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Recently Mayer et al. [Phys. Rev. E {\bf 68}, 016116 (2003)] proposed a new way to compute numerically the fluctuation-dissipation ratios in nonequilibrium critical systems. Using well-known facts of nonequilibrium critical dynamics I show…
Transitions between different inflationary slow-roll scenarios are known to provide short non-slow-roll periods with non-trivial consequences. We consider the effect of quantum diffusion on the inflationary dynamics in a transition process.…
The recent emergence of cryptocurrencies such as Bitcoin and Ethereum has posed possible alternatives to global payments as well as financial assets around the globe, making investors and financial regulators aware of the importance of…
The fluctuation-dissipation relation is calculated for a class of stochastic models obeying a master equation. The transition rates are assumed to obey detailed balance also in the presence of a field. It is shown that in general the linear…
Apparently random financial fluctuations often exhibit varying levels of complexity, chaos. Given limited data, predictability of such time series becomes hard to infer. While efficient methods of Lyapunov exponent computation are devised,…
We show that the moments of the distribution of historic stock returns are in excellent agreement with the Heston model and not with the multiplicative model, which predicts power-law tails of volatility and stock returns. We also show that…
We study an agent-based model of evolution of wealth distribution in a macro-economic system. The evolution is driven by multiplicative stochastic fluctuations governed by the law of proportionate growth and interactions between agents. We…
The volatility of financial instruments is rarely constant, and usually varies over time. This creates a phenomenon called volatility clustering, where large price movements on one day are followed by similarly large movements on successive…
In this paper we present an interacting-agent model of stock markets. We describe a stock market through an Ising-like model in order to formulate the tendency of traders getting to be influenced by the other traders' investment attitudes…
We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this…
We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by…
In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) tail behavior of probability density function associated with…
A non-fungible token (NFT) market is a new trading invention based on the blockchain technology which parallels the cryptocurrency market. In the present work we study capitalization, floor price, the number of transactions, the…
We suggest that the broad distribution of time scales in financial markets could be a crucial ingredient to reproduce realistic price dynamics in stylised Agent-Based Models. We propose a fractional reaction-diffusion model for the dynamics…
We focus on variational inference in dynamical systems where the discrete time transition function (or evolution rule) is modelled by a Gaussian process. The dominant approach so far has been to use a factorised posterior distribution,…
Fluctuation scaling is observed phenomenon from complex networks through finance to ecology. It means that the variance and the mean of a specific quantity are related as $\ev{\sigma^2|n}\propto \ev{n|A}^{2\alpha}$ with $1/2\geq \alpha \geq…
Financial markets show a number of non-stationarities, ranging from volatility fluctuations over ever changing technical and regulatory market conditions to seasonalities. On the other hand, financial markets show various stylized facts…
Stationary non-equilibrium states describe steady flows through macroscopic systems. Although they represent the simplest generalization of equilibrium states, they exhibit a variety of new phenomena. Within a statistical mechanics…
We derive the stationary distribution in various regimes of the extended Chiarella model of financial markets. This model is a stochastic nonlinear dynamical system that encompasses dynamical competition between a (saturating) trending and…
Rare long distance dispersal events are thought to have a disproportionate impact on the spread of invasive species. Modelling using integrodifference equations suggests that, when long distance contacts are represented by a fat-tailed…