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

The recurrence phenomena of an initially well localized wave packet are studied in periodically driven power-law potentials. For our general study we divide the potentials in two kinds, namely tightly binding and loosely binding potentials.…

Real-world (bio)chemical processes often exhibit stochastic dynamics with non-trivial correlations and state-dependent fluctuations. Model predictive control (MPC) often must consider these fluctuations to achieve reliable performance.…

When two synchronised phase oscillators are perturbed by weak noise, they display occasional losses of synchrony, called phase slips. The slips can be characterised by their location in phase space and their duration. We show that when…

We investigate the behavior of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is presumed to oscillate and damp in a quantum spatial-periodic harmonic oscillator potential…

We consider estimation of the spot volatility in a stochastic boundary model with one-sided microstructure noise for high-frequency limit order prices. Based on discrete, noisy observations of an It\^o semimartingale with jumps and general…

We present experimental studies of the power spectrum and other fluctuation properties in the spectra of microwave networks simulating chaotic quantum graphs with violated time reversal in- variance. On the basis of our data sets we…

In this paper, we focus on the estimation of historical volatility of asset prices from high-frequency data. Stochastic volatility models pose a major statistical challenge: since in reality historical volatility is not observable, its…

The potential of recovering the topology of a grid using solely publicly available market data is explored here. In contemporary whole-sale electricity markets, real-time prices are typically determined by solving the network-constrained…

The CSL model predicts a progressive breakdown of the quantum superposition principle, with a noise randomly driving the state of the system towards a localized one, thus accounting for the emergence of a classical world within a quantum…

Signals consisting of a sequence of pulses show that inherent origin of the 1/f noise is a Brownian fluctuation of the average interevent time between subsequent pulses of the pulse sequence. In this paper we generalize the model of…

The power spectrum of local field potentials (LFPs) has been reported to scale as the inverse of the frequency, but the origin of this "1/f noise" is at present unclear. Macroscopic measurements in cortical tissue demonstrated that electric…

Energy dynamics calculations in a 3D fluid simulation of drift wave turbulence in the linear Large Plasma Device (LAPD) [W. Gekelman et al., Rev. Sci. Inst. 62, 2875 (1991)] illuminate processes that drive and dissipate the turbulence.…

Time-bound stablecoins are DeFi assets that temporarily tokenize traditional securities during market off-hours, enabling continuous cross-market liquidity. We introduce the Liquidity-of-Time Premium (TLP): the extra return or cost of…

We present a complete and consistent exposition of the regularization, renormalization, and resummation procedures in the setup of having a contraction and then non-singular bounce followed by inflation with a sharp transition from…

In the context of statistical physics, critical phenomena are accompanied by power laws having a singularity at the critical point where a sudden change in the state of the system occurs. In this work, we show that lean blowout (LBO) in a…

We prove pathwise convergence of the layerwise evolution of tokens in a finite-depth, finite-width transformer model with MultiLayer Perceptron (MLP) blocks to a continuous-time stochastic interacting particle system. We also identify the…

We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency when the data of interest are generated…

We present and analyze the simple analytically solvable model of 1/f noise, which can be relevant for the understanding of the origin, main properties and parameter dependencies of the flicker noise. In the model, the currents or signals…

Peters (2011a) defined an optimal leverage which maximizes the time-average growth rate of an investment held at constant leverage. It was hypothesized that this optimal leverage is attracted to 1, such that, e.g., leveraging an investment…

We propose a diffusion least mean p-power (LMP) algorithm for distributed estimation in alpha stable noise environments, which is one of the widely used models that appears in various environments. Compared with the diffusion least mean…