The Opinion Game: Stock price evolution from microscopic market modelling

We propose a class of Markovian agent based models for the time evolution of a share price in an interactive market. The models rely on a microscopic description of a market of buyers and sellers who change their opinion about the stock value in a stochastic way. The actual price is determined in realistic way by matching (clearing) offers until no further transactions can be performed. Some analytic results for a non-interacting model are presented. We also propose basic interaction mechanisms and show in simulations that these already reproduce certain particular features of prices in real stock markets.Comment: 14 pages, 5 figure

Fluctuations of the Phase Boundary in the Ising Ferromagnet

We discuss statistical properties of phase boundary in the 2D low-temperature Ising ferromagnet in a box with the two-component boundary conditions. We prove the weak convergence in C [O, 1] of measures describing the fluctuations of phase boundaries in the canonical ensemble of interfaces with fixed endpoints and area enclosed below them. The limiting Gaussian measure coincides with the conditional distribution of certain Gaussian process obtained by the integral transformation of the white noise

Phase separation and sharp large deviations.

Using a refined analysis of phase boundaries, we derive sharp asymptotics of the large deviation probabilities for the total magnetisation of a low-temperature Ising model in two dimensions

Non-homogeneous random walks with non-integrable increments and heavy-tailed random walks on strips

We study asymptotic properties of spatially non-homogeneous random walks with non-integrable increments, including transience, almost-sure bounds, and existence and non existence of moments for first-passage and last-exit times. In our proofs we also make use of estimates for hitting probabilities and large deviations bounds. Our results are more general than existing results in the literature, which consider only the case of sums of independent (typically, identically distributed) random variables. We do not assume the Markov property. Existing results that we generalize include a circle of ideas related to the Marcinkiewicz-Zygmund strong law of large numbers, as well as more recent work of Kesten and Maller. Our proofs are robust and use martingale methods. We demonstrate the benefit of the generality of our results by applications to some non-classical models, including random walks with heavy-tailed increments on two-dimensional strips, which include, for instance, certain generalized risk processes

On local behaviour of the phase separation line in the 2D Ising model

The aim of this note is to discuss some statistical properties of the phase separation line in the 2D low-temperature Ising model. We prove the functional central limit theorem for the probability distributions describing fluctuations of the phase boundary in the direction orthogonal to its orientation. The limiting Gaussian measure corresponds to a scaled Brownian bridge with direction dependent parameters. Up to the temperature factor, the variances of local increments of this limiting process are inversely proportional to the stiffness

Regular phase in a model of microtubule growth

We study a continuous-time stochastic process on strings made of two types of particles, whose dynamics mimics the behaviour of microtubules in a living cell; namely, the strings evolve via a competition between (local) growth/shrinking as well as (global)hydrolysis processes. We show that the velocity of the string end, which determines the long-term behaviour of the system, depends analytically on the growth and shrinking rates. We also identify a region in the parameter space where the velocity is a strictly monotone function of the rates. The argument is based on stochastic domination, large deviations estimates, cluster expansions and semi-martingale techniques

Surface tension and the Ornstein-Zernike behaviour for the 2D Blume-Capel model

We prove existence of the surface tension in the low temperature 2D Blume Capel model and verify the Ornstein-Zernike asymptotics of the corresponding finite-volume interface partition function