Related papers: Modelling High-frequency Economic Time Series
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
We compute profile likelihoods for a stochastic model of diffusive transport motivated by experimental observations of heat conduction in layered skin tissues. This process is modelled as a random walk in a layered one-dimensional material,…
We propose a generalized Langevin formalism to describe transport in combs and similar ramified structures. Our approach consists of a Langevin equation without drift for the motion along the backbone. The motion along the secondary…
The formula for probability density functions (PDFs) has been extended to include PDF for energy dissipation rates in addition to other PDFs such as for velocity fluctuations, velocity derivatives, fluid particle accelerations, energy…
The inherent complexity of biological agents often leads to motility behavior that appears to have random components. Robust stochastic inference methods are therefore required to understand and predict the motion patterns from time…
We introduce an innovative framework that leverages advanced big data techniques to analyze dynamic co-movement between stocks and their underlying fundamentals using high-frequency stock market data. Our method identifies leading…
The Hessian method is widely applied in the global analysis of parton distribution functions (PDFs), which uses a set of orthogonal eigenvectors to give predictions of a physical observable. Its uncertainty is estimated based on the…
A Langevin process diffusing in a periodic potential landscape has a time dependent diffusion constant which means that its average mean squared displacement (MSD) only becomes linear at late times. The long time, or effective diffusion…
During the last decade Levy processes with jumps have received increasing popularity for modelling market behaviour for both derviative pricing and risk management purposes. Chan et al. (2009) introduced the use of empirical likelihood…
The effects of a "diffusing diffusivity" (DD), a stochastically time-varying diffusion coefficient, are explored within the frameworks of three different forms of fractional Brownian motion (FBM): (i) the Langevin equation driven by…
In this paper we present a general mathematical construction that allows us to define a parametric class of $H$-sssi stochastic processes (self-similar with stationary increments), which have marginal probability density function that…
The internal dynamics of macro-molecular systems is characterized by widely separated time scales, ranging from fraction of ps to ns. In ordinary molecular dynamics simulations, the elementary time step dt used to integrate the equation of…
We investigate the properties of hysteresis cycles produced by a one-dimensional, periodically forced Langevin equation. We show that depending on amplitude and frequency of the forcing and on noise intensity, there are three qualitatively…
We study the relaxation of the local ferromagnetic order in the transverse field quantum Ising chain with power-law decaying interactions $1/r^{\alpha}$. We prepare the system in the GHZ state and study the time evolution of the probability…
The fractional Brownian motion can be considered as a Gaussian field indexed by $(t,H)\in {\mathbb{R}_{+}\times (0,1)}$, where $H$ is the Hurst parameter. On compact time intervals, it is known to be almost surely jointly H\"older…
In complex systems such as turbulent flows and financial markets, the dynamics in long and short time-lags, signaled by Gaussian and fat-tailed statistics, respectively, calls for a unified description. To address this issue we analyze a…
Theories with a sign problem due to a complex action or Boltzmann weight can sometimes be numerically solved using a stochastic process in the complexified configuration space. However, the probability distribution effectively sampled by…
Intermittency in fluid turbulence can be emphasized through the analysis of Probability Distribution Functions (PDF) for velocity fluctuations, which display a strong non-gaussian behavior at small scales. Castaing et al. (1990) have…
In this study we derive a single-particle equation of motion, from first-principles, starting out with a microscopic description of a tracer particle in a one-dimensional many-particle system with a general two-body interaction potential.…
A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to…