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This paper studies a regression model with functional dependent and explanatory variables, both of which exhibit nonstationary dynamics. The model assumes that the nonstationary stochastic trends of the dependent variable are explained by…

Employing a recent technique which allows the representation of nonstationary data by means of a juxtaposition of locally stationary patches of different length, we introduce a comprehensive analysis of the key observables in a financial…

The statistical mechanical basis of the fluctuation theory of mixtures is reviewed. An overview of the statistical mechanical relations between the microscopic properties of a system and its macroscopic properties is presented. The…

Statistical physics and dynamical systems theory are key tools to study high-impact geophysical events such as temperature extremes, cyclones, thunderstorms, geomagnetic storms and many more. Despite the intrinsic differences between these…

How do decisions change with the economic environment and with time? This paper studies general nonstationary stopping problems and provides the methodological tools to answer these questions. First, we identify conditions that ensure a…

The energies of a pair of strongly-interacting subsystems with arbitrary noninteger charges are examined from closed and open system perspectives. An ensemble representation of the charge dependence is derived, valid at all interaction…

Concepts of quantum open systems and ideas of correlation dynamics in nonequilibrium statistical mechanics, as well as methods of closed-time-path effective action and influence functional in quantum field theory can be usefully applied for…

I give a concise introduction to some essential concepts of statistical mechanics: 1. Probability theory (constrained distributions, concentration theorem, frequency estimation, hypothesis testing); 2. Macroscopic systems in equilibrium…

The application of principles of thermodynamics and statistical mechanics to economic systems is considered in a broad historical perspective, extending from prehistoric times to the present day. The hypothesis of maximum entropy production…

This article is a follow-up of a short essay that appeared in Nature 455, 1181 (2008) [arXiv:0810.5306]. It has become increasingly clear that the erratic dynamics of markets is mostly endogenous and not due to the rational processing of…

This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval {\Delta} results in…

Studying the role of activity parameters and the nature of time-symmetric path-variables constitutes an important part of nonequilibrium physics, so we argue. The relevant variables are residence times and the undirected traffic between…

Generalizing response theory of open systems far from equilibrium is a central quest of nonequilibrium statistical physics. Using stochastic thermodynamics, we develop an algebraic method to study the response of nonequilibrium steady state…

Stochastic dynamics in the energy representation is employed as a method to study non-equilibrium Brownian-like systems. It is shown that the equation of motion for the energy of such systems can be taken in the form of the Langevin…

Within the continuous endeavour of improving the efficiency and resilience of air transport, the trend of using concepts and metrics from statistical physics has recently gained momentum. This scientific discipline, which integrates…

These lecture notes want to illustrate the close connection between statistical mechanics and field theory not only on the formal level, i.e. that many concepts of one area can easily be taken over to the other one, but also on the level of…

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…

The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such…

What is the dominating mechanism of the price dynamics in financial systems is of great interest to scientists. The problem whether and how volatilities affect the price movement draws much attention. Although many efforts have been made,…

We use multi-time correlation functions of quantum systems to construct random variables with statistical properties that reflect the degree of complexity of the underlying quantum dynamics.