Related papers: Intermittency in Quantitative Finance
In this review, we present some fundamental classical and quantum phenomena in view of time fractional formalism. Time fractional formalism is a very useful tool in describing systems with memory and delay. We hope that this study can…
The role of Bose-Einstein correlations in a widely discussed intermittency phenomenon is reviewed. In particular, it is shown that particle correlations of different origin are better displayed when analysed as functions of appropriately…
We consider time fractional stochastic heat type equation $$\partial^\beta_tu(t,x)=-\nu(-\Delta)^{\alpha/2} u_t(x)+I^{1-\beta}_t[\sigma(u)\stackrel{\cdot}{W}(t,x)]$$ in $(d+1)$ dimensions, where $\nu>0$, $\beta\in (0,1)$, $\alpha\in (0,2]$,…
The work approaches the study of the fluctuations for the thermodynamic systems in the presence of the fields. The approach is of phenomenological nature and developed in a Gaussian approximation. The study is exemplified on the cases of a…
Based on the Multifractal Detrended Fluctuation Analysis (MFDFA) and on the Wavelet Transform Modulus Maxima (WTMM) methods we investigate the origin of multifractality in the time series. Series fluctuating according to a qGaussian…
We develop a theory of securities price formation and dynamics based on quantum approach and without presuming any similarities with quantum mechanics. Disorder introduced by trading environment leads to probability distribution of returns…
We extend the close interplay between continued fractions, orthogonal polynomials, and Gaussian quadrature rules to several variables in a special but natural setting which we characterize in terms of moment sequences. The crucial condition…
A fractional quantization in a two dimensional space is proposed. The angular momenta of the two dimensional electrons are quantized in fractional numbers by the boundary conditions on a multi-layered Riemann surface. Extended wave…
The spatial configurations of particles produced in the kinematic phase space during a heavy-ion collision reflect the characteristics of the system created in the collision. The scaling behaviour of the multiplicity fluctuations is studied…
A Fluctuation Theorem (FT), both Classical and Quantum, describes the large-deviations in the approach to equilibrium of an isolated quasi-integrable system. Two characteristics make it unusual: (i) it concerns the internal dynamics of an…
The statistics of velocity differences between very heavy inertial particles suspended in an incompressible turbulent flow is found to be extremely intermittent. When particles are separated by distances within the viscous subrange, the…
Fluctuations of observables as functions of time, or "fluctuation patterns", are studied in a chaotic microscopically reversible system that has irreversibly reached a nonequilibrium stationary state. Supposing that during a certain, long…
We calculate reduced moments $\overline \xi_q$ of the matter density fluctuations, up to order $q=5$, from counts in cells produced by Particle--Mesh numerical simulations with scale--free Gaussian initial conditions. We use power--law…
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…
For fluctuating currents in non-equilibrium steady states, the recently discovered thermodynamic uncertainty relation expresses a fundamental relation between their variance and the overall entropic cost associated with the driving. We show…
Fractional variation is defined as the limit of the difference quotient of the increments of a function and its argument raised to a fractional power. Fractional velocity can be suitable for characterizing singular behavior of derivatives…
Properties satisfied by the moments of the partial non-central chi-square distribution function, also known as Nuttall Q-functions, and methods for computing these moments are discussed in this paper. The Nuttall Q-function is involved in…
We compare correlations and coherent structures in nuclei and financial markets. In the nuclear physics part we review giant resonances which can be interpreted as a coherent structure embedded in chaos. With similar methods we investigate…
We present a new framework for modeling the statistical behavior of both fully developed turbulence and short-term dynamics of financial markets based on the nonextensive thermostatistics proposed by Tsallis. We also show that intermittency…
Multiplicity distributions of intermediate mass fragments (IMF) seen in intermediate energy heavy ion collisions have been of great interest in the last ten years. The distributions of single intermediate sized element are close to…