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Type-II intermittency characteristics in the presence of noise

Koronovskii, A. A.; Hramov, A. E. - In: The European Physical Journal B - Condensed Matter and … 62 (2008) 4, pp. 447-452

We consider a type of intermittent behavior that occurs as the result of the interplay between dynamical mechanisms giving rise to type-II intermittency and random dynamics. We analytically deduce the law for the distribution of the laminar phases, which has never been obtained hitherto. The...

Persistent link: https://www.econbiz.de/10009281855

Emergence of bimodality in noisy systems with single-well potential

Dybiec, B.; Schimansky-Geier, L. - In: The European Physical Journal B - Condensed Matter and … 57 (2007) 3, pp. 313-320

purely additive thermal and dichotomous noise sources. We find situations where bimodality of stationary densities emerges … due to presence of dichotomous noise. The solutions are constructed using stochastic dynamics (Langevin equation) or by …

Persistent link: https://www.econbiz.de/10009281861

Information and maximum power in a feedback controlled Brownian ratchet

Feito, M.; Cao, F. J. - In: The European Physical Journal B - Condensed Matter and … 59 (2007) 1, pp. 63-68

Closed-loop or feedback controlled ratchets are Brownian motors that operate using information about the state of the system. For these ratchets, we compute the power output and we investigate its relation with the information used in the feedback control. We get analytical expressions for...

Persistent link: https://www.econbiz.de/10009281897

Size matters: some stylized facts of the stock market revisited

Eisler, Z.; Kertész, J. - In: The European Physical Journal B - Condensed Matter and … 51 (2006) 1, pp. 145-154

We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company capitalization. We show that the second moment of the traded value...

Persistent link: https://www.econbiz.de/10009281939

Interacting gaps model, dynamics of order book, and stock-market fluctuations

Svorenčík, A.; Slanina, F. - In: The European Physical Journal B - Condensed Matter and … 57 (2007) 4, pp. 453-462

Inspired by order-book models of financial fluctuations, we investigate the Interacting gaps model, which is the schematic one-dimensional system mimicking the order-book dynamics. We find by simulations the power-law tail in return distribution, power-law decay of volatility autocorrelation...

Persistent link: https://www.econbiz.de/10009281946

From short to fat tails in financial markets: a unified description

Cortines, A. A.G.; Riera, R.; Anteneodo, C. - In: The European Physical Journal B - Condensed Matter and … 60 (2007) 3, pp. 385-389

In complex systems such as turbulent flows and financial markets, the dynamics in long and short time-lags, signaled by Gaussian and fat-tailed statistics, respectively, calls for a unified description. To address this issue we analyze a real dataset, namely, price fluctuations, in a wide range...

Persistent link: https://www.econbiz.de/10009281948

Generalized Fokker-Planck equation: Derivation and exact solutions

Denisov, S. I.; Horsthemke, W.; Hänggi, P. - In: The European Physical Journal B - Condensed Matter and … 68 (2009) 4, pp. 567-575

Persistent link: https://www.econbiz.de/10009281960

Hamilton-like statistics in onedimensional driven dissipative many-particle systems

Treiber, M.; Helbing, D. - In: The European Physical Journal B - Condensed Matter and … 68 (2009) 4, pp. 607-618

Persistent link: https://www.econbiz.de/10009281980

The underdamped Josephson junction subjected to colored noises

Nie, L. R.; Mei, D. C. - In: The European Physical Journal B - Condensed Matter and … 58 (2007) 4, pp. 475-481

exhibits monostability → bistability → monostability transitions as the autocorrelation rate (λ) of a colored noise increases …; (ii) in the bistability region the multiplicative noise drives the phase difference to turn over periodically; (iii) the … presence of a dichotomous noise, we found nonmonotonic behavior of 〈V 〉<Subscript>max</Subscript> and the slope K as a function …

Persistent link: https://www.econbiz.de/10009282001

Phase transition in annihilation-limited processes

Khorrami, M.; Aghamohammadi, A. - In: The European Physical Journal B - Condensed Matter and … 56 (2007) 3, pp. 223-227

A system of particles is studied in which the stochastic processes are one-particle type-change (or one-particle diffusion) and multi-particle annihilation. It is shown that, if the annihilation rate tends to zero but the initial values of the average number of the particles tend to infinity, so...

Persistent link: https://www.econbiz.de/10009282057