812 research outputs found
A semi-Markov model with memory for price changes
We study the high frequency price dynamics of traded stocks by a model of
returns using a semi-Markov approach. More precisely we assume that the
intraday returns are described by a discrete time homogeneous semi-Markov which
depends also on a memory index. The index is introduced to take into account
periods of high and low volatility in the market. First of all we derive the
equations governing the process and then theoretical results have been compared
with empirical findings from real data. In particular we analyzed high
frequency data from the Italian stock market from first of January 2007 until
end of December 2010
Controlled quantum evolutions and transitions
We study the nonstationary solutions of Fokker-Planck equations associated to
either stationary or nonstationary quantum states. In particular we discuss the
stationary states of quantum systems with singular velocity fields. We
introduce a technique that allows to realize arbitrary evolutions ruled by
these equations, to account for controlled quantum transitions. The method is
illustrated by presenting the detailed treatment of the transition
probabilities and of the controlling time-dependent potentials associated to
the transitions between the stationary, the coherent, and the squeezed states
of the harmonic oscillator. Possible extensions to anharmonic systems and mixed
states are briefly discussed and assessed.Comment: 24 pages, 4 figure
A stochastic-hydrodynamic model of halo formation in charged particle beams
The formation of the beam halo in charged particle accelerators is studied in
the framework of a stochastic-hydrodynamic model for the collective motion of
the particle beam. In such a stochastic-hydrodynamic theory the density and the
phase of the charged beam obey a set of coupled nonlinear hydrodynamic
equations with explicit time-reversal invariance. This leads to a linearized
theory that describes the collective dynamics of the beam in terms of a
classical Schr\"odinger equation. Taking into account space-charge effects, we
derive a set of coupled nonlinear hydrodynamic equations. These equations
define a collective dynamics of self-interacting systems much in the same
spirit as in the Gross-Pitaevskii and Landau-Ginzburg theories of the
collective dynamics for interacting quantum many-body systems. Self-consistent
solutions of the dynamical equations lead to quasi-stationary beam
configurations with enhanced transverse dispersion and transverse emittance
growth. In the limit of a frozen space-charge core it is then possible to
determine and study the properties of stationary, stable core-plus-halo beam
distributions. In this scheme the possible reproduction of the halo after its
elimination is a consequence of the stationarity of the transverse distribution
which plays the role of an attractor for every other distribution.Comment: 18 pages, 20 figures, submitted to Phys. Rev. ST A
Stochastic collective dynamics of charged--particle beams in the stability regime
We introduce a description of the collective transverse dynamics of charged
(proton) beams in the stability regime by suitable classical stochastic
fluctuations. In this scheme, the collective beam dynamics is described by
time--reversal invariant diffusion processes deduced by stochastic variational
principles (Nelson processes). By general arguments, we show that the diffusion
coefficient, expressed in units of length, is given by ,
where is the number of particles in the beam and the Compton
wavelength of a single constituent. This diffusion coefficient represents an
effective unit of beam emittance. The hydrodynamic equations of the stochastic
dynamics can be easily recast in the form of a Schr\"odinger equation, with the
unit of emittance replacing the Planck action constant. This fact provides a
natural connection to the so--called ``quantum--like approaches'' to beam
dynamics. The transition probabilities associated to Nelson processes can be
exploited to model evolutions suitable to control the transverse beam dynamics.
In particular we show how to control, in the quadrupole approximation to the
beam--field interaction, both the focusing and the transverse oscillations of
the beam, either together or independently.Comment: 15 pages, 9 figure
Inverse Statistics in the Foreign Exchange Market
We investigate intra-day foreign exchange (FX) time series using the inverse
statistic analysis developed in [1,2]. Specifically, we study the time-averaged
distributions of waiting times needed to obtain a certain increase (decrease)
in the price of an investment. The analysis is performed for the Deutsch
mark (DM) against the US. With high statistical
significance, the presence of "resonance peaks" in the waiting time
distributions is established. Such peaks are a consequence of the trading
habits of the markets participants as they are not present in the corresponding
tick (business) waiting time distributions. Furthermore, a new {\em stylized
fact}, is observed for the waiting time distribution in the form of a power law
Pdf. This result is achieved by rescaling of the physical waiting time by the
corresponding tick time thereby partially removing scale dependent features of
the market activity.Comment: 8 pages. Accepted Physica
Price leadership and volatility linkages between oil and renewable energy firms during the covid-19 pandemic
The COVID-19 pandemic is shaving a strong influence in all areas of society, like wealth, economy, travel, lifestyle habits, and, amongst many others, financial and energy markets. The influence in standard energies, like crude oil, and renewable energies markets has been twofold: from one side, the predictability of volatility has strongly decreased; secondly, the linkages of the price time series have been modified. In this paper, by using DCC-GARCH and Price Leadership Share method-ology, we can investigate the changes in the influences between standard energies and renewable energies markets by analyzing one-minute time series of West Texas Intermediate crude oil futures contract (WTI), the Brent crude oil futures contract (BRENT), the STOXX Europe 600 oil & gas index (SXEV), and the European renewable energy index (ERIX). Our results confirm volatility spillover between the time series. However, when assessing the accuracy of the predictability of the DCC-GARCH model, the results show that the model fails its prediction in the period of higher instability. Besides, we found that price leadership has been strongly influenced by the virus spreading stages. These results have been obtained by dividing the period between September 2019 and January 2021 into 6 subperiods according to the pandemic stages
Weighted-indexed semi-Markov models for modeling financial returns
In this paper we propose a new stochastic model based on a generalization of
semi-Markov chains to study the high frequency price dynamics of traded stocks.
We assume that the financial returns are described by a weighted indexed
semi-Markov chain model. We show, through Monte Carlo simulations, that the
model is able to reproduce important stylized facts of financial time series as
the first passage time distributions and the persistence of volatility. The
model is applied to data from Italian and German stock market from first of
January 2007 until end of December 2010.Comment: arXiv admin note: substantial text overlap with arXiv:1109.425
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