Related papers: Intermittency in Quantitative Finance
The scaling behavior of factorial moments of the differences in multiplicities between well separated bins in heavy-ion collisions is proposed as a probe of quark-hadron phase transition. The method takes into account some of the physical…
Scattering moments provide nonparametric models of random processes with stationary increments. They are expected values of random variables computed with a nonexpansive operator, obtained by iteratively applying wavelet transforms and…
We discuss a dynamic procedure that makes the fractional derivatives emerge in the time asymptotic limit of non-Poisson processes. We find that two-state fluctuations, with an inverse power-law distribution of waiting times, finite first…
We have investigated instability of a superconducting quantum computer by continuously monitoring the qubit output. We found that qubits exhibit a step-like change in the error rates. This change is repeatedly observed, and each step…
We generalize and extend the recently proposed method to account for contributions of system size (or volume/participant) fluctuations to the experimentally measured moments of particle multiplicity distributions. We find that in the…
With the highly anticipated results from the Beam Energy Scan II program at RHIC being recently revealed, an understanding of particle-number fluctuations and their significance as a potential signature of a possible QCD critical point is…
Stock price changes occur through transactions, just as diffusion in physical systems occurs through molecular collisions. We systematically explore this analogy and quantify the relation between trading activity - measured by the number of…
The applicability of the factorization method is extended to the case of quantum fractional-differential Hamiltonians. In contrast with the conventional factorization, it is shown that the `factorization energy' is now a…
The dynamics of a quantum mechanical particle in a time-independent potential are found to contain many interesting phenomena. These are direct consequences of the (typical) existence of more than one time scale governing the problem. This…
The Identity Method is a statistical technique developed to reconstruct moments of multiplicity distributions of particles produced in high-energy nuclear collisions. The method leverages principles from fuzzy logic, allowing for a more…
We present the first experimental study of the ratio of cumulant to factorial moments of the charged-particle multiplicity distribution in high-energy particle interactions, using hadronic Z$^0$ decays collected by the SLD experiment at…
The distortion on the intermittency signal, due to detection efficiency and to the presence of pre--equilibrium emitted particles, is studied in a schematic model of nuclear multi- fragmentation. The source of the intermittency signal is…
Out of equilibrium quantum systems, on top of quantum fluctuations, display complex temporal patterns. Such time fluctuations are generically exponentially small in the system volume and can be therefore safely ignored in most of the cases.…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
We derive a simple expression for the $r^{th}$ factorial moment $\mu_{(r)}$ of the geometric distribution of order $k$ with success parameter $p\in(0,1)$ (and $q=1-p$) in terms of its probability mass function $f_k(n)$. Specifically,…
Quantum dots in the fractional quantum Hall regime are studied using a Hartree formulation of composite fermion theory. Under appropriate conditions the chemical potential of the dots will oscillate periodically with B due to the transfer…
Many financial variables are found to exhibit multifractal nature, which is usually attributed to the influence of temporal correlations and fat-tailedness in the probability distribution (PDF). Based on the partition function approach of…
It is demonstrated that in low multiplicity sample, the increase of the fluctuation of event-factorial-moments with the diminishing of phase space scale, called ``erraticity'', are dominated by the statistical fluctuations. The erraticity…
The Fokker-Planck equation is considered, which is connected to the birth and death process with immigration by the Poisson transform. The fractional derivative in time variable is introduced into the Fokker-Planck equation. From its…
The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appears to be rough, that is, best captured by a continuous-time…