Related papers: Foreign exchange market fluctuations as random wal…
The estimation of mutation probabilities and relative fitnesses in fluctuation analysis is based on the unrealistic hypothesis that the single-cell times to division are exponentially distributed. Using the classical Luria-Delbr\"{u}ck…
We consider a market where many agents trade many different types of products with each other. We model development of collective modes in this market, and quantify these by fluctuations that scale with time with a Hurst exponent of about…
In this article we obtain the equilibrium fluctuations of a symmetric exclusion process in $\mathbb{Z}$ with long jumps. The transition probability of the jump from $x$ to $y$ is proportional to $|x-y|^{-\gamma-1}$. Here we restrict to the…
We study analytically the distribution of fluctuations of the quantities whose average yield the usual two-point correlation and linear response functions in three unfrustrated models: the random walk, the $d$ dimensional scalar field and…
The methodology based on the random walk processes is adapted and applied to a comprehensive analysis of the statistical properties of the probability fluxes. To this aim we define a simple model of the Markovian stochastic dynamics on a…
We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…
For the purpose of elucidating the correlation among currencies, we analyze daily and high-resolution data of foreign exchange rates. There is strong correlation for pairs of currencies of geographically near countries. We show that there…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
We study the probability distribution and the escape rate in systems with delayed dissipation that comes from the coupling to a thermal bath. To logarithmic accuracy in the fluctuation intensity, the problem is reduced to a variational…
Accurate modeling of the temporal evolution of asset prices is crucial for understanding financial markets. We explore the potential of discrete-time quantum walks to model the evolution of asset prices. Return distributions obtained from a…
A connection is made between the random turns model of vicious walkers and random permutations indexed by their increasing subsequences. Consequently the scaled distribution of the maximum displacements in a particular asymmeteric version…
A deterministic walk in a random environment can be understood as a general random process with finite-range dependence that starts repeating a loop once it reaches a site it has visited before. Such process lacks the Markov property. We…
We analyse large deviations of time-averaged quantities in stochastic processes with long-range memory, where the dynamics at time t depends itself on the value q_t of the time-averaged quantity. First we consider the elephant random walk…
While the investors' responses to price changes and their price forecasts are well accepted major factors contributing to large price fluctuations in financial markets, our study shows that investors' heterogeneous and dynamic risk aversion…
Temporal fluctuations in the Hadamard walk on circles are studied. A temporal standard deviation of probability that a quantum random walker is positive at a given site is introduced to manifest striking differences between quantum and…
We consider a discrete-time random walk where the random increment at time step $t$ depends on the full history of the process. We calculate exactly the mean and variance of the position and discuss its dependence on the initial condition…
We propose an artificial market model based on deterministic agents. The agents modify their ask/bid price depending on past price changes. The temporal development of market price fluctuations is calculated numerically. A probability…
We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. By means of techniques borrowed from statistical physics we show that the correlation among bonds depends strongly on the maturity and…
Quantum walks subject to decoherence generically suffer the loss of their genuine quantum feature, a quadratically faster spreading compared to classical random walks. This intuitive statement has been verified analytically for certain…
We investigate the fluctuation of the top location of a sandpile numerically using the two-dimensional discrete elements method. We feed particles to a sandpile at a fixed time interval and calculate power spectra from the time series of…