Related papers: The Three-Dimensional Decomposition of Volatility …
A statistical model of loops on the three-dimensional lattice is proposed and is investigated. It is O(n)-type but has loop fugacity that depends on global three-dimensional shapes of loops in a particular fashion. It is shown that, despite…
We investigate the statistical properties, based on numerical simulations and analytical calculations, of a recently proposed stochastic model for the velocity field of an incompressible, homogeneous, isotropic and fully developed turbulent…
We investigate the three-dimensional stability of a stably stratified fluid in a valley-shaped cavity heated from below using linear stability analysis and direct numerical simulations. We first describe the pure-conduction flow state and…
Financial markets exhibit temporal organization that is not fully captured by volatility measures or linear correlation structure. We study a null validated topological approach for quantifying market complexity and apply it to Bitcoin…
The HGARCH model allows long-memory impact in volatilities. A new HGARCH model with time-varying amplitude is considered in this paper. We show the stability of the model as well. A score test is introduced to check the time-varying…
We present a systematic analysis of statistical properties of turbulent current and vorticity structures at a given time using cluster analysis. The data stems from numerical simulations of decaying three-dimensional (3D)…
This article deals with dynamical systems depending on a slowly varying parameter. We present several physical examples illustrating memory effects, such as metastability and hysteresis, which frequently appear in these systems. A…
We propose a structural vector autoregressive model with a new and flexible specification of the volatility process which we call Sparse Heterogeneous Markov-Switching Heteroskedasticity. In this model, the conditional variance of each…
In this article, we investigate the stabilizability of the two- and three-dimensional Navier-Stokes equations with memory effects around a non-constant steady state using a localized interior control. The system is first linearized around a…
In this paper, we establish sample path large and moderate deviation principles for log-price processes in Gaussian stochastic volatility models, and study the asymptotic behavior of exit probabilities, call pricing functions, and the…
We study a recent generalization proposed for the XY model in two and three dimensions. Using both, the continuum limit and discrete lattice, we obtained the vortex configuration and shown that out-of-plane vortex solutions are deeply…
Rigidity plays an important role on the relaxation properties of glass forming melts, yet it is usually determined from the average co-ordination number through the chemical composition. A discussion is presented on how viscoelasticity can…
We study the volatility time series of 1137 most traded stocks in the US stock markets for the two-year period 2001-02 and analyze their return intervals $\tau$, which are time intervals between volatilities above a given threshold $q$. We…
Dynamic Mode Decomposition (DMD) is a data-driven technique to identify a low dimensional linear time invariant dynamics underlying high-dimensional data. For systems in which such underlying low-dimensional dynamics is time-varying, a…
Many existing shrinkage approaches for time-varying parameter (TVP) models assume constant innovation variances across time points, inducing sparsity by shrinking these variances toward zero. However, this assumption falls short when states…
We analyze interactions between turbulent airfoil wake and an extremely strong gust using a data-driven framework with time-dependent bases. The current approach represents each snapshot with time-varying bases consisting of two-dimensional…
We consider a stochastic model which describes the motion of a 2D incompressible fluid in a unbounded domain with viscosity and memory effects. This model is different from the classical stochastic Navier-Stokes-Voigt equations due to the…
The local statistical and geometric structure of three-dimensional turbulent flow can be described by properties of the velocity gradient tensor. A stochastic model is developed for the Lagrangian time evolution of this tensor, in which the…
In this paper, we propose a new dynamical model to study the two-stage volatility evolution of stock market index after extreme events, and find that the volatility after extreme events follows a stretched exponential decay in the initial…
We find three distinct phases; a tubular phase, a planar phase, and the spherical phase, in a triangulated fluid surface model. It is also found that these phases are separated by discontinuous transitions. The fluid surface model is…