相关论文: Are all highly liquid securities within the same c…
Non-linear current voltage characteristics of a disordered Luttinger liquid are calculated using a perturbative formalism. One finds non-universal power law characteristics of the form $I(V)\sim V^{1/(2\tilde{g}-1)}$ which is valid both in…
A Levy walk is a non-Markovian stochastic process in which the elementary steps of the walker consist of motion with constant speed in randomly chosen directions and for a random period of time. The time of flight is chosen from a…
The statistics of velocity fluctuations of turbulent Taylor-Couette flow are examined. The rotation rate of the inner and outer cylinder are varied while keeping the Taylor number fixed to $1.49 \times 10^{12}$…
We carry out Monte Carlo simulations of the uniformly frustrated 3d XY model as a model for vortex line fluctuations in a high Tc superconductor. A density of vortex lines of f=1/25 is considered. We find two sharp phase transitions. The…
This paper quantifies the effects of equity tail risk on the US government bond market. We estimate equity tail risk with option-implied stock market volatility that stems from large negative price jumps, and we assess its value in…
Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter…
We develop at-the-money call-price and implied volatility asymptotic expansions in time to maturity for a class of asset-price models whose log returns follow a L\'evy process. Under mild assumptions placing the driving L\'evy process in…
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation functions of absolute returns is actually…
We investigate how the local fluctuations of the signed traded volumes affect the dependence of demands between stocks. We analyze the empirical dependence of demands using copulas and show that they are well described by a bivariate…
We study a two-dimensional McKean-Vlasov stochastic differential equation, whose volatility coefficient depends on the conditional distribution of the second component with respect to the first component. We prove the strong existence and…
In financial markets, low prices are generally associated with high volatilities and vice-versa, this well known stylized fact usually being referred to as leverage effect. We propose a local volatility model, given by a stochastic…
We analyze the statistical properties of three-dimensional ($3d$) turbulence in a rotating fluid. To this end we introduce a generating functional to study the statistical properties of the velocity field $\bf v$. We obtain the master…
We model the logarithm of the price (log-price) of a financial asset as a random variable obtained by projecting an operator stable random vector with a scaling index matrix $\underline{\underline{E}}$ onto a non-random vector. The scaling…
Most of the empirical studies on stochastic volatility dynamics favor the 3/2 specification over the square-root (CIR) process in the Heston model. In the context of option pricing, the 3/2 stochastic volatility model is reported to be able…
We perform an analysis of preliminary data on strange particles yields and fluctuations within the Statistical hadronization model. We begin by describing the theoretical disagreements between different statistical models currently on the…
The logarithmic law for the mean velocity in turbulent boundary layers has long provided a valuable and robust reference for comparison with theories, models, and large-eddy simulations (LES) of wall-bounded turbulence. More recently,…
This article presents an empirical study of thirteen derivative markets for commodity and financial assets. It compares the statistical properties of futures contracts's daily returns at different maturities, from 1998 to 2010 and for…
The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. The possibility of extreme price movements increases the risk of trading in electricity markets. However, underlying the…
We study convexity and monotonicity properties for prices of bonds and bond options when the short rate is modeled by a diffusion process. We provide conditions under which convexity of the price in the short rate is guaranteed. Under these…
We study statistical properties of two-dimensional turbulent flows. Three systems are considered: the Navier-Stokes equation, surface quasi-geostrophic flow, and a model equation for thermal convection in the Earth's mantle. Direct…