相关论文: Financial LPPL Bubbles with Mean-Reverting Noise i…

A simple quantum model explains the Levy-unstable distributions for individual stock returns observed by ref.[1]. The probability density function of the returns is written as the squared modulus of an amplitude. For short time intervals…

A growing class of ultrasound-mediated diagnostic and therapeutic technologies, including sonoporation and blood-brain barrier modulation, relies on microbubble contrast agents, where precise control of microbubble dynamics governs…

In this paper we employ deep learning techniques to detect financial asset bubbles by using observed call option prices. The proposed algorithm is widely applicable and model-independent. We test the accuracy of our methodology in numerical…

This paper presents a systematic numerical study of the effects of noise on the invariant probability densities of dynamical systems with varying degrees of hyperbolicity. It is found that the rate of convergence of invariant densities in…

Nonlinear diffusion is studied in the presence of multiplicative noise. The nonlinearity can be viewed as a ``wall'' limiting the motion of the diffusing field. A dynamic phase transition occurs when the system ``unbinds'' from the wall.…

The next generation of cosmological observations will be sensitive to small deviations from a pure power law in the primordial power spectrum of the curvature perturbations. In the context of slow-roll inflation, these deviations are…

Understanding the micro-dynamics of asset prices in modern electronic order books is crucial for investors and regulators. In this paper, we use an order by order Eurostoxx database spanning over 3 years to analyze the joint dynamics of…

We derive the power spectrum $\mathcal P(k)$ of the density perturbations produced during inflation up to second-order corrections in the standard slow-roll approximation for an inflaton with more than one degree of freedom. We also present…

The Loschmidt Echo M(t) (defined as the squared overlap of wave packets evolving with two slightly different Hamiltonians) is a measure of quantum reversibility. We investigate its behavior for classically quasi-integrable systems. A…

This paper aims to provide a simple modelling of speculative bubbles and derive some quantitative properties of its dynamical evolution. Starting from a description of individual speculative behaviours, we build and study a second order…

Understanding the interference scenario in power lines network is a key step to characterize the power line communication (PLC) system. This paper focuses on the characterization and modelling of the stationary noise in Narrowband PLC.…

We address the problem of long-range memory in the financial markets. There are two conceptually different ways to reproduce power-law decay of auto-correlation function: using fractional Brownian motion as well as non-linear stochastic…

We study two problems. First, we consider the large deviation behavior of empirical measures of certain diffusion processes as, simultaneously, the time horizon becomes large and noise becomes vanishingly small. The law of large numbers…

This paper designs a model predictive control (MPC) law for constrained linear systems with stochastic additive disturbances and noisy measurements, minimising a discounted cost subject to a discounted expectation constraint. It is assumed…

The class of Lq-regularized least squares (LQLS) are considered for estimating a p-dimensional vector \b{eta} from its n noisy linear observations y = X\b{eta}+w. The performance of these schemes are studied under the high-dimensional…

We propose a general inverse formula for extracting inflationary parameters from the observed power spectrum of cosmological perturbations. Under the general slow-roll scheme, which helps to probe the properties of inflation in a model…

Large-scale variational quantum algorithms are widely recognized as a potential pathway to achieve practical quantum advantages. However, the presence of quantum noise might suppress and undermine these advantages, which blurs the…

This article addresses the problem of approximating the price of options on discrete and continuous arithmetic average of the underlying, i.e. discretely and continuously monitored Asian options, in local volatility models. A…

Financial time series typically exhibit strong fluctuations that cannot be described by a Gaussian distribution. In recent empirical studies of stock market indices it was examined whether the distribution P(r) of returns r(tau) after some…

In this work we explore the possibility of variations in the primordial scalar power spectrum around the power-law shape, as predicted by single-field slow-roll inflationary scenarios. We search for the trace of these fluctuations in a…