On discrete stochastic processes with long-lasting time dependence

In this manuscript, we analytically and numerically study statistical properties of an heteroskedastic process based on the celebrated ARCH generator of random variables whose variance is defined by a memory of $q_{m}$-exponencial, form ($e_{q_{m}=1}^{x}=e^{x}$). Specifically, we inspect the self-correlation function of squared random variables as well as the kurtosis. In addition, by numerical procedures, we infer the stationary probability density function of both of the heteroskedastic random variables and the variance, the multiscaling properties, the first-passage times distribution, and the dependence degree. Finally, we introduce an asymmetric variance version of the model that enables us to reproduce the so-called leverage effect in financial markets.Comment: 24 page

Are all highly liquid securities within the same class?

In this manuscript we analyse the leading statistical properties of fluctuations of (log) 3-month US Treasury bill quotation in the secondary market, namely: probability density function, autocorrelation, absolute values autocorrelation, and absolute values persistency. We verify that this financial instrument, in spite of its high liquidity, shows very peculiar properties. Particularly, we verify that log-fluctuations belong to the Levy class of stochastic variables.Comment: To be published in EPJ

On superstatistical multiplicative-noise processes

In this manuscript we analyse the long-term probability density function of non-stationary dynamical processes which are enclosed inward the Feller class of processes with time varying exponents for multiplicative noise. The update in the value of the exponent occurs in the same conditions presented by Beck and Cohen for superstatistics. Moreover, we are able to provide a dynamical scenario for the emergence of a generalisation of the Weibull distribution previously introduced.Comment: 7 pages, 8 figures. A note about the application on turbulence models has been added to this final published versio

Edge of chaos of the classical kicked top map: Sensitivity to initial conditions

We focus on the frontier between the chaotic and regular regions for the classical version of the quantum kicked top. We show that the sensitivity to the initial conditions is numerically well characterised by $\xi=e_q^{\lambda_q t}$, where $e_{q}^{x}\equiv [ 1+(1-q) x]^{\frac{1}{1-q}} (e_1^x=e^x)$, and $\lambda_q$ is the $q$-generalization of the Lyapunov coefficient, a result that is consistent with nonextensive statistical mechanics, based on the entropy $S_q=(1- \sum_ip_i^q)/(q-1) (S_1 =-\sum_i p_i \ln p_i$). Our analysis shows that $q$ monotonically increases from zero to unity when the kicked-top perturbation parameter $\alpha$ increases from zero (unperturbed top) to $\alpha_c$, where $\alpha_c \simeq 3.2$. The entropic index $q$ remains equal to unity for $\alpha \ge \alpha_c$, parameter values for which the phase space is fully chaotic.Comment: To appear in "Complexity, Metastability and Nonextensivity" (World Scientific, Singapore, 2005), Eds. C. Beck, A. Rapisarda and C. Tsalli