Related papers: Multiplicative point process as a model of trading…
[Takayasu et al., Phys. Rev.Lett. 79, 966 (1997)] revisited the question of stochastic processes with multiplicative noise, which have been studied in several different contexts over the past decades. We focus on the regime, found for a…
In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multiscaling. We…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
We address this work to investigate some statistical properties of symbolic sequences generated by a numerical procedure in which the symbols are repeated following a power law probability density. In this analysis, we consider that the sum…
A well-known stochastic model for intermittent fluctuations in physical systems is investigated. The model is given by a super-position of uncorrelated exponential pulses, and the degree of pulse overlap is interpreted as an intermittency…
An interesting analog circuit for simulating a signal with fluctuations having a probability density function with a power tail has recently been proposed and constructed. The exponent of the power law can be fixed by tuning an appropriate…
We provide evidence that for some values of the parameters a simple agent based model, describing herding behavior, yields signals with 1/f power spectral density. We derive a non-linear stochastic differential equation for the ratio of…
The paper discusses multivariate self- and cross-exciting processes. We define a class of multivariate point processes via their corresponding stochastic intensity processes that are driven by stochastic jumps. Essentially, there is a jump…
In the Cont-Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations. Rather than fixing the concentration controlling each…
We propose a new statistical model that can reproduce the hierarchical nature of the ubiquitous filamentary structures of molecular clouds. This model is based on the multiplicative random cascade, which is designed to replicate the…
In this report, a systematic analysis of hourly wind speed data obtained from three potential wind generation sites (in North Dakota) is analyzed. The power spectra of the data exhibited a power-law decay characteristic of $1/f^{\alpha}$…
The dynamics of a complex system is usually recorded in the form of time series, which can be studied through its visibility graph from a complex network perspective. We investigate the visibility graphs extracted from fractional Brownian…
We study the activation process in large assemblies of type II excitable units whose dynamics is influenced by two independent noise terms. The mean-field approach is applied to explicitly demonstrate that the assembly of excitable units…
The effect of stochasticity, in the form of Gaussian white noise, in a predator-prey model with two distinct time-scales is presented. A supercritical singular Hopf bifurcation yields a Type II excitability in the deterministic model. We…
This work focuses on a self-exciting point process defined by a Hawkes-like intensity and a switching mechanism based on a hidden Markov chain. Previous works in such a setting assume constant intensities between consecutive events. We…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
This article develops a fundamental insight into the behavior of neuronal membranes, focusing on their responses to stimuli measured with power spectra in the frequency domain. It explores the use of linear and nonlinear (quadratic…
Stronger light intensity fluctuations are pursued by related applications such as optical resolution, image enhancement, and beam positioning. In this paper, an Nth-order light intensity fluctuation amplifier is proposed, which was…
When light travels through strongly scattering media with optical gain, the synergy between diffusive transport and stimulated emission can lead to lasing action. Below the threshold pump power, the emission spectrum is smooth and…
We propose and test a method to interpolate sparsely sampled signals by a stochastic process with a broad range of spatial and/or temporal scales. To this end, we extend the notion of a fractional Brownian bridge, defined as fractional…