Search results for " exponent"
showing 10 items of 315 documents
Statistical analysis of financial returns for a multiagent order book model of asset trading
2007
We recently introduced a realistic order book model [T. Preis, Europhys. Lett. 75, 510 (2006)] which is able to generate the stylized facts of financial markets. We analyze this model in detail, explain the consequences of the use of different groups of traders, and focus on the foundation of a nontrivial Hurst exponent based on the introduction of a market trend. Our order book model supports the theoretical argument that a nontrivial Hurst exponent implies not necessarily long-term correlations. A coupling of the order placement depth to the market trend can produce fat tails, which can be described by a truncated Lévy distribution.
Medium-range interactions and crossover to classical critical behavior
1996
We study the crossover from Ising-like to classical critical behavior as a function of the range R of interactions. The power-law dependence on R of several critical amplitudes is calculated from renormalization theory. The results confirm the predictions of Mon and Binder, which were obtained from phenomenological scaling arguments. In addition, we calculate the range dependence of several corrections to scaling. We have tested the results in Monte Carlo simulations of two-dimensional systems with an extended range of interaction. An efficient Monte Carlo algorithm enabled us to carry out simulations for sufficiently large values of R, so that the theoretical predictions could actually be …
Delay-dependent exponential stabilization of positive 2D switched state-delayed systems in the Roesser model
2014
This paper deals with the controller synthesis for a class of positive two-dimensional (2D) switched delay systems described by the Roesser model. This kind of systems has the property that the states take nonnegative values whenever the initial boundaries are nonnegative, some delay-dependent sufficient conditions for the exponential stability of positive 2D switched systems with state delays are given. Furthermore, the design of positive state feedback controller under which the resulting closed-loop system meets the requirements of positivity and exponential stability is presented in terms of linear matrix inequalities (LMIs). An example is included to illustrate the effectiveness of the…
Stochastic approach to highway traffic
2004
We analyze the characteristic features of jam formation on a circular one-lane road. We have applied an optimal velocity model including stochastic noise, where cars are treated as moving and interacting particles. The motion of N cars is described by the system of 2 N stochastic differential equations with multiplicative white noise. Our system of cars behaves in qualitatively different ways depending on the values of control parameters c (dimensionless density), b (sensitivity parameter characterising the fastness of relaxation), and α (dimensionless noise intensity). In analogy to the gas-liquid phase transition in supersaturated vapour at low enough temperatures, we observe three differ…
Nodal Solutions for Supercritical Laplace Equations
2015
In this paper we study radial solutions for the following equation $$\Delta u(x)+f (u(x), |x|) = 0,$$ where $${x \in {\mathbb{R}^{n}}}$$ , n > 2, f is subcritical for r small and u large and supercritical for r large and u small, with respect to the Sobolev critical exponent $${2^{*} = \frac{2n}{n-2}}$$ . The solutions are classified and characterized by their asymptotic behaviour and nodal properties. In an appropriate super-linear setting, we give an asymptotic condition sufficient to guarantee the existence of at least one ground state with fast decay with exactly j zeroes for any j ≥ 0. Under the same assumptions, we also find uncountably many ground states with slow decay, singular gro…
Modelling a proportion response variable using generalised additive models for location scale and shape
2015
In this paper two alternative approaches are proposed to model a response variable Y measured on the interval from zero to one, including both zero and one. The first proposed model employs a flexible four parameter distribution for 0 < Y < 1, for example a logit skew exponential power distribution, inflated by including point probabilities at 0 and 1. The second proposed model is a generalised Tobit model, obtained from a flexible four parameter distribution on (-infinity;+infinity), for example the skew exponential power distribution, by censoring below 0 and above 1. The proposed models are applied to a real data set and compared with current popular models.
The Lyapunov dimension formula for the global attractor of the Lorenz system
2015
The exact Lyapunov dimension formula for the Lorenz system has been analytically obtained first due to G.A.Leonov in 2002 under certain restrictions on parameters, permitting classical values. He used the construction technique of special Lyapunov-type functions developed by him in 1991 year. Later it was shown that the consideration of larger class of Lyapunov-type functions permits proving the validity of this formula for all parameters of the system such that all the equilibria of the system are hyperbolically unstable. In the present work it is proved the validity of the formula for Lyapunov dimension for a wider variety of parameters values, which include all parameters satisfying the …
Dynamics of the Shapovalov mid-size firm model
2020
Forecasting and analyses of the dynamics of financial and economic processes such as deviations of macroeconomic aggregates (GDP, unemployment, and inflation) from their long-term trends, asset markets volatility, etc., are challenging because of the complexity of these processes. Important related research questions include, first, how to determine the qualitative properties of the dynamics of these processes, namely, whether the process is stable, unstable, chaotic (deterministic), or stochastic; and second, how best to estimate its quantitative indicators including dimension, entropy, and correlation characteristics. These questions can be studied both empirically and theoretically. In t…
Study of irregular dynamics in an economic model: attractor localization and Lyapunov exponents
2021
Cyclicity and instability inherent in the economy can manifest themselves in irregular fluctuations, including chaotic ones, which significantly reduces the accuracy of forecasting the dynamics of the economic system in the long run. We focus on an approach, associated with the identification of a deterministic endogenous mechanism of irregular fluctuations in the economy. Using of a mid-size firm model as an example, we demonstrate the use of effective analytical and numerical procedures for calculating the quantitative characteristics of its irregular limiting dynamics based on Lyapunov exponents, such as dimension and entropy. We use an analytical approach for localization of a global at…
Perturbation of the Lyapunov spectra of periodic orbits
2012
We describe all Lyapunov spectra that can be obtained by perturbing the derivatives along periodic orbits of a diffeomorphism. The description is expressed in terms of the finest dominated splitting and Lyapunov exponents that appear in the limit of a sequence of periodic orbits, and involves the majorization partial order. Among the applications, we give a simple criterion for the occurrence of universal dynamics.