Similar Search Results

Searching for self-similarity in switching time and turbulent cascades in ion transport through a biochannel. A time delay asymmetry

Ausloos, Marcel; Ivanova, Kristinka; Siwy, Zuzanna - In: Physica A: Statistical Mechanics and its Applications 336 (2004) 3, pp. 319-333

The process of ion transport through a locust potassium channel is described by means of the Fokker–Planck equation (FPE). The deterministic and stochastic components of the process of switching between various conducting states of the channel are expressed by two coefficients, D(1) and D(2),...

Persistent link: https://www.econbiz.de/10010591132

The CTRW in finance: Direct and inverse problems with some generalizations and extensions

Masoliver, Jaume; Montero, Miquel; Perelló, Josep; … - In: Physica A: Statistical Mechanics and its Applications 379 (2007) 1, pp. 151-167

We study financial distributions within the framework of the continuous time random walk (CTRW). We review earlier approaches and present new results related to overnight effects as well as the generalization of the formalism which embodies a non-Markovian formulation of the CTRW aimed to...

Persistent link: https://www.econbiz.de/10011057070

A wave function for stock market returns

Ataullah, Ali; Davidson, Ian; Tippett, Mark - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 4, pp. 455-461

The instantaneous return on the Financial Times-Stock Exchange (FTSE) All Share Index is viewed as a frictionless particle moving in a one-dimensional square well but where there is a non-trivial probability of the particle tunneling into the well’s retaining walls. Our analysis demonstrates...

Persistent link: https://www.econbiz.de/10011059771

Understanding how both the partitions of a bipartite network affect its one-mode projection

Mukherjee, Animesh; Choudhury, Monojit; Ganguly, Niloy - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 20, pp. 3602-3607

iterative convolution. The results are cross-validated through appropriate simulations. …

Persistent link: https://www.econbiz.de/10010872742

About closedness by convolution of the Tsallis maximizers

Vignat, C; Hero III, A.O; Costa, J.A - In: Physica A: Statistical Mechanics and its Applications 340 (2004) 1, pp. 147-152

In this paper, we study the stability under convolution of the maximizing distributions of the Tsallis entropy under … these properties, the behavior of Tsallis distributions under convolution is characterized. At last, a special random … convolution, called Kingman convolution, is shown to ensure the stability of Tsallis distributions. …

Persistent link: https://www.econbiz.de/10010591095

Distance-dependent connectivity: Yet another approach to the small-world phenomenon

Medo, Matúš - In: Physica A: Statistical Mechanics and its Applications 360 (2006) 2, pp. 617-628

We investigate a relationship network of humans located in a metric space where relationships are drawn according to a distance-dependent probability density. The obtained spatial graph allows us to calculate the average separation of people in a very simple manner. The acquired results agree...

Persistent link: https://www.econbiz.de/10011057873

Spatial quantum Zeno effect

Luo, Shunlong - In: Physica A: Statistical Mechanics and its Applications 317 (2003) 3, pp. 509-516

The quantum Zeno effect is usually discussed in the context of temporal evolution of a quantum state. We investigate its counterpart in the spatial context and present a general criterion for the occurrence of spatial quantum Zeno effect. Furthermore, a parameter-based position-momentum...

Persistent link: https://www.econbiz.de/10010873583

Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm

Xiao, Wei-Lin; Zhang, Wei-Guo; Zhang, Xili; Zhang, Xiaoli - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 24, pp. 6418-6431

This paper deals with the problem of pricing equity warrants in a mixed fractional Brownian environment. Based on the quasi-conditional expectation and the Fourier transform, we present the pricing model for equity warrants. Moreover, a hybrid intelligent algorithm, which is based on the Genetic...

Persistent link: https://www.econbiz.de/10010872281

Fourier-detrended fluctuation analysis

Chianca, C.V.; Ticona, A.; Penna, T.J.P. - In: Physica A: Statistical Mechanics and its Applications 357 (2005) 3, pp. 447-454

Many features of natural phenomena can be observed using time records or series of observations. The time records of phenomena such as physiological and economic data or the temperature of a river can display short- and long-term time scales. These signals can also present trends which are an...

Persistent link: https://www.econbiz.de/10010588815

Edgeworth expansions of stochastic trading time

Decamps, Marc; De Schepper, Ann - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 16, pp. 3179-3192

Under most local and stochastic volatility models the underlying forward is assumed to be a positive function of a time-changed Brownian motion. It relates nicely the implied volatility smile to the so-called activity rate in the market. Following Young and DeWitt-Morette (1986) [8], we propose...

Persistent link: https://www.econbiz.de/10010589118