Related papers: Uncertainty relations in models of market microstr…
We propose a systematic way to investigate the low-temperature thermodynamic properties of quantum spin systems subject to the restriction that only a finite number of bosons may occupy a single lattice site. Such a kinematical interaction…
The high temperature limit of interacting spins is usually not associated with ordering or critical phenomena. Nevertheless, spontaneous fluctuations of a local spin polarization at equilibrium have nontrivial dynamics even in this limit.…
This paper develops a comprehensive theoretical framework that imports concepts from stochastic thermodynamics to model price impact and characterize the feasibility of round-trip arbitrage in financial markets. A trading cycle is treated…
Due to the penetration of renewable energy resources and load deviation, uncertainty handling is one of the main challenges for power system; therefore the need for accurate decision-making in a power system under the penetration of…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a…
Some problems in the theory and applications of stochastic processes can be reduced to solving integral equations. While explicit solutions for these equations are often elusive, valuable insights can be gained through their asymptotic…
We consider an interacting system of one-dimensional structures modelling fibers with fiber-fiber interaction in a fiber lay-down process. The resulting microscopic system is investigated by looking at different asymptotic limits of the…
The interplay of electronic interactions and frustration in crystalline systems leads to a panoply of correlated phases, including exotic Mott insulators with non-trivial patterns of entanglement. Disorder introduces additional quantum…
The style of mathematical models known to probabilists as Interacting Particle Systems and exemplified by the Voter, Exclusion and Contact processes have found use in many academic disciplines. In many such disciplines the underlying…
We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large time scales (15 minutes) large price fluctuations are…
We propose an experiment to probe ferromagnetic phenomena in an ultracold Fermi gas, while alleviating the sensitivity to three-body loss and competing many-body instabilities. The system is initialized in a small pitch spin spiral, which…
The new integrable quantum spin model is proposed. The model has a biaxial magnetic anisotropy of alternating coupling between spins together with multiple spin interactions. Our model gives the possibility to exactly find thermodynamic…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
We have considered the two-spin interaction spherical spin-glass model with asymmetric bonds (coupling constants). Besides the usual interactions between spins and bonds and between the spins and a thermostat with temperature $T_{\sigma}$…
Ultracold atomic Fermi gases can be tuned to interact strongly, where they display spectroscopic signatures above the superfluid transition reminiscent of the pseudogap in cuprates. However, the extent of the analogy can be questioned,…
This article deals with the issues of global-in-time existence and asymptotic analysis of a fluid-particle interaction model in the so-called bubbling regime. The mixture occupies the physical space $\Omega \subset \mathbb{R}^3$ which may…
Accurately simulating coupled physical processes under uncertainty is essential for reliable modeling and design in performance-critical applications such as combustion systems. Ablative heat shield design, as a specific example of this…
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…
We start with the idea that open quantum systems can be used to represent financial markets by modelling events from the external environment and their impact on the market price. We show how to characterize distinct orbits of the time…