequate…

Robotics · Computer Science 2023-11-27 Zijian Ge , Jingjing Jiang , Matthew Coombes , Liang Sun

The random sequential adsorption (RSA) of identical elongated particles (discorectangles) on a line ("Paris car parking problem") was studied numerically. An off-lattice model with continuous positional and orientational degrees of freedom…

Disordered Systems and Neural Networks · Physics 2020-07-14 Nikolai I. Lebovka , Mykhailo O. Tatochenko , Nikolai V. Vygornitskii , Yuri Yu. Tarasevich

We investigate the Plackett-Luce (PL) model based listwise learning-to-rank (LTR) on data with partitioned preference, where a set of items are sliced into ordered and disjoint partitions, but the ranking of items within a partition is…

Machine Learning · Computer Science 2021-03-01 Jiaqi Ma , Xinyang Yi , Weijing Tang , Zhe Zhao , Lichan Hong , Ed H. Chi , Qiaozhu Mei

Hidden Markov models (HMMs) and partially observable Markov decision processes (POMDPs) form a useful tool for modeling dynamical systems. They are particularly useful for representing environments such as road networks and office…

Artificial Intelligence · Computer Science 2013-01-30 Hagit Shatkay

We apply the random-matrix theory to the car-parking problem. For this purpose, we adopt a Coulomb gas model that associates the coordinates of the gas particles with the eigenvalues of a random matrix. The nature of interaction between the…

Physics and Society · Physics 2007-05-23 A. Y. Abul-Magd

We introduce a local order metric (LOM) that measures the degree of order in the neighborhood of an atomic or molecular site in a condensed medium. The LOM maximizes the overlap between the spatial distribution of sites belonging to that…

Computational Physics · Physics 2018-02-21 Fausto Martelli , Hsin-Yu Ko , Erdal C. Oguz , Roberto Car

in this article a multilayer parking system of size n=3 is studied. We prove that the asymptotic limit of the particle density in the center approaches a maximum of 1/2 in higher layers. This means a significant increase of capacity…

Probability · Mathematics 2013-06-06 Sjoert Fleurke , Aernout C. D. van Enter