1,333 research outputs found
Correlations for pairs of periodic trajectories for open billiards
In this paper we prove two asymptotic estimates for pairs of closed
trajectories for open billiards similar to those established by Pollicott and
Sharp for closed geodesics on negatively curved compact surfaces. The first of
these estimates holds for general open billiards in any dimension. The more
intricate second estimate is established for open billiards satisfying the so
called Dolgopyat type estimates. This class of billiards includes all open
billiards in the plane and open billiards in satisfying some
additional conditions
CVaR sensitivity with respect to tail thickness
We consider the sensitivity of conditional value-at-risk (CVaR) with respect to the tail index assuming regularly varying tails and exponential and faster-than-exponential tail decay for the return distribution. We compare it to the CVaR sensitivity with respect to the scale parameter for stable Paretian, the Student's t, and generalized Gaussian laws and discuss implications for the modeling of daily returns and marginal rebalancing decisions. Finally, we explore empirically the impact on the asymptotic variability of the CVaR estimator with daily returns which is a standard choice for the return frequency for risk estimation. --fat-tailed distributions,regularly varying tails,conditional value-at-risk,marginal rebalancing,asymptotic variability
Scaling properties of step bunches induced by sublimation and related mechanisms: A unified perspective
This work provides a ground for a quantitative interpretation of experiments
on step bunching during sublimation of crystals with a pronounced
Ehrlich-Schwoebel (ES) barrier in the regime of weak desorption. A strong step
bunching instability takes place when the kinetic length is larger than the
average distance between the steps on the vicinal surface. In the opposite
limit the instability is weak and step bunching can occur only when the
magnitude of step-step repulsion is small. The central result are power law
relations of the between the width, the height, and the minimum interstep
distance of a bunch. These relations are obtained from a continuum evolution
equation for the surface profile, which is derived from the discrete step
dynamical equations for. The analysis of the continuum equation reveals the
existence of two types of stationary bunch profiles with different scaling
properties. Through a mathematical equivalence on the level of the discrete
step equations as well as on the continuum level, our results carry over to the
problems of step bunching induced by growth with a strong inverse ES effect,
and by electromigration in the attachment/detachment limited regime. Thus our
work provides support for the existence of universality classes of step
bunching instabilities [A. Pimpinelli et al., Phys. Rev. Lett. 88, 206103
(2002)], but some aspects of the universality scenario need to be revised.Comment: 21 pages, 8 figure
Fat-tailed models for risk estimation
In the post-crisis era, financial institutions seem to be more aware of the risks posed by extreme events. Even though there are attempts to adapt methodologies drawing from the vast academic literature on the topic, there is also skepticism that fat-tailed models are needed. In this paper, we address the common criticism and discuss three popular methods for extreme risk modeling based on full distribution modeling and and extreme value theory. --
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Primary evolving networks and the comparative analysis of robust and fragile structures
In this paper we consider the structure of dynamically evolving networks modelling information and activity moving across a large set of vertices. We adopt the communicability concept that generalizes that of centrality which is defined for static networks. We define the primary network structure within the whole as comprising of the most influential vertices (both as senders and receivers of dynamically sequenced activity). We present a methodology based on successive vertex knockouts, up to a very small fraction of the whole primary network,that can characterize the nature of the primary network as being either relatively robust and lattice-like (with redundancies built in) or relatively fragile and tree-like (with sensitivities and few redundancies). We apply these ideas to the analysis of evolving networks derived from fMRI scans of resting human brains. We show that the estimation of performance parameters via the structure tests of the corresponding primary networks is subject to less variability than that observed across a very large population of such scans. Hence the differences within the population are significant
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