Related papers: High-frequency dynamics of the implied volatility …
This chapter first presents a rather personal view of some different aspects of predictability, going in crescendo from simple linear systems to high-dimensional nonlinear systems with stochastic forcing, which exhibit emergent properties…
We consider a population of Hawkes processes modeling the activity of $N$ interacting neurons. The neurons are regularly positioned on the segment $[0,1]$, and the connectivity between neurons is given by a random possibly diluted and…
Active tissues exhibit tension fluctuations that are correlated in space and time. We study a minimal overdamped surface model in which such fluctuations enter as a zero-mean, multiplicative modulation of the local surface tension. Although…
The aim of this work is to introduce a new stochastic volatility model for equity derivatives. To overcome some of the well-known problems of the Heston model, and more generally of the affine models, we define a new specification for the…
The characterization of the wetting on superhydrophobic surfaces is rather complex. Usual contact angle experiments are difficult to perform and the lateral movement of droplets as well as the pinning at point defects on the surface can…
In this paper, we study the relationship between the short-end of the local and the implied volatility surfaces. Our results, based on Malliavin calculus techniques, recover the recent $\frac{1}{H+3/2}$ rule (where $H$ denotes the Hurst…
The influence of rough surfaces on fluid flow is characterized by the downward shift in the logarithmic layer of velocity and temperature profiles, namely the velocity roughness function $\Delta U^+$ and the corresponding temperature…
The classic evolution equations for potential flow on the free surface of a fluid flow are not closed because the pressure and the vertical velocity dynamics are not specified on the free surface. Moreover, their wave dynamics does not…
Dynamics of linear perturbations in a differentially rotating accretion disk with non-homogeneous vertical structure is investigated. It has been found that turbulent viscosity results in instability of both pinching oscillations, and…
Soft solids with surface energy exhibit complex mechanical behavior, necessitating advanced constitutive models to capture the interplay between bulk and surface mechanics. This interplay has profound implications for material design and…
This paper extends the existing fractional Hawkes process to better model mainshock-aftershock sequences of earthquakes. The fractional Hawkes process is a self-exciting point process model with temporal decay kernel being a Mittag-Leffler…
We consider the problem of unveiling the implicit network structure of node interactions (such as user interactions in a social network), based only on high-frequency timestamps. Our inference is based on the minimization of the…
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate…
In this study, we constructed daily high-frequency sentiment data and used the VAR method to attempt to predict the next day's implied volatility surface. We utilized 630,000 text data entries from the East Money Stock Forum from 2014 to…
In the hierarchical search for periodic sources of gravitational waves, the candidate selection, in the incoherent step, can be performed with Hough transform procedures. In this paper we analyze the problem of sensitivity loss due to…
No surface is perfectly planar at all scales. The notion of flatness of a surface therefore depends on the size of the probe used to observe it. As a consequence rough interfaces are abundant in nature. Here the old, but still active field…
We study the effect of surface scattering on transport properties in many-mode conducting channels (electron waveguides). Assuming a strong roughness of the surface profiles, we show that there are two independent control parameters that…
When a vortex refracts surface waves, the momentum flux carried by the waves changes direction and the waves induce a reaction force on the vortex. We study experimentally the resulting vortex distortion. Incoming surface gravity waves…
A theoretical justification of the empirical surface hopping method for the laser-driven molecular dynamics is given utilizing the formalism of the exact factorization of the molecular wavefunction [Abedi et al., PRL $\textbf{105}$, 123002…
An isotropic elastic half space is prestrained so that two of the principal axes of strain lie in the bounding plane, which itself remains free of traction. The material is subject to an isotropic constraint of arbitrary nature. A surface…