Role of Noise in a Market Model with Stochastic Volatility

We study a generalization of the Heston model, which consists of two coupled stochastic differential equations, one for the stock price and the other one for the volatility. We consider a cubic nonlinearity in the first equation and a correlation between the two Wiener processes, which model the two white noise sources. This model can be useful to describe the market dynamics characterized by different regimes corresponding to normal and extreme days. We analyze the effect of the noise on the statistical properties of the escape time with reference to the noise enhanced stability (NES) phenomenon, that is the noise induced enhancement of the lifetime of a metastable state. We observe NES effect in our model with stochastic volatility. We investigate the role of the correlation between the two noise sources on the NES effect.Comment: 13 pages, 6 figures, Eur. Phys. J. B, in pres

Flow Equations for U_k and Z_k

By considering the gradient expansion for the wilsonian effective action S_k of a single component scalar field theory truncated to the first two terms, the potential U_k and the kinetic term Z_k, I show that the recent claim that different expansion of the fluctuation determinant give rise to different renormalization group equations for Z_k is incorrect. The correct procedure to derive this equation is presented and the set of coupled differential equations for U_k and Z_k is definitely established.Comment: 5 page

Hitting Time Distributions in Financial Markets

We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the 12-year period 1987-1998, the second one is composed by high frequency data for 100 stocks for the 4-year period 1995-1998. We compare the probability distribution obtained by our empirical analysis with those obtained from different models for stock market evolution. Specifically by focusing on the statistical properties of the hitting times to reach a barrier or a given threshold, we compare the probability density function (PDF) of three models, namely the geometric Brownian motion, the GARCH model and the Heston model with that obtained from real market data. We will present also some results of a generalized Heston model

Polarization and angular distribution of the radiation emitted in laser-assisted recombination

The effect of an intense external linear polarized radiation field on the angular distributions and polarization states of the photons emitted during the radiative recombination is investigated. It is predicted, on symmetry grounds, and corroborated by numerical calculations of approximate recombination rates, that emission of elliptically polarized photons occurs when the momentum of the electron beam is not aligned to the direction of the oscillating field. Moreover, strong modifications to the angular distributions of the emitted photons are induced by the external radiation field.Comment: 5 pages, 3 figure

Hitting time distribution in financial markets

We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the 12-year period 1987\u20131998, the second one is composed by high frequency data for 100 stocks for the 4-year period 1995\u20131998. We compare the probability distribution obtained by our empirical analysis with those obtained from different models for stock market evolution. Specifically by focusing on the statistical properties of the hitting times to reach a barrier or a given threshold, we compare the probability density function (PDF) of three models, namely the geometric Brownian motion, the GARCH model and the Heston model with that obtained from real market data. We will present also some results of a generalized Heston model

Noise Induced Phenomena in the Dynamics of Two Competing Species

Noise through its interaction with the nonlinearity of the living systems can give rise to counter-intuitive phenomena. In this paper we shortly review noise induced effects in different ecosystems, in which two populations compete for the same resources. We also present new results on spatial patterns of two populations, while modeling real distributions of anchovies and sardines. The transient dynamics of these ecosystems are analyzed through generalized Lotka-Volterra equations in the presence of multiplicative noise, which models the interaction between the species and the environment. We find noise induced phenomena such as quasi-deterministic oscillations, stochastic resonance, noise delayed extinction, and noise induced pattern formation. In addition, our theoretical results are validated with experimental findings. Specifically the results, obtained by a coupled map lattice model, well reproduce the spatial distributions of anchovies and sardines, observed in a marine ecosystem. Moreover, the experimental dynamical behavior of two competing bacterial populations in a meat product and the probability distribution at long times of one of them are well reproduced by a stochastic microbial predictive model.Comment: 23 pages, 8 figures; to be published in Math. Model. Nat. Phenom. (2016

Physics of the interior of a spherical, charged black hole with a scalar field

We analyse the physics of nonlinear gravitational processes inside a spherical charged black hole perturbed by a self-gravitating massless scalar field. For this purpose we created an appropriate numerical code. Throughout the paper, in addition to investigation of the properties of the mathematical singularities where some curvature scalars are equal to infinity, we analyse the properties of the physical singularities where the Kretschmann curvature scalar is equal to the planckian value. Using a homogeneous approximation we analyse the properties of the spacetime near a spacelike singularity in spacetimes influenced by different matter contents namely a scalar field, pressureless dust and matter with ultrarelativistic isotropic pressure. We also carry out full nonlinear analyses of the scalar field and geometry of spacetime inside black holes by means of an appropriate numerical code with adaptive mesh refinement capabilities. We use this code to investigate the nonlinear effects of gravitational focusing, mass inflation, matter squeeze, and these effects dependence on the initial boundary conditions. It is demonstrated that the position of the physical singularity inside a black hole is quite different from the positions of the mathematical singularities. In the case of the existence of a strong outgoing flux of the scalar field inside a black hole it is possible to have the existence of two null singularities and one central $r=0$ singularity simultaneously