Search results for "Stochastic Proce"

The non-random walk of stock prices: The long-term correlation between signs and sizes

2007

We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this benchmark model is unable to reproduce the diffusion properties of real prices. Specifically, we find that for one hour intervals this model consistently over-predicts the volatility of real price series by about 70%, and that this effect becomes stronger as the length of the intervals increases. By selectively shuffling some components of the data while preserving others we are able to show that this discrepancy is caused by a subtle but long-range non-…

Unequal rapidity correlators in the dilute limit of JIMWLK

2019

We study unequal rapidity correlators in the stochastic Langevin picture of Jalilian-Marian-Iancu-McLerran-Weigert-Leonidov-Kovner (JIMWLK) evolution in the Color Glass Condensate effective field theory. We discuss a diagrammatic interpretation of the long-range correlators. By separately evolving the Wilson lines in the direct and complex conjugate amplitudes, we use the formalism to study two-particle production at large rapidity separations. We show that the evolution between the rapidities of the two produced particles can be expressed as a linear equation, even in the full nonlinear limit. We also show how the Langevin formalism for two-particle correlations reduces to a BFKL picture i…

Limits in the characteristic function description of non-Lindblad-type open quantum systems

2005

In this paper I investigate the usability of the characteristic functions for the description of the dynamics of open quantum systems focussing on non-Lindblad-type master equations. I consider, as an example, a non-Markovian generalized master equation containing a memory kernel which may lead to nonphysical time evolutions characterized by negative values of the density matrix diagonal elements [S.M. Barnett and S. Stenholm, Phys. Rev. A {\bf 64}, 033808 (2001)]. The main result of the paper is to demonstrate that there exist situations in which the symmetrically ordered characteristic function is perfectly well defined while the corresponding density matrix loses positivity. Therefore no…

The Ornstein-Uhlenbeck Process

2009

Accelerated fluctuation analysis by graphic cards and complex pattern formation in financial markets

2009

The compute unified device architecture is an almost conventional programming approach for managing computations on a graphics processing unit (GPU) as a data-parallel computing device. With a maximum number of 240 cores in combination with a high memory bandwidth, a recent GPU offers resources for computational physics. We apply this technology to methods of fluctuation analysis, which includes determination of the scaling behavior of a stochastic process and the equilibrium autocorrelation function. Additionally, the recently introduced pattern formation conformity (Preis T et al 2008 Europhys. Lett. 82 68005), which quantifies pattern-based complex short-time correlations of a time serie…

Noise-induced enhancement of stability in a metastable system with damping

2010

5 páginas, 5 figuras.-- PACS number(s): 05.40.-a, 02.50.-r

Noise effects in two different biological systems

2009

We investigate the role of the colored noise in two biological systems: (i) adults of Nezara viridula (L.) (Heteroptera: Pentatomidae), and (ii) polymer translocation. In the first system we analyze, by directionality tests, the response of N. viridula individuals to subthreshold signals plus noise in their mating behaviour. The percentage of insects that react to the subthreshold signal shows a nonmonotonic behaviour, characterized by the presence of a maximum, as a function of the noise intensity. This is the signature of the non-dynamical stochastic resonance phenomenon. By using a “soft” threshold model we find that the maximum of the input-output cross correlation occurs in the same ra…

One-Dimensional Diffusion

2009

Modular Schrödinger equation and dynamical duality.

2008

We discuss quite surprising properties of the one-parameter family of modular (Auberson and Sabatier (1994)) nonlinear Schr\"{o}dinger equations. We develop a unified theoretical framework for this family. Special attention is paid to the emergent \it dual \rm time evolution scenarios which, albeit running in the \it real time \rm parameter of the pertinent nonlinear equation, in each considered case, may be mapped among each other by means of an "imaginary time" transformation (more seriously, an analytic continuation in time procedure).

Noise-induced effects in nonlinear relaxation of condensed matter systems

2015

Abstract Noise-induced phenomena characterise the nonlinear relaxation of nonequilibrium physical systems towards equilibrium states. Often, this relaxation process proceeds through metastable states and the noise can give rise to resonant phenomena with an enhancement of lifetime of these states or some coherent state of the condensed matter system considered. In this paper three noise induced phenomena, namely the noise enhanced stability, the stochastic resonant activation and the noise-induced coherence of electron spin, are reviewed in the nonlinear relaxation dynamics of three different systems of condensed matter: (i) a long-overlap Josephson junction (JJ) subject to thermal fluctuat…