Related papers: Dynamical Stochastic Processes of Returns in Finan…
Several problems arising in Economics and Finance are analyzed using concepts and quantitative methods from Physics. Here is the abridged abstact: Chapter 1: By analogy with energy, the equilibrium probability distribution of money must…
Standard quantitative models of the stock market predict a log-normal distribution for stock returns (Bachelier 1900, Osborne 1959), but it is recognised (Fama 1965) that empirical data, in comparison with a Gaussian, exhibit leptokurtosis…
We address the well-posedness of subelliptic Fokker-Planck equations arising from stochastic control problems, as well as the properties of the associated diffusion processes. Here, the main difficulty arises from the possible polynomial…
We present a framework, which, from the trajectories detailing the spatiotemporal dynamics of a population, simultaneously reconstructs a transport map as well as the Fokker-Planck equation governing the coarse-grained probability…
Complex Langevin dynamics can solve the sign problem appearing in numerical simulations of theories with a complex action. In order to justify the procedure, it is important to understand the properties of the real and positive…
In this paper we analyze fractional Fokker-Planck equation describing subdiffusion in the general infinitely divisible (ID) setting. We show that in the case of space-time-dependent drift and diffusion and time-dependent jump coefficient,…
A stochastic analysis of financial data is presented. In particular we investigate how the statistics of log returns change with different time delays $\tau$. The scale dependent behaviour of financial data can be divided into two regions.…
Several classes of physical systems exhibit ultraslow diffusion for which the mean squared displacement at long times grows as a power of the logarithm of time ("strong anomaly") and share the interesting property that the probability…
We consider here a Fokker--Planck equation with variable coefficient of diffusion which appears in the modeling of the wealth distribution in a multi-agent society. At difference with previous studies, to describe a society in which agents…
Stochastic uncertainties in complex dynamical systems lead to variability of system states, which can in turn degrade the closed-loop performance. This paper presents a stochastic model predictive control approach for a class of nonlinear…
The Fokker--Planck equation describes the evolution of a probability distribution towards equilibrium--the flow parameter is the equilibration time. Assuming the distribution remains normalizable for all times, it is equivalent to an open…
We demonstrate the equivalence of a Non--Markovian evolution equation with a linear memory--coupling and a Fokker--Planck equation (FPE). In case the feedback term offers a direct and permanent coupling of the current probability density to…
In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many well-known aspects, such as the L\'evy scaling form, follow as particular cases of the theory. The theory fully takes into…
Identification of nonlinear dynamical systems is crucial across various fields, facilitating tasks such as control, prediction, optimization, and fault detection. Many applications require methods capable of handling complex systems while…
We study the continuous time portfolio optimization model on the market where the mean returns of individual securities or asset categories are linearly dependent on underlying economic factors. We introduce the functional $Q_\gamma$…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
A general method is proposed which allows one to estimate drift and diffusion coefficients of a stochastic process governed by a Langevin equation. It extends a previously devised approach [R. Friedrich et al., Physics Letters A 271, 217…
We have derived a fractional Fokker-Planck equation for subdiffusion in a general space-and- time-dependent force field from power law waiting time continuous time random walks biased by Boltzmann weights. The governing equation is derived…
We propose a model based on coupled multiplicative stochastic processes to understand the dynamics of competing species in an ecosystem. This process can be conveniently described by a Fokker-Planck equation. We provide an analytical…
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with…