Related papers: Stock-flow consistent macroeconomic model with non…
In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are described by a weighted indexed…
The random numbers driving Markov chain Monte Carlo (MCMC) simulation are usually modeled as independent U(0,1) random variables. Tribble [Markov chain Monte Carlo algorithms using completely uniformly distributed driving sequences (2007)…
We analyze the household savings problem in a general setting where returns on assets, non-financial income and impatience are all state dependent and fluctuate over time. All three processes can be serially correlated and mutually…
We introduce a statistical mechanics formalism for the study of constrained graph evolution as a Markovian stochastic process, in analogy with that available for spin systems, deriving its basic properties and highlighting the role of the…
The present paper proposes a stochastic model of the traffic flow. This model has a discrete set of states and the continuous time. The model is a generalization of the discrete stochastis model that has been considered in a previous paper…
We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observation process, which is another multi-dimensional…
We describe a general strategy for sampling configurations from a given distribution, NOT based on the standard Metropolis (Markov chain) strategy. It uses the fact that nontrivial problems in statistical physics are high dimensional and…
The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method.…
We calculate the bulk-diffusion coefficient and the conductivity in a broad class of conserved-mass aggregation processes on a ring of discrete sites. These processes involve chipping and fragmentation of masses, which diffuse around and…
We study a minimal model of traffic flows in complex networks, simple enough to get analytical results, but with a very rich phenomenology, presenting continuous, discontinuous as well as hybrid phase transitions between a free-flow phase…
This manuscript reports a stochastic dynamical scenario whose associated stationary probability density function is exactly a previously proposed one to adjust high-frequency traded volume distributions. This dynamical conjecture,…
In contexts where data samples represent a physically stable state, it is often assumed that the data points represent the local minima of an energy landscape. In control theory, it is well-known that energy can serve as an effective…
We study a general mass transport model on an arbitrary graph consisting of $L$ nodes each carrying a continuous mass. The graph also has a set of directed links between pairs of nodes through which a stochastic portion of mass, chosen from…
This paper deals with the large-scale behaviour of nonlinear minimum-cost flow problems on random graphs. In such problems, a random nonlinear cost functional is minimised among all flows (discrete vector-fields) with a prescribed net flux…
In this work we propose a model to describe the statistical fluctuations of the self-driven objects (species A) walking against an opposite crowd (species B) in order to simulate the regime characterized by stop-and-go waves in the context…
Nested stochastic modeling has been on the rise in many fields of the financial industry. Such modeling arises whenever certain components of a stochastic model are stochastically determined by other models. There are at least two main…
In this paper we consider a fractional stochastic volatility model, that is a model in which the volatility may exhibit a long-range dependent or a rough/antipersistent behavior. We propose a dynamic sequential Monte Carlo methodology that…
The probabilistic characteristics of daily wind speed are not well captured by simple density functions such as Normal or Weibull distribuions as suggested by the existing literature. The unmodeled uncertainties can cause unknown influences…
We consider a stochastic flow driven by a finite dimensional Brownian motion. We show that almost every realization of such a flow exhibits strong statistical properties such as the exponential convergence of an initial measure to the…
Is the large influence that mutual funds assert on the U.S. financial system spread across many funds, or is it is concentrated in only a few? We argue that the dominant economic factor that determines this is market efficiency, which…