Search results for "Lévy"

Futures pricing in electricity markets based on stable CARMA spot models

2012

We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary independent increments process for the low-frequency dynamics, and model the large uctuations by a non-Gaussian stable CARMA process. The model allows for analytic futures prices, and we apply these to model and estimate the whole market consistently. Besides standard parameter estimation, an estimation procedure is suggested, where we t the non-stationary trend using futures data with long time until delivery, and a robust L 1 -lter to nd the states of …

Dynamics of a Lotka-Volterra system in the presence of non-Gaussian noise sources

2009

We consider a Lotka-Volterra system of two competing species subject to multiplicative α-stable Lévy noise. The interaction parameter between the species is a random process which obeys a stochastic differential equation with a generalized bistable potential in the presence both of a periodic driving term and an additive alpha-stable Lévy noise. We study the species dynamics, which is characterized by two different dynamical regimes, exclusion of one species and coexistence of both ones, analyzing the role of the Lévy noise sources.

Izquierda en desbandada / 4

2007

Stochastic dynamical modelling of spot freight rates

2014

Based on empirical analysis of the Capesize and Panamax indices, we propose different continuous-time stochastic processes to model their dynamics. The models go beyond the standard geometric Brownian motion, and incorporate observed effects like heavy-tailed returns, stochastic volatility and memory. In particular, we suggest stochastic dynamics based on exponential Levy processes with normal inverse Gaussian distributed logarithmic returns. The Barndorff-Nielsen and Shephard stochastic volatility model is shown to capture time-varying volatility in the data. Finally, continuous-time autoregressive processes provide a class of models sufficiently rich to incorporate short-term persistence …

Recensione a Lévy J. (a cura di), Inventare il mondo. Una geografia della mondializzazione, Bruno Mondadori, Milano-Torino, 2010

2012

Recensione al volume di Lévy

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.

Econophysics: Scaling and its breakdown in finance

1997

We discuss recent empirical results obtained by analyzing high-frequency data of a stock market index, the Standard and Poor’s 500. We focus on the scaling properties and on its breakdown of the index dynamics. A simple stochastic model, the truncated Levy flight, is illustrated. Successes and limitations of this model are presented. A discussion about similarities and differences between the scaling properties observed in financial markets and in fully developed turbulence is also provided.

Josephson-based Threshold Detector for Lévy-Distributed Current Fluctuations

2019

We propose a threshold detector for Lévy-distributed fluctuations based on a Josephson junction. The Lévy-noise current added to a linearly ramped bias current results in clear changes in the distribution of switching currents out of the zero-voltage state of the junction. We observe that the analysis of the cumulative distribution function of the switching currents supplies information on both the characteristics' shape parameter α of the Lévy statistics. Moreover, we discuss a theoretical model, which allows characteristic features of the Lévy fluctuations to be extracted from a measured distribution of switching currents. In view of these results, this system can effectively find an appl…

Voltage drop across Josephson junctions for L\'evy noise detection

2020

We propose to characterize L\'evy-distributed stochastic fluctuations through the measurement of the average voltage drop across a current-biased Josephson junction. We show that the noise induced switching process in the Josephson washboard potential can be exploited to reveal and characterize L\'evy fluctuations, also if embedded in a thermal noisy background. The measurement of the average voltage drop as a function of the noise intensity allows to infer the value of the stability index that characterizes L\'evy-distributed fluctuations. An analytical estimate of the average velocity in the case of a L\'evy-driven escape process from a metastable state well agrees with the numerical calc…

Lifetime of the superconductive state in long Josephson junctions in presence of non-Gaussian noise sources

2012

The effects of Lévy noise sources on the transient dynamics of long Josephson junctions (LJJ) are investigated in the presence of both a periodical current signal and a noise source with Gaussian, Cauchy-Lorentz or Levy-Smirnov probability distributions. In particular, by numerically integrating the Sine-Gordon equation, the mean escape time (MET) from the superconductive metastable state is obtained as a function both of the frequency of the periodical force and amplitude of the noise signal. We find resonant activation (RA) and noise enhanced stability (NES). Significative changes in RA and NES are observed by using Lévy noise sources with different statistics. MET is also studied as a fu…