Related papers: Intermittency in Quantitative Finance
We discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The moment variations are defined under non-parametric assumptions…
We generalise the description of the dynamics of the order book of financial markets in terms of a Brownian particle embedded in a fluid of incoming, exiting and annihilating particles by presenting a model of the velocity on each side (buy…
In this paper we derived in QCD the BFKL linear, inhomogeneous equation for the factorial moments of multiplicity distribution($M_k$) from LMM equation. In particular, the equation for the average multiplicity of the color-singlet…
The factorial moments (FM) of multiplicity distributions in one- and two-dimensions are studied for Pb+Pb collisions at 158 AGeV/c. The results are compared with FRITIOF, RQMD and VENUS predictions. In the relation between FM and the number…
The small-scale turbulent dynamo in the high Prandtl number regime is described in terms of the one-point Fourier space correlators. The second order correlator of this kind is the energy spectrum and it has been previously studied in…
We define a block observable for the $q$-state Potts model which exhibits an intermittent behaviour at the critical point. We express the intermittency indices of the normalised moments in terms of the magnetic critical exponent $\beta…
In this note we discuss a paradigmatic example of interacting particles subject to non conservative external forces and to the action of thermostats consisting of external (finite) reservoirs of particles. We then consider a model of…
We study fluctuations in diffusion-limited reaction systems driven out of their stationary state. Using a numerically exact method, we investigate fluctuation ratios in various systems which differ by their level of violation of microscopic…
In quantum field theory, the probability of producing scalar particles grows factorially as a function of the number of the particles produced. This poses a problem theoretically, in maintaining unitarity, and is counter-intuitive…
We argue that specific fluctuations observed in high-energy nuclear collisions can be attributed to intrinsic fluctuations of temperature of the hadronizing system formed in such processes and therefore can be described by the same…
The periodically driven O(N) model is studied near the critical line separating a disordered paramagnetic phase from a period doubled phase, the latter being an example of a Floquet time crystal. The time evolution of one-point and…
We demonstrate that like in the forward cascade of three dimensional turbulence that displays intermittency (lack of self-similarity) due to the concentration of energy dissipation in a small set of fractal dimension less than three, the…
Energy dependence of fission observables is a key issue for wide nuclear applications. We studied real-time fission dynamics from low-energy to high excitations in the compound nucleus $^{240}$Pu with the time-dependent Hartree-Fock+BCS…
The analysis of logarithmic return distributions defined over large time scales is crucial for understanding the long-term dynamics of asset price movements. For large time scales of the order of two trading years, the anticipated Gaussian…
The second-order moment quantum fluctuations or uncertainties are mass-dependent, and the incompatibility between the quantum uncertainty principle and the equivalence principle is at the second-order moment (variation) level, but not the…
We investigate the multiplicity fluctuations observed in high-energy nuclear collisions attributing them to intrinsic fluctuations of temperature of the hadronizing system formed in such processes. To account for these fluctuations we…
We establish asymptotic expansions for factorial moments of following distributions: number of cycles in a random permutation, number of inversions in a random permutation, and number of comparisons used by the randomized quick sort…
The Bohmian quantum approach is implemented to analyze the financial markets. In this approach, there is a wave function that leads to a quantum potential. This potential can explain the relevance and entanglements of the agent's behaviors…
Phase noise and frequency (in)stability both describe the fluctuation of stable periodic signals, from somewhat different standpoints. Frequency is unique compared to other domains of metrology, in that its fluctuations of interest span at…
Interactions between the inflaton and any additional fields can lead to isolated bursts of particle production during inflation (for example from parametric resonance or a phase transition). Inflationary particle production leaves localized…