Search results for "Probability Distribution"
showing 10 items of 263 documents
Asset Return Dynamics under Alternative Learning Schemes
2009
In this paper we design an artificial financial market where endogenous volatility is created assigning to the agents diverse prior beliefs about the joint distribution of returns, and, over time, making agents rationally update their beliefs using common public information. We analyze the asset price dynamics generated under two learning environments: one where agents assume that the joint distribution of returns is IID, and another where agents believe in the existence of regimes in the joint distribution of asset returns. We show that the regime switching learning structure can generate all the most common stylized facts of financial markets: fat tails and long-range dependence in volati…
Probabilistic foundations of contextuality
2017
Contextuality is usually defined as absence of a joint distribution for a set of measurements (random variables) with known joint distributions of some of its subsets. However, if these subsets of measurements are not disjoint, contextuality is mathematically impossible even if one generally allows (as one must) for random variables not to be jointly distributed. To avoid contradictions one has to adopt the Contextuality-by-Default approach: measurements made in different contexts are always distinct and stochastically unrelated to each other. Contextuality is reformulated then in terms of the (im)possibility of imposing on all the measurements in a system a joint distribution of a particul…
Quantum Entanglement and the Issue of Selective Influences in Psychology: An Overview
2012
Similar formalisms have been independently developed in psychology, to deal with the issue of selective influences (deciding which of several experimental manipulations selectively influences each of several, generally non-independent, response variables), and in quantum mechanics (QM), to deal with the EPR entanglement phenomena (deciding whether an EPR experiment allows for a "classical" account). The parallels between these problems are established by observing that any two noncommuting measurements in QM are mutually exclusive and can therefore be treated as analogs of different values of one and the same input. Both problems reduce to that of the existence of a jointly distributed syst…
Contextuality in canonical systems of random variables
2017
Random variables representing measurements, broadly understood to include any responses to any inputs, form a system in which each of them is uniquely identified by its content (that which it measures) and its context (the conditions under which it is recorded). Two random variables are jointly distributed if and only if they share a context. In a canonical representation of a system, all random variables are binary, and every content-sharing pair of random variables has a unique maximal coupling (the joint distribution imposed on them so that they coincide with maximal possible probability). The system is contextual if these maximal couplings are incompatible with the joint distributions o…
Markov extensions for multi-dimensional dynamical systems
1999
By a result of F. Hofbauer [11], piecewise monotonic maps of the interval can be identified with topological Markov chains with respect to measures with large entropy. We generalize this to arbitrary piecewise invertible dynamical systems under the following assumption: the total entropy of the system should be greater than the topological entropy of the boundary of some reasonable partition separating almost all orbits. We get a sufficient condition for these maps to have a finite number of invariant and ergodic probability measures with maximal entropy. We illustrate our results by quoting an application to a class of multi-dimensional, non-linear, non-expansive smooth dynamical systems.
Dynamic force spectroscopy: analysis of reversible bond-breaking dynamics
2008
The problem of diffusive bond-dissociation in a double well potential under application of an external force is scrutinized. We compute the probability distribution of rupture forces and present a detailed discussion of the influence of finite rebinding probabilities on the dynamic force spectrum. In particular, we focus on barrier crossing upon extension, i.e. under linearly increased load, and upon relaxation starting from completely separated bonds. For large loading rates the rupture force and the rejoining force depend on the loading rate in the expected manner determined by the shape of the potential. For small loading rates the mean forces obtained from pull and relax modes approach …
Contextuality is About Identity of Random Variables
2014
Contextual situations are those in which seemingly "the same" random variable changes its identity depending on the conditions under which it is recorded. Such a change of identity is observed whenever the assumption that the variable is one and the same under different conditions leads to contradictions when one considers its joint distribution with other random variables (this is the essence of all Bell-type theorems). In our Contextuality-by-Default approach, instead of asking why or how the conditions force "one and the same" random variable to change "its" identity, any two random variables recorded under different conditions are considered different "automatically". They are never the…
Necessary and Sufficient Conditions for an Extended Noncontextuality in a Broad Class of Quantum Mechanical Systems
2015
The notion of (non)contextuality pertains to sets of properties measured one subset (context) at a time. We extend this notion to include so-called inconsistently connected systems, in which the measurements of a given property in different contexts may have different distributions, due to contextual biases in experimental design or physical interactions (signaling): a system of measurements has a maximally noncontextual description if they can be imposed a joint distribution on in which the measurements of any one property in different contexts are equal to each other with the maximal probability allowed by their different distributions. We derive necessary and sufficient conditions for th…
Quantum light depolarization: the phase-space perspective
2008
Quantum light depolarization is handled through a master equation obtained by coupling dispersively the field to a randomly distributed atomic reservoir. This master equation is solved by transforming it into a quasiprobability distribution in phase space and the quasiclassical limit is investigated.
Modelling the frequency distribution of inter-arrival times from daily precipitation time-series in North-West Italy
2018
Abstract The discrete three-parameter Lerch distribution is used to analyse the frequency distribution of inter-arrival times derived from 26 daily precipitation time-series, collected by stations located throughout a 28,000 km2 area in North-West Italy (altitudes ranging from 113 m to 2,170 m a.s.l.). The precipitation regime of these Alpine regions is very different (latitude 44.5 to 46.5 N) from the typical Mediterranean precipitation regime of the island of Sicily (latitude 37 to 38 N), where the Lerch distribution has already been tested and whose results are compared. In order to verify the homogeneity of the precipitation time series, the Pettitt test was preliminarily performed. In …