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We study a system of coupled pendula with diffusive interactions, which could depend both on positions and on momenta. The coupling structure is defined by an undirected network, while the dynamic equations are derived from a Hamiltonian;…
Langevin dynamics has become a popular tool to simulate the Boltzmann equilibrium distribution. When the repartition of the Langevin equation involves the exact realization of the Ornstein-Uhlenbeck noise, in addition to the conventional…
Macroscopic price evolution models are commonly used for investment strategies. There are first promising achievements in defining microscopic agent based models for the same purpose. Microscopic models allow a deeper understanding of…
In a money exchange process involving a seller and a buyer, we develop a straightforward model encompassing conservative, non-conservative, and systems with or without debt. Our model integrates the Fermi function to capture the behavior of…
Involving effects of media, opinion leader and other agents on the opinion of individuals of market society, a trader based model is developed and utilized to simulate price via supply and demand. Pronounced effects are considered with…
We focus on the intermittent bistable stall dynamics of an airfoil under varying angle of attack. We propose a one-dimensional Langevin equation where the stochastic forcing depends on the state of the system -- high-lift attached flow or…
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling…
We propose and document the evidence for an analogy between the dynamics of granular counter-flows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensive simulations, we find that the…
We investigate the self-assembly (crystallisation) of particles with hard cores and isotropic, square-well interactions, using a Monte Carlo scheme to simulate overdamped Langevin dynamics. We measure correlation and response functions…
Hybrid inflation is a two field model where inflation ends due to an instability. In the neighborhood of the instability point, the potential is very flat and the quantum fluctuations dominate over the classical motion of the inflaton and…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
We study the dynamics of the contact-process, one of the simplest nonequilibrium stochastic processes, taking place on a scale-free network. We consider the network topology as annealed, i.e. all links are rewired at each microscopic time…
This thesis is dedictaed to the study of fluctuation and correlation observables of hadronic equilibrium systems. The statistical hadronization model of high energy physics, in its ideal, i.e. non-interacting, gas approximation will be…
Financial markets across all asset classes are known to exhibit trends. These trends have been exploited by traders for decades. Here, we empirically measure when trends revert, based on 30 years of daily futures prices for equity indices,…
We report empirical evidences on the existence of a conditional dynamics driving the evolution of financial assets which is found in several markets around the world and for different historical periods. In particular, we have analyzed the…
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.…
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing parallels between orders in the limit order book and…
The usual Langevin approach to describe systems driven by noise fails to describe the long time behavior of systems with multiple attractors. The solution of the associated linear Fokker-Planck equation is always unique, even though it…
We model non-stationary volume-price distributions with a log-normal distribution and collect the time series of its two parameters. The time series of the two parameters are shown to be stationary and Markov-like and consequently can be…
Nonequilibrium complex systems are often effectively described by the mixture of different dynamics on different time scales. Superstatistics, which is "statistics of statistics" with two largely separated time scales, offers a consistent…