Related papers: Modelling High-frequency Economic Time Series
Based on the minute-by-minute data of the Hang Seng Index in Hong Kong and the analysis of probability distribution and autocorrelations, we find that the index fluctuations for the first few minutes of daily opening show behaviors very…
We have studied numerically the statistical mechanics of the dynamic phenomena, including money circulation and economic mobility, in some transfer models. The models on which our investigations were performed are the basic model proposed…
We study a frequency-dependent damping model of hyper-diffusion within the generalized Langevin equation. The model allows for the colored noise defined by its spectral density, assumed to be proportional to $\omega^{\delta-1}$ at low…
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…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
An extension and generalization of a recently presented approach for the analysis of Langevin-type stochastic processes in the presence of strong measurement noise is presented. For a stochastic process in N dimensions which is superimposed…
We calculate the probability distribution function (PDF) of an overdamped Brownian particle moving in a periodic potential energy landscape $U(x)$. The PDF is found by solving the corresponding Smoluchowski diffusion equation. We derive the…
We report a first study of time-dependent Probability Density Functions (PDFs) in the Low-to- High confinement mode (L-H) transition by extending the previous prey-predator-type model (Kim & Diamond, Phys. Rev. Lett. 91, 185006, 2003) to a…
A statistical physics model for the time evolutions of stock portfolios is proposed. In this model the time series of price changes are coded into the sequences of up and down spins. The Hamiltonian of the system is introduced and is…
Employing the formalism introduced by Sinai and Yakhot [PRL, 63(18), p. 1962, 1989], we study the probability density functions (pdf's) of decaying passive scalars in periodic domains under the influence of smooth large scale velocity…
We study the Langevin dynamics of the standard random heteropolymer model by mapping the problem to a supersymmetric field theory using the Martin-Siggia-Rose formalism. The resulting model is solved non-perturbatively employing a Gaussian…
Pedestrian crowds encompass a complex interplay of intentional movements aimed at reaching specific destinations, fluctuations due to personal and interpersonal variability, and interactions with each other and the environment. Previous…
The ability to generate samples of the random effects from their conditional distributions is fundamental for inference in mixed effects models. Random walk Metropolis is widely used to conduct such sampling, but such a method can converge…
We study the long time asymptotics of probability density functions (pdfs) of L\'{e}vy flights in different confining potentials. For that we use two models: Langevin - driven and (L\'{e}vy - Schr\"odinger) semigroup - driven dynamics. It…
We propose a Bayesian hidden Markov model for analyzing time series and sequential data where a special structure of the transition probability matrix is embedded to model explicit-duration semi-Markovian dynamics. Our formulation allows…
We review some approaches to the understanding of fluctuations in some models used to describe socio and economic systems. Our approach builds on the development of a simple Langevin equation that characterises stochastic processes. This…
The phenomena of subdiffusion are widely observed in physical and biological systems. To investigate the effects of external potentials, say, harmonic potential, linear potential, and time dependent force, we study the subdiffusion…
Dynamic heterogeneity has often been modeled by assuming that a single-particle observable, fluctuating at a molecular scale, is influenced by its coupling to environmental variables fluctuating on a second, perhaps slower, time scale.…
The paper deals with the description of particle deposition on walls from a turbulent flow over a large range of particle diameter, using a Langevin PDF model. The first aim of the work is to test how the present Langevin model is able to…
The following question is addressed: under what conditions can a strange diffusive process, defined by a semi-dynamical V-Langevin equation or its associated Hybrid kinetic equation (HKE), be described by an equivalent purely stochastic…