Related papers: Currents Beneath Stability: A Stochastic Framework…
We revisit the original proposal of cosmological relaxation of the electroweak scale by Graham, Kaplan and Rajendran in which the Higgs mass is scanned during inflation by an axion field, the relaxion. We investigate the regime where the…
We have explored a simple microscopic model to simulate a thermally activated rate process where the associated bath which comprises a set of relaxing modes is not in an equilibrium state. The model captures some of the essential features…
A variety of enhanced statistical and numerical methods are now routinely used to extract comprehensible and relevant thermodynamic information from the vast amount of complex, high-dimensional data obtained from intensive molecular…
We present an analytical framework to study the escape rate from a metastable state under the influence of two external multiplicative cross-correlated noise processes. Starting from a phenomenological stationary Langevin description with…
We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized regression techniques to flexibly identify changes in…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
The stochastic approach aims at describing the long-wavelength part of quantum fields during inflation by a classical stochastic theory. It is usually formulated in terms of Langevin equations, giving rise to a Fokker-Planck equation for…
The reactive process of barrier escaping from the metastable potential well is studied together with the extension of Kramers' rate formula to the fractional case. Characteristic quantities are computed for an thimbleful of insight into the…
We study the diffusion of shocks in the global financial cycle and global liquidity conditions to emerging and developing economies. We show that the classification according to their external trade patterns (as commodities' net exporters…
In this paper we investigate a stochastic model for an economic game. To describe this model we have used a Wiener process, as the noise has a stabilization effect. The dynamics are studied in terms of stochastic stability in the stationary…
This paper investigates the structural dynamics of stock market volatility through the Financial Chaos Index, a tensor- and eigenvalue-based measure designed to capture realized volatility via mutual fluctuations among asset prices.…
We present a model of financial markets originally proposed for a turbulent flow, as a dynamic basis of its intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential,…
In this paper, we investigate the effectiveness of conventional and unconventional monetary policy measures by the European Central Bank (ECB) conditional on the prevailing level of uncertainty. To obtain exogenous variation in central bank…
The aim of this paper is to dig deeper into understanding the exchange rates and uncertainty dependence. Using the novel Baker et al. (2020)'s daily Twitter Uncertainty Index and BRICS exchange rates, we investigate their extreme tail…
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
We present a generalized picture of intermittency in turbulence that is based on the theory of stochastic processes. To this end, we rely on the experimentally and numerically verified finding by R.~Friedrich and J.~Peinke [Phys. Rev. Lett.…
We analyze tick data of yen-dollar exchange with a focus on its up and down movement. We show that there exists a rather particular conditional probability structure with such high frequency data. This result provides us with evidence to…
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads…
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current…
The emerging system at the European level can be conceptualized as a pattern of relations among member states that tends to be reproduced despite disturbances in individual trajectories. The Markov property is used as an indicator of…