Related papers: Uncertainty relations in models of market microstr…
The thermodynamics of the lattice model of intercalation of ions in crystals is considered in the mean field approximation. Pseudospin formalism is used for the description of interaction of electrons with ions and the possibility of…
A simple spin model is studied, motivated by the dynamics of traders in a market where expectation bubbles and crashes occur. The dynamics is governed by interactions which are frustrated across different scales: While ferromagnetic…
The paper studies spin-orbit interaction (i.e. the effect the spin has on the particle's trajectory in a magnetic field) as a model of quantum computation. The two-level spin quantum system is examined using the stochastic mechanics…
We study the emergence of instabilities in a stylized model of a financial market, when different market actors calculate prices according to different (local) market measures. We derive typical properties for ensembles of large random…
Many seemingly intractable systems can be reduced to a system of interacting spins. Here, we introduce a system of artificial acoustic spins which are manipulated with ultrasound excitations associated with micro-cracking sources in thin…
We introduce a simple model for addressing the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuations of arbitrary magnitude. The model considers a…
Facilitated spin models on random graphs provide an ideal microscopic realization of the mode-coupling theory of supercooled liquids: they undergo a purely dynamic glass transition with no thermodynamic singularity. In this paper we study…
Based on the proposed earlier by the Author approach to macroscopic description of scalar interaction, this paper develops the macroscopic model of relativistic plasma with a fantom scalar interaction of elementary particles. In the given…
A spin model that displays inverse melting and inverse glass transition is presented and analyzed. Strong degeneracy of the interacting states of an individual spin leads to entropic preference of the "ferromagnetic" phase, while lower…
We present an interacting-agent model of speculative activity explaining bubbles and crashes in stock markets. We describe stock markets through an infinite-range Ising model to formulate the tendency of traders getting influenced by the…
A discrete quantum spin system is presented in which several modern methods of canonical quantum gravity can be tested with promising results. In particular, features of interacting dynamics are analyzed with an emphasis on homogeneous…
Non-equilibrium dynamics in an interacting Fe-C nanoparticle sample, exhibiting a low temperature spin glass like phase, has been studied by low frequency ac-susceptibility and magnetic relaxation experiments. The non-equilibrium behavior…
Prior to macroscopic yielding, most materials undergo a regime of plastic activity that cannot be resolved in conventional bulk deformation experiments. In this pre-yield, or micro-plastic regime, it is the initial three dimensional defect…
We study a general class of interacting particle systems over a countable state space $V$ where on each site $x \in V$ the particle mass $\eta(x) \geq 0$ follows a stochastic differential equation. We construct the corresponding Markovian…
We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a point process associated to the timestamps of the price jumps, and marks associated…
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…
We introduce a new method for online parameter estimation in stochastic interacting particle systems, based on continuous observation of a small number of particles from the system. Our method recursively updates the model parameters using…
By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused…
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…
In this article we use the Mean-Variance Model in order to measure the current market state. In our study we take the approach of detecting the overall alignment of portfolios in the spin picture. The projection to the ground-states enables…