Related papers: Anomalous diffusions in option prices: connecting …
The principle of absence of arbitrage opportunities allows obtaining the distribution of stock price fluctuations by maximizing its information entropy. This leads to a physical description of the underlying dynamics as a random walk…
Characterizing hydrodynamic transport in fractured rocks is essential for carbon storage and geothermal energy production. Multiscale heterogeneities lead to anomalous solute transport, with breakthrough-curve (BTC) tailing and nonlinear…
A continuous time random walk (CTRW) is a random walk in which both spatial changes represented by jumps and waiting times between the jumps are random. The CTRW is coupled if a jump and its preceding or following waiting time are dependent…
We study financial distributions within the framework of the continuous time random walk (CTRW). We review earlier approaches and present new results related to overnight effects as well as the generalization of the formalism which embodies…
Linear theory of stationary response in thermal systems subjected to external perturbations requires to find equilibrium correlation function of the responding system variable in the absence of external perturbations. Studies of the…
A numerical study of the role of anomalous diffusion in front propagation in reaction-diffusion systems is presented. Three models of anomalous diffusion are considered: fractional diffusion, tempered fractional diffusion, and a model that…
For renewal-reward processes with a power-law decaying waiting time distribution, anomalously large probabilities are assigned to atypical values of the asymptotic processes. Previous works have reveals that this anomalous scaling causes a…
This paper investigates short-term behaviors of implied volatility of derivatives written on indexes in equity markets when the index processes are constructed by using a ranking procedure. Even in simple market settings where stock prices…
We discuss the asymptotic behaviour of risk-based indifference prices of European contingent claims in discrete-time financial markets under volatility uncertainty as the number of intermediate trading periods tends to infinity. The…
Bacterial swarms display intriguing dynamical states like active turbulence. Using a hydrodynamic model we now show that such dense active suspensions manifest super-diffusion, via L\'evy walks, which masquerades as a crossover from…
A continuous time random walk (CTRW) model with waiting times following the Levy-stable distribution with exponential cut-off in equilibrium is a simple theoretical model giving rise to normal, yet non-Gaussian diffusion. The distribution…
We consider a continuous-time random walk which is the generalization, by means of the introduction of waiting periods on sites, of the one-dimensional nonhomogeneous random walk with a position-dependent drift known in the mathematical…
Financial price changes obey two universal properties: they follow a power law and they tend to be clustered in time. The second regularity, known as volatility clustering, entails some predictability in the price changes: while their sign…
Anomalous diffusion phenomena occur on length scales spanning from intracellular to astrophysical ranges. A specific form of decay at large argument of the probability density function of rescaled displacement (scaling function) is derived…
The usual development of the continuous time random walk (CTRW) assumes that jumps and time intervals are a two-dimensional set of independent and identically distributed random variables. In this paper we address the theoretical setting of…
Voter models are well known in the interdisciplinary community, yet they haven't been studied from the perspective of anomalous diffusion. In this paper we show that the original voter model exhibits ballistic regime. Non-linear…
The uncoupled Continuous Time Random Walk (CTRW) in one space-dimension and under power law regime is splitted into three distinct random walks: (rw_1), a random walk along the line of natural time, happening in operational time; (rw_2), a…
The Continuous Time Random Walk (CTRW) formalism is used to model the non-Poisson relaxation of a system response to perturbation. Two mechanisms to perturb the system are analyzed: a first in which the perturbation, seen as a potential…
We propose a model of sub-diffusion in which an external force is acting on a particle at all times not only at the moment of jump. The implication of this assumption is the dependence of the random trapping time on the force with the…
The non-gaussianity of processes observed in financial markets and relatively good performance of gaussian models can be reconciled by replacing the Brownian motion with Levy processes whose Levy densities decay as exp(-lambda|x|) or…