Related papers: The Zumbach effect under rough Heston
The conventional interpretation of the Hawking-Moss (HM) solution implies a transition rate between vacua that depends only on the values of the potential in the initial vacuum and at the top of a potential barrier, leading to the…
We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil.…
We develop a theoretical foundation for robust model comparison in a class of non-ergodic continuous volatility regression models contaminated by finite-activity jumps. Using the density-power weighting and the H\"{o}lder(-inequality)-based…
We estimate the transition rates of a uniformly accelerated Unruh-DeWitt detector coupled to a quantum field with reflecting conditions on a boundary plane (a "mirror"). We find that these are essentially indistinguishable from the usual…
In industrial applications it is quite common to use stochastic volatility models driven by semi-martingale Markov volatility processes. However, in order to fit exactly market volatilities, these models are usually extended by adding a…
We study the non equilibrium dynamics in the fermionic Hubbard model after a sudden change of the interaction strength. To this scope, we introduce a time dependent variational approach in the spirit of the Gutzwiller ansatz. At the…
Recently, [{arXiv:0810.3134}] is accepted and published. We present ultimate version of no-hidden-variables theorem. We derive a proposition concerning the quantum theory under the existence of the Bloch sphere in a single spin-1/2 system.…
The Kibble-Zurek mechanism (KZM) predicts that a newly formed superfluid prepared by a finite-time thermal quench is populated with vortices. The universality of vortex number statistics, beyond KZM, enables the characterization of…
This paper introduces one new multivariate volatility model that can accommodate an appropriately defined network structure based on low-frequency and high-frequency data. The model reduces the number of unknown parameters and the…
We consider the time-dependence of the Higgs vacuum expectation value (vev) given by the dynamics of the Standard Model and study the non-adiabatic production of both bosons and fermions, which is intrinsically non-perturbative. In the…
In this paper, we study a free scalar field in a specific (1+1)-dimensional curved spacetime. By introducing an algebraic state that is locally Hadamard, we derive the renormalized Wightman function and explicitly calculate the covariantly…
Motivated by empirical evidence for rough volatility models, this paper investigates continuous-time mean-variance (MV) portfolio selection under the Volterra Heston model. Due to the non-Markovian and non-semimartingale nature of the…
To elucidate the influence of shear flow on the generation of magnetic field (the dynamo effect), we study the kinematic limit where the magnetic field does not backreact on the velocity field. By non-perturbatively incorporating the effect…
We perform numerical simulations of the dynamical equations for free water surface in finite basin in presence of gravity. Wave Turbulence (WT) is a theory derived for describing statistics of weakly nonlinear waves in the infinite basin…
We present a detailed analysis of \emph{observable} moments based parameter estimators for the Heston SDEs jointly driving the rate of returns $R_t$ and the squared volatilities $V_t$. Since volatilities are not directly observable, our…
We investigate the observational consequences of scalar instabilities in bimetric theory, under the assumption that the Vainshtein mechanism restores general relativity within a certain distance from gravitational sources. We argue that…
The purpose of this article is numerical verification of the theory of weak turbulence. We performed numerical simulation of an ensemble of nonlinearly interacting free gravity waves (swell) by two different methods: solution of primordial…
The Reverse Stein Effect is identified and illustrated: A statistician who shrinks his/her data toward a point chosen without reliable knowledge about the underlying value of the parameter to be estimated but based instead upon the observed…
In this article we study the asymptotic behaviour of the realized quadratic variation of a process $\int_{0}^{t}u_{s}dY_{s}^{(1)}$% , where $u$ is a $\beta$-H\"older continuous process with $\beta > 1-H$ and…
Stochastic roughness is widespread feature of natural surfaces and is an inherent by-product of most fabrication techniques. In view of rapid development of microfluidics, the important question is how this inevitable evil affects the…