Related papers: A process-reconstruction analysis of market fluctu…
A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
The fluctuations in the particle size distribution for processes of fragmentation and aggregation are studied for stationary state regimes. The system is described in terms of a stochastic process over an adequate tree structure. The RMS…
Concerning Numerical Stochastic Perturbation Theory, we discuss the convergence of the stochastic process (idea of the proof, features of the limit distribution, rate of convergence to equilibrium). Then we also discuss the expected…
The fluctuations in nonequilibrium systems are under intense theoretical and experimental investigation. Topical ``fluctuation relations'' describe symmetries of the statistical properties of certain observables, in a variety of models and…
Fluctuations in the return time statistics of a dynamical system can be described by a new spectrum of dimensions. Comparison with the usual multifractal analysis of measures is presented, and difference between the two corresponding sets…
We consider stochastic thermodynamics as a theory of statistical inference for experimentally observed fluctuating time-series. To that end, we introduce a general framework for quantifying the knowledge about the dynamical state of the…
We introduce a framework to identify Fluctuation Relations for vector-valued observables in physical systems evolving through a stochastic dynamics. These relations arise from the particular structure of a suitable entropic functional and…
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…
Supply chain optimization schemes have more often than not underplayed the role of inherent stochastic fluctuations in the associated variables. The present article focuses on the associated reengagement and correlated renormalization of…
We explore a new framework for describing the kinetics of a heterogeneous chemical reaction where two particles of the same chemical species form a reaction product of another chemical species on the surface of a seed particle. Traditional…
We consider a class of graph-valued stochastic processes in which each vertex has a type that fluctuates randomly over time. Collectively, the paths of the vertex types up to a given time determine the probabilities that the edges are…
After collecting data from observations or experiments, the next step is to build an appropriate mathematical or stochastic model to describe the data so that further studies can be done with the help of the models. In this article, the…
Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior…
Employing a recent technique which allows the representation of nonstationary data by means of a juxtaposition of locally stationary patches of different length, we introduce a comprehensive analysis of the key observables in a financial…
Understanding the fluctuations by which phenomenological evolution equations with thermodynamic structure can be enhanced is the key to a general framework of nonequilibrium statistical mechanics. These fluctuations provide an idealized…
Fluctuations of observables as functions of time, or "fluctuation patterns", are studied in a chaotic microscopically reversible system that has irreversibly reached a nonequilibrium stationary state. Supposing that during a certain, long…
An approach for the description of stochastic systems is derived. Some of the variables in the system are studied forward in time, others backward in time. The approach is based on a perturbation expansion in the strength of the coupling…
We propose a simple stochastic model of market behavior. Dividing market participants into two groups: trend-followers and fundamentalists, we derive the general form of a stochastic equation of market dynamics. The model has two…
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…