7 research outputs found
Rectification of motion in nonlinear media with asymmetric random drive
We consider moving particles in media with nonlinear friction and drive them
by an asymmetric dichotomic Markov process. Due to different energy
dissipations, during the forward and backward stroke, we obtain a mean
non-vanishing directed flow of the particles. Starting with the stationary
velocity distribution, we calculate the stationary current of particles, the
variance and the relative variance in dependence on the degree of nonlinearity
of the friction, on the asymmetry and for different strengths of friction. In
two dimensions the particle performs diffusional motion, if in addition the
direction of the asymmetric drive changes stochastically.Comment: 17 pages, 6 figure
Active Brownian Particles. From Individual to Collective Stochastic Dynamics
We review theoretical models of individual motility as well as collective
dynamics and pattern formation of active particles. We focus on simple models
of active dynamics with a particular emphasis on nonlinear and stochastic
dynamics of such self-propelled entities in the framework of statistical
mechanics. Examples of such active units in complex physico-chemical and
biological systems are chemically powered nano-rods, localized patterns in
reaction-diffusion system, motile cells or macroscopic animals. Based on the
description of individual motion of point-like active particles by stochastic
differential equations, we discuss different velocity-dependent friction
functions, the impact of various types of fluctuations and calculate
characteristic observables such as stationary velocity distributions or
diffusion coefficients. Finally, we consider not only the free and confined
individual active dynamics but also different types of interaction between
active particles. The resulting collective dynamical behavior of large
assemblies and aggregates of active units is discussed and an overview over
some recent results on spatiotemporal pattern formation in such systems is
given.Comment: 161 pages, Review, Eur Phys J Special-Topics, accepte
Volatility, information feedback and market microstructure noise: a tale of two regimes
We extend the classical ”martingale-plus-noise” model for high-frequency prices by an error correction mechanism originating from prevailing mispricing. The speed of price reversal is a natural measure for informational efficiency. The strength of the price reversal relative to the signal-to-noise ratio determines the signs of the return serial correlation and the bias in standard realized variance estimates. We derive the model’s properties and locally estimate it based on mid-quote returns of the NASDAQ 100 constituents. There is evidence of mildly persistent local regimes of positive and negative serial correlation, arising from lagged feedback effects and sluggish price adjustments. The model performance is decidedly superior to existing stylized microstructure models. Finally, we document intraday periodicities in the speed of price reversion and noise-to-signal ratios