1,771 research outputs found
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
singularity simultaneously
- …