Related papers: Intermittency in Quantitative Finance
The scaling properties of oil price fluctuations are described as a non-stationary stochastic process realized by a time series of finite length. An original model is used to extract the scaling exponent of the fluctuation functions within…
Here, we analyse the behaviour of the higher order standardised moments of financial time series when we truncate a large data set into smaller and smaller subsets, referred to below as time windows. We look at the effect of the economic…
During the inflationary phase of the early universe, quantum fluctuations in the vacuum generate particles as they stretch beyond the Hubble length. These fluctuations are thought to result in the density fluctuations and gravitational…
We study processes with unstable particles in intermediate time-like states. It is shown that the amplitudes squared of such processes factor exactly in the framework of the model of unstable particles with continuous masses. Decay widths…
Event-by-event intermittency analysis of Toy Monte Carlo events is performed in the scenario of high multiplicity events as is the case at recent colliders RHIC and LHC for AA collisions. A power law behaviour of Normalized Factorial…
Non-equilibrium fluctuations of various stochastic variables, such as work and entropy production, have been widely discussed recently in the context of large deviations, cumulants and fluctuation relations. Typically, one looks at the…
Recently, the moments of multiplicity distributions in e+e- annihilation and the ratios H_q (cumulant over factorial moments K_q/F_q) have been determined both for the hadronic final state and for jets at variable resolution. These ratios…
Fractional, anomalous diffusion in space-periodic potentials is investigated. The analytical solution for the effective, fractional diffusion coefficient in an arbitrary periodic potential is obtained in closed form in terms of two…
Fluctuations due to a super-position of uncorrelated Lorentzian pulses with a random distribution of amplitudes and duration times are considered. These are demonstrated to be strongly intermittent in the limit of weak pulse overlap,…
Fractionalization is a phenomenon where an elementary excitation partitions into several pieces. This picture explains non-trivial transport through a junction of one-dimensional edge channels defined by topologically distinct quantum Hall…
The QCD critical point can be found in heavy ion collision experiments via the non-monotonic behavior of many fluctuation observables as a function of the collision energy. The event-by-event fluctuations of various particle multiplicities…
It is demonstrated using Monte Carlo simulation that in different nucleus$-$nucleus collision samples, the increase of the fluctuation of event factorial moments with decreasing phase space scale, called erraticity, is still dominated by…
In experiment, the multiplicity distributions of inelastic processes are truncated due to finite energy, insufficient statistics or special choice of events. It is shown that the moments of such truncated multiplicity distributions possess…
We calculate the higher order moments in a sequence of models where the initial density fluctuations are drawn from a chi^2_nu distribution with a power-law power spectrum. For large values of nu the distribution is approximately gaussian,…
For many externally driven complex systems neither the noisy driving force, nor the internal dynamics are a priori known. Here we focus on systems for which the time dependent activity of a large number of components can be monitored,…
Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…
We study dilute magnetic impurities and vacancies in two-dimensional frustrated magnets with non-collinear order. Taking the triangular-lattice Heisenberg model as an example, we use quasiclassical methods to determine the impurity…
The price of financial assets are, since Bachelier, considered to be described by a (discrete or continuous) time sequence of random variables, i.e a stochastic process. Sharp scaling exponents or unifractal behavior of such processes has…
The intermittency analysis of single event data (particle moments) in multiparticle production is improved, taking into account corrections due to the reconstruction of history of a particle cascade. This approach is tested within the…
It is shown that effects of particle identity entail reduction in the number of orbital degrees-of-freedom in non-relativistic 2-particle systems from 6 to 5. This effect of redundancy in description of orbital motion is found to be in…