Related papers: Assessing Relative Volatility/Intermittency/Energy…
We present a numerical method that consistently implements thermal fluctuations and hydrodynamic interactions to the motion of Brownian particles dispersed in incompressible host fluids. In this method, the thermal fluctuations are…
Fundamental quantities of turbulent flows, such as the dissipation constant $C_\varepsilon$ and the intermittency factor $\mu$, are examined in relation to each other for a broader class of non-ideal turbulent flows. In the context of the…
We study the dynamics of inertial particles in turbulence using datasets obtained from both direct numerical simulations and laboratory experiments of turbulent swirling flows. By analyzing time series of particle velocity increments at…
We introduce an index based on information theory to quantify the stationarity of a stochastic process.The index compares on the one hand the information contained in the increment at the time scale $\tau$ of the process at time $t$ with,…
The dynamics of Rayleigh-Taylor turbulence convection in presence of an alternating, time periodic acceleration is studied by means of extensive direct numerical simulations of the Boussinesq equations. Within this framework, we discover a…
In recent years, there has been a substantive interest in rough volatility models. In this class of models, the local behavior of stochastic volatility is much more irregular than semimartingales and resembles that of a fractional Brownian…
Stochastic volatility models that treat the variance of a time series as a stochastic process have proven to be important tools for analyzing dynamic variability. Current methods for fitting and conducting inference on stochastic volatility…
This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…
We study many interacting Brownian particles under a tilted periodic potential. We numerically measure the linear response coefficient of the density field by applying a slowly varying potential transversal to the tilted direction. In…
We study the asymptotic normality of two feasible estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation of the spot volatility. We show that the bias-corrected…
Turbulent suspensions of heavy particles in incompressible flows have gained much attention in recent years. A large amount of work focused on the impact that the inertia and the dissipative dynamics of the particles have on their dynamical…
It is widely accepted that there is strong persistence in the volatility of financial time series. The origin of the observed persistence, or long-range memory, is still an open problem as the observed phenomenon could be a spurious effect.…
Motivated by the construction of the It\^o stochastic integral, we consider a step function method to discretize and simulate volatility modulated L\'evy semistationary processes. Moreover, we assess the accuracy of the method with a…
This paper designs a statistical quantification towards the intermittent power uncertainty in power systems. A negative-exponential forecast uncertainty function is constructed to represent the relationship between the statistics of…
Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than two decades. One of the most well-known and widely studied problems has been the estimation of the quadratic…
In many practical applications, evaluating the joint impact of combinations of environmental variables is important for risk management and structural design analysis. When such variables are considered simultaneously, non-stationarity can…
We propose a hybrid estimation procedure to estimate global fixed parameters and subject-specific random effects in a mixed fractional Black-Scholes model based on discrete-time observations. Specifically, we consider $N$ independent…
We consider discrete-time observations of a continuous martingale under measurement error. This serves as a fundamental model for high-frequency data in finance, where an efficient price process is observed under microstructure noise. It is…
The exit time statistics of experimental turbulent data is analyzed. By looking at the exit-time moments (Inverse Structure Functions) it is possible to have a direct measurement of scaling properties of the laminar statistics. It turns out…
We consider a Brownian particle which, in addition to being in contact with a thermal bath, is driven by fluctuating forces which stem from active processes in the system, such as self-propulsion or collisions with other active particles.…