Related papers: A process-reconstruction analysis of market fluctu…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
We present a stochastic volatility market model where volatility is correlated with return and is represented by an Ornstein-Uhlenbeck process. With this model we exactly measure the leverage effect and other stylized facts, such as mean…
In this article we look at stochastic processes with uncertain parameters, and consider different ways in which information is obtained when carrying out observations. For example we focus on the case of a the random evolution of a traded…
The path probability of a particle undergoing stochastic motion is studied by the use of functional technique, and the general formula is derived for the path probability distribution functional. The probability of finding paths inside a…
Stochastic processes that are randomly reset to an initial condition serve as a showcase to investigate non-equilibrium steady states. However, all existing results have been restricted to the special case of memoryless resetting protocols.…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
We consider linear hyperbolic balance law that describe gas flow. Stochastic influences are introduced by series of orthogonal functions. A deterministic stabilization concept, which makes deviations at steady states decay exponentially…
We study stochastic particle systems made up of heterogeneous units. We introduce a general framework suitable to analytically study this kind of systems and apply it to two particular models of interest in economy and epidemiology. We show…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
In this paper we continue the study of the simulated stock market framework defined by the driving sentiment processes. We focus on the market environment driven by the buy/sell trading sentiment process of the Markov chain type. We apply…
An approach is suggested for treating multiscale fluctuations in macromolecular systems. The emphasis is on the statistical properties of such fluctuations. The approach is illustrated by a macromolecular system with mesoscopic fluctuations…
We consider stochastic point processes generating time series exhibiting power laws of spectrum and distribution density (Phys. Rev. E 71, 051105 (2005)) and apply them for modeling the trading activity in the financial markets and for the…
The recent experimental progresses in handling microscopic systems have allowed to probe them at levels where fluctuations are prominent, calling for stochastic modeling in a large number of physical, chemical and biological phenomena. This…
Specific aspects of time series analysis are discussed. They are related to the analysis of atmospheric data that are pertinent to clouds. A brief introduction on some of the most interesting topics of current research on climate/weather…
Auto-regulatory feedback loops are one of the most common network motifs. A wide variety of stochastic models have been constructed to understand how the fluctuations in protein numbers in these loops are influenced by the kinetic…
A model of interacting random walkers is presented and shown to give rise to patterns consisting in periodic arrangements of fluctuating particle clusters. The model represents biological individuals that die or reproduce at rates depending…
We analyze the statistics of daily price change of stock market in the framework of a statistical physics model for the collective fluctuation of stock portfolio. In this model the time series of price changes are coded into the sequences…
The dynamical transition occurring in spin-glass models with one step of Replica-Symmetry-Breaking is a mean-field artifact that disappears in finite systems and/or in finite dimensions. The critical fluctuations that smooth the transition…
The process of fluctuations of trajectory observables of stochastic systems is related to processes with independent increments from the risk theory. The first-passage times of variables of the thermodynamics of trajectories, in particular,…
Systems with interacting degrees of freedom play a prominent role in stochastic thermodynamics. Our aim is to use the concept of detached path probabilities and detached entropy production for bipartite Markov processes and elaborate on a…