Related papers: High-frequency dynamics of the implied volatility …
Both van der Waals corrected density functional theory and classical calculations show that the potential relief of interaction energy between layers of graphite and few-layer graphene can be described by a simple expression containing only…
Spiral waves are ubiquitous signatures of non equilibrium dynamics, appearing across chemical, biological, and active systems. Yet, in many living systems these waves unfold on curved and folded surfaces whose geometry has rarely been…
Restrictions to diffusion result in the dispersion of the bulk diffusion coefficient. We derive the exact universal high-frequency behavior of the diffusion coefficient in terms of the surface-to-volume ratio of the restrictions. This…
The coupling between wind-waves and atmospheric surface layer turbulence sets surface drag. This coupling is however usually represented through a roughness length. Originally suggested on purely dimensional grounds, this roughness length…
The probability density function of single-point velocity fluctuations in turbulence is studied systematically using Fourier coefficients in the energy-containing range. In ideal turbulence where energy-containing motions are random and…
The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appears to be rough, that is, best captured by a continuous-time…
We develop a simulation scheme for a class of spatial stochastic processes called volatility modulated moving averages. A characteristic feature of this model is that the behaviour of the moving average kernel at zero governs the roughness…
We consider a general class of bulk-surface convective Cahn--Hilliard systems with dynamic boundary conditions. In contrast to classical Neumann boundary conditions, the dynamic boundary conditions of Cahn--Hilliard type allow for dynamic…
Network coherence generally refers to the emergence of simple aggregated dynamical behaviours, despite heterogeneity in the dynamics of the subsystems that constitute the network. In this paper, we develop a general frequency domain…
Hawkes Processes are a type of point process which models self-excitement among time events. It has been used in a myriad of applications, ranging from finance and earthquakes to crime rates and social network activity analysis.Recently, a…
We formulate a discrete-time Bayesian stochastic volatility model for high-frequency stock-market data that directly accounts for microstructure noise, and outline a Markov chain Monte Carlo algorithm for parameter estimation. The methods…
We report the experimental observation of intermittency in a regime dominated by random shock waves on the surface of a fluid. We achieved such a nondispersive surface-wave field using a magnetic fluid subjected to a high external magnetic…
Understanding the properties of two-dimensional materials interfaces with the substrate is necessary for device applications. Surface acoustic wave propagation through the layered material flake on a substrate could provide unique…
Hawkes process is one of the most commonly used models for investigating the self-exciting nature of earthquake occurrences. However, seismicity patterns have complicated characteristics due to heterogeneous geology and stresses, for which…
We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…
In this paper, we establish a large deviations principle for a multivariate compound process induced by a multivariate Hawkes process with random marks. Our proof hinges on showing essential smoothness of the limiting cumulant of the…
The role of frequency is very important in electromagnetics since it may significantly change how a material interacts with an incident wave if the frequency spectrum varies. Here, we demonstrate a new kind of microwave window that has the…
Be it to aerate a glass of wine before tasting, to accelerate a chemical reaction or to cultivate cells in suspension, the "swirling" (or orbital shaking) of a container ensures good mixing and gas exchange in an efficient and simple way.…
We investigate the asymptotic behavior as time goes to infinity of Hawkes processes whose regression kernel has $L^1$ norm close to one and power law tail of the form $x^{-(1+\alpha)}$, with $\alpha\in(0,1)$. We in particular prove that…
We present a Hawkes model approach to foreign exchange market in which the high frequency price dynamics is affected by a self exciting mechanism and an exogenous component, generated by the pre-announced arrival of macroeconomic news. By…