Related papers: Currents Beneath Stability: A Stochastic Framework…
In this paper we test the random walk hypothesis on the high frequency dataset of the bid--ask Deutschemark/US dollar exchange rate quotes registered by the inter-bank Reuters network over the period October 1, 1992 to September 30, 1993.…
Current fluctuations are a powerful tool to unravel the underlying physics of the observed transport process. This work discusses some general properties of the third and the fourth current cumulant (skewness and kurtosis) related to…
An expanding literature articulates the view that Taylor rules are helpful in predicting exchange rates. In a changing world however, Taylor rule parameters may be subject to structural instabilities, for example during the Global Financial…
We investigate quotation and transaction activities in the foreign exchange market for every week during the period of June 2007 to December 2010. A scaling relationship between the mean values of number of quotations (or number of…
Filter stability is a classical problem in the study of partially observed Markov processes (POMP), also known as hidden Markov models (HMM). For a POMP, an incorrectly initialized non-linear filter is said to be (asymptotically) stable if…
We study the ultra slow roll model in the context of stochastic inflation. Using stochastic $\delta N$ formalism, we calculate the mean number of $e$-folds, the power spectrum, the bispectrum and the stochastic corrections into these…
The Kramers-Moyal analysis is a well established approach to analyze stochastic time series from complex systems. If the sampling interval of a measured time series is too low, systematic errors occur in the analysis results. These errors…
We present a set of models of the main stylized facts of market price fluctuations. These models comprise dynamical evolution with threshold dynamics and Langevin price equation with multiplicative noise, percolation models to describe the…
Stochastic Structural Stability Theory (SSST) provides an autonomous, deterministic, nonlinear dynamical system for evolving the statistical mean state of a turbulent system. In this work SSST is applied to the problem of understanding the…
Modern economic systems face unprecedented socioeconomic challenges, making systemic resilience and effective liquidity flow management essential. Traditional models such as CAPM, VaR, and GARCH often fail to reflect real market…
We investigate the dynamics close to a homogeneous stationary state of Vlasov equation in one dimension, in presence of a small dissipation modeled by a Fokker-Planck operator. When the stationary state is stable, we show the stochastic…
In todays global economy, accuracy in predicting macro-economic parameters such as the foreign the exchange rate or at least estimating the trend correctly is of key importance for any future investment. In recent times, the use of…
The concept of statistical stability is central to Malkus's 1956 attempt to predict the mean profile in shear flow turbulence. Here we discuss how his original attempt to assess this - an Orr-Sommerfeld analysis on the mean profile - can be…
Machine Learning models in finance are highly susceptible to model drift, where predictive performance declines as data distributions shift. This issue is especially acute in developing economies such as those in Central Asia and the…
This article examines how emerging economies use countercyclical monetary policies to manage economic crises and fluctuations in dominant currencies, such as the US dollar and the euro. Global economic cycles are marked by phases of…
In this paper, we analyze the dynamics of spreading processes taking place over time-varying networks. A common approach to model time-varying networks is via Markovian random graph processes. This modeling approach presents the following…
We propose Monte Carlo calibration algorithms for three models: local volatility with stochastic interest rates, stochastic local volatility with deterministic interest rates, and finally stochastic local volatility with stochastic interest…
We consider a system of globally coupled rotors, described by a set of Langevin equations, and examine stability of the incoherent phase. The corresponding Fokker-Planck equation, providing a unified description of microcanonical and…
A notion of stochastic deformation is introduced and the corresponding algebraic deformation procedure is developed. This procedure is analogous to the deformation of an algebra of observables like deformation quantization, but for an…
A method is developed to estimate the properties of a global hydrodynamic instability in turbulent flows from measurement data of the limit-cycle oscillations. For this purpose, the flow dynamics are separated in deterministic contributions…