相关论文: Are all highly liquid securities within the same c…
We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock…
We have observed reproducible fluctuations of the Coulomb drag, both as a function of magnetic field and electron concentration, which are a manifestation of quantum interference of electrons in the layers. At low temperatures the…
We analyze the probabilities of large infrequent fluctuations in systems driven by external fields. In a broad range of the field magnitudes, the logarithm of the fluctuation probability is linear in the field magnitude, and the response…
Fluctuation relations establish rigorous identities for the nonequilibrium averages of observables. Starting from a general transport master equation with time-dependent rates, we employ the stochastic path integral approach to study…
Investigations of strain correlations at the glass transition reveal unexpected phenomena. The shear strain fluctuations show an Eshelby-strain pattern ($\,\sim \cos{(4\theta)}/r^2\,$), characteristic for elastic response, even in liquids…
This dissertation investigates the ability of the Ising model to replicate statistical characteristics, or stylized facts, commonly observed in financial assets. The study specifically examines in the S&P500 index the following features:…
We study coarse-grained density fluctuations in the disordered phase of the paradigmatic Vicsek-like models of self-propelled particles with alignment interactions and random self-propulsion velocities. By numerically integrating a…
We consider viscous two-dimensional steady flows of incompressible fluids past doubly periodic arrays of solid obstacles. In a class of such flows, the autocorrelations for the Lagrangian observables decay in accordance with the power law,…
By monitoring the quality factor of a quartz tuning fork oscillator we have observed a fluctuation-driven reduction in the viscosity of bulk $^3$He in the normal state near the superfluid transition temperature, $T_c$. These fluctuations,…
This paper poses a few fundamental questions regarding the attributes of the volume profile of a Limit Order Books stochastic structure by taking into consideration aspects of intraday and interday statistical features, the impact of…
We study the distribution and various properties of exponential functionals of hypergeometric Levy processes. We derive an explicit formula for the Mellin transform of the exponential functional and give both convergent and asymptotic…
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using…
Atmospheric flows exhibit fluctuations of all scales (space -time) ranging from turbulence (millimeters-seconds) to climate (thousands of kilometers-years). The apparently random fluctuations however exhibit long-range spatio-temporal…
We study the martingale property and moment explosions of a signature volatility model, where the volatility process of the log-price is given by a linear form of the signature of a time-extended Brownian motion. Excluding trivial cases, we…
In this Letter, we consider a neutral system of mobile positive and negative charges confined on the surface of curved films. This may be an appropriate model for: i) a highly charged membrane whose counterions are confined to a sheath near…
We incorporate the effects of fluctuations in a density functional analysis of the freezing of a colloidal liquid in the presence of an external potential generated by interfering laser beams. A mean field treatment, using a density…
Usually, in the Black-Scholes pricing theory the volatility is a positive real parameter. Here we explore what happens if it is allowed to be a complex number. The function for pricing a European option with a complex volatility has…
We propose a class of stochastic models for a dynamics of limit order book with different type of liquidities. Within this class of models we study the one where a spread decreases uniformly, belonging to the class of processes known as a…
A scalar model of wet active matter in the presence of an imposed temperature gradient, or chemical potential gradient, is considered. It is shown that there is a convective instability driven by a (negative) activity parameter. In this…
We investigate hydrodynamic fluctuations in a 2D granular fluid excited by a vibrating base and in the presence of gravity, focusing on the transverse velocity modes. Since the system is inhomogeneous, we measure fluctuations in horizontal…