Related papers: Coherent Chaos Interest Rate Models
Apparently random financial fluctuations often exhibit varying levels of complexity, chaos. Given limited data, predictability of such time series becomes hard to infer. While efficient methods of Lyapunov exponent computation are devised,…
We consider compound geometric approximation for a nonnegative, integer-valued random variable $W$. The bound we give is straightforward but relies on having a lower bound on the failure rate of $W$. Applications are presented to M/G/1…
The study of deterministic chaos continues to be one of the important problems in the field of nonlinear dynamics. Interest in the study of chaos exists both in low-dimensional dynamical systems and in large ensembles of coupled…
We introduce a simple dynamical model of two interacting communities whose elements are subject to stochastic discrete-time updates governed by only bilinear interactions. When the intra- and inter-couplings are cooperative, the two…
Complex engineered systems require coordinated design choices across heterogeneous components under multiple conflicting objectives and uncertain specifications. Monotone co-design provides a compositional framework for such problems by…
Quantum coherence quantifies the amount of superposition in a quantum system, and is the reason and resource behind several phenomena and technologies. It depends on the natural basis in which the quantum state of the system is expressed,…
In agreement with the recent research findings in the econophysics, we propose that the nonlinear dynamic chaos can be generated by the turbulent capital flows in both the quantitative easing transmission channels and the transaction…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
Quadratic Hawkes (QHawkes) processes have proved effective at reproducing the statistics of price changes, capturing many of the stylised facts of financial markets. Motivated by the recently reported strong occurrence of endogenous…
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have…
We show the relation between the Heisenberg averaging of regularized 2-point out-of-time ordered correlation function and the 2-point spectral form factor in bosonic quantum mechanics. The generalization to all even-point is also discussed.…
The distribution of quantum coherence in multipartite systems is one of the basic problems in the resource theory of coherence. While the usual coherence measures are defined on a single system and cannot capture the nonlocal correlation…
Noise mechanisms in quantum systems can be broadly characterized as either coherent (i.e., unitary) or incoherent. For a given fixed average error rate, coherent noise mechanisms will generally lead to a larger worst-case error than…
First we make a brief review of coherent states and prove that the resolution of unity can be obtained by the 1-st Chern character of some bundle. Next we define a Grassmann manifold for a set of coherent states and construct the pull-back…
We extend the hardcore model to a multicoloured version: a subset of vertices of a graph are coloured such that no vertex is adjacent to one of the same colour; uncoloured vertices do not constrain neighbours. This mathematically models…
The dynamics of interacting quantum systems in the presence of disorder is studied and an exact representation for disorder-averaged quantities via Ito stochastic calculus is obtained. The stochastic integral representation affords many…
Quantum chaos is usually characterized through its statistical implications on the energy spectrum of a given system. In this work we propose a decoherent mechanism for sensing quantum chaos. The chaotic nature of a many-body quantum system…
Quantum coherence, as a direct manifestation of the quantum superposition principle, is a crucial resource in quantum information processing. Block coherence resource theory generalizes the traditional coherence framework by defining…
This paper formulates a new approach to the study of chaos in discrete dynamical systems based on the notions of inverse ill-posed problems, set-valued mappings, generalized and multivalued inverses, graphical convergence of a net of…
This paper addresses the Bayesian calibration of dynamic models with parametric and structural uncertainties, in particular where the uncertain parameters are unknown/poorly known spatio-temporally varying subsystem models. Independent…