Activity autocorrelation in financial markets. A comparative study between several models

We study the activity, i.e., the number of transactions per unit time, of financial markets. Using the diffusion entropy technique we show that the autocorrelation of the activity is caused by the presence of peaks whose time distances are distributed following an asymptotic power law which ultimately recovers the Poissonian behavior. We discuss these results in comparison with ARCH models, stochastic volatility models and multi-agent models showing that ARCH and stochastic volatility models better describe the observed experimental evidences.Comment: 15 pages, 4 figure

Differences in daptomycin and vancomycin ex vivo behaviour can lead to false interpretation of negative blood cultures

AbstractIn clinical studies on bacteraemia, the negativity of blood cultures is an important endpoint for comparing the efficacy of different therapeutic regimens. In FAN° anaerobic blood culture medium (BacT/ALERT system), daptomycin displayed increased MIC against Staphylococcus aureus and improved abolishment of its carryover effect in charcoal when compared with vancomycin. Differences between these two drugs can lead to a false interpretation of negative blood cultures. To compare different antibiotic regimens for the treatment of bacteraemia, preliminary studies are mandatory to ensure that ex vivo antibiotic behaviour is similar in the blood-culture system used

Levi-Civita cylinders with fractional angular deficit

The angular deficit factor in the Levi-Civita vacuum metric has been parametrized using a Riemann-Liouville fractional integral. This introduces a new parameter into the general relativistic cylinder description, the fractional index {\alpha}. When the fractional index is continued into the negative {\alpha} region, new behavior is found in the Gott-Hiscock cylinder and in an Israel shell.Comment: 5 figure

Ramanujan sums analysis of long-period sequences and 1/f noise

Ramanujan sums are exponential sums with exponent defined over the irreducible fractions. Until now, they have been used to provide converging expansions to some arithmetical functions appearing in the context of number theory. In this paper, we provide an application of Ramanujan sum expansions to periodic, quasiperiodic and complex time series, as a vital alternative to the Fourier transform. The Ramanujan-Fourier spectrum of the Dow Jones index over 13 years and of the coronal index of solar activity over 69 years are taken as illustrative examples. Distinct long periods may be discriminated in place of the 1/f^{\alpha} spectra of the Fourier transform.Comment: 10 page

Retarding Sub- and Accelerating Super-Diffusion Governed by Distributed Order Fractional Diffusion Equations

We propose diffusion-like equations with time and space fractional derivatives of the distributed order for the kinetic description of anomalous diffusion and relaxation phenomena, whose diffusion exponent varies with time and which, correspondingly, can not be viewed as self-affine random processes possessing a unique Hurst exponent. We prove the positivity of the solutions of the proposed equations and establish the relation to the Continuous Time Random Walk theory. We show that the distributed order time fractional diffusion equation describes the sub-diffusion random process which is subordinated to the Wiener process and whose diffusion exponent diminishes in time (retarding sub-diffusion) leading to superslow diffusion, for which the square displacement grows logarithmically in time. We also demonstrate that the distributed order space fractional diffusion equation describes super-diffusion phenomena when the diffusion exponent grows in time (accelerating super-diffusion).Comment: 11 pages, LaTe

Two classes of nonlocal Evolution Equations related by a shared Traveling Wave Problem

We consider reaction-diffusion equations and Korteweg-de Vries-Burgers (KdVB) equations, i.e. scalar conservation laws with diffusive-dispersive regularization. We review the existence of traveling wave solutions for these two classes of evolution equations. For classical equations the traveling wave problem (TWP) for a local KdVB equation can be identified with the TWP for a reaction-diffusion equation. In this article we study this relationship for these two classes of evolution equations with nonlocal diffusion/dispersion. This connection is especially useful, if the TW equation is not studied directly, but the existence of a TWS is proven using one of the evolution equations instead. Finally, we present three models from fluid dynamics and discuss the TWP via its link to associated reaction-diffusion equations