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Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
Model uncertainties and simulation uncertainties occur in mathematical modeling of multiscale complex systems, since some mechanisms or scales are not represented (i.e., "unresolved") due to lack in our understanding of these mechanisms or…
A new expression as a certain asymptotic limit via "discrete micro-states" of permutations is provided to the mutual information of both continuous and discrete random variables.
Non Fungible Token (NFT) Industry has been witnessing multi-million dollar trade in recent times. With rapid innovation of the NFT market environment by technology, innovation, and decentralization, it is becoming hard to distinguish…
We study a class of one-dimensional interacting particle systems with random boundaries as a microscopic model for Stefan's melting and freezing problem. We prove that under diffusive rescaling these particle systems exhibit a hydrodynamic…
We revisit the concept of marginal stability in glasses, and determine its range of applicability in the context of avalanche-type response to slow external driving. We argue that there is an intimate connection between a pseudo-gap in the…
We investigate the entanglement between a spin and its environment in impurity systems which exhibit a second-order quantum phase transition. As an application, we employ the spin-boson model, describing a two-level system (spin) coupled to…
We describe a general technique that allows to induce and control strong interaction between spin states of neighboring atoms in an optical lattice. We show that the properties of spin exchange interactions, such as magnitude, sign, and…
Recent experimental results on the static or quasistatic response of granular materials have been interpreted to suggest the inapplicability of the traditional engineering approaches, which are based on elasto-plastic models (which are…
The purpose of this research article is to discover how the econophysics analysis can complement the econometrics models in application to the risk management in the central banks and financial institutions, operating within the nonlinear…
We have numerically investigated the mean-field dynamics of the the $p$-spin interaction spin glass model with p=3 using an efficient method of integrating the dynamic equations. We find a new time scale associated with the onset of the…
The emergence of a collective behavior in a many-body system is responsible of the quantum criticality separating different phases of matter. Interacting spin systems in a magnetic field offer a tantalizing opportunity to test different…
We analyze a non-Markovian mean field interacting spin system, related to the Curie--Weiss model. We relax the Markovianity assumption by replacing the memoryless distribution of the waiting times of a classical spin-flip dynamics with a…
We study the problem of learning unknown parameters in stochastic interacting particle systems with polynomial drift, interaction and diffusion functions from the path of one single particle in the system. Our estimator is obtained by…
In this paper, we propose the uncertain volatility models with stochastic bounds. Like the regular uncertain volatility models, we know only that the true model lies in a family of progressively measurable and bounded processes, but instead…
Facilitated or kinetically constrained spin models (KCSM) are a class of interacting particle systems reversible w.r.t. to a simple product measure. Each dynamical variable (spin) is re-sampled from its equilibrium distribution only if the…
Motivated by empirical observations on the interplay of trends and reversion, a lattice gas model of financial markets is presented. The shares of an asset are modeled by gas molecules that are distributed across a hidden social network of…
The extension of thermodynamic principles to active matter remains a challenge due to the non-equilibrium nature inherent to active systems. In this study, we introduce a framework to assess entropy in our minimal macroscopic experiment…
This paper constructs a new interacting particle system on a two--dimensional lattice with geometric jumps near a boundary which partially reflects the particles. The projection to each horizontal level is Markov, and on every level the…
In this talk I review some recent developments which shed light on the main connections between structural glasses and mean-field spin glass models with a discontinuous transition. I also discuss the role of quantum fluctuations on the…