Search results for "Stochastic Proce"
showing 10 items of 349 documents
Local Granger causality
2021
Granger causality is a statistical notion of causal influence based on prediction via vector autoregression. For Gaussian variables it is equivalent to transfer entropy, an information-theoretic measure of time-directed information transfer between jointly dependent processes. We exploit such equivalence and calculate exactly the 'local Granger causality', i.e. the profile of the information transfer at each discrete time point in Gaussian processes; in this frame Granger causality is the average of its local version. Our approach offers a robust and computationally fast method to follow the information transfer along the time history of linear stochastic processes, as well as of nonlinear …
Multiscale analysis of information dynamics for linear multivariate processes.
2016
In the study of complex physical and physiological systems represented by multivariate time series, an issue of great interest is the description of the system dynamics over a range of different temporal scales. While information-theoretic approaches to the multiscale analysis of complex dynamics are being increasingly used, the theoretical properties of the applied measures are poorly understood. This study introduces for the first time a framework for the analytical computation of information dynamics for linear multivariate stochastic processes explored at different time scales. After showing that the multiscale processing of a vector autoregressive (VAR) process introduces a moving aver…
Online shortest paths with confidence intervals for routing in a time varying random network
2018
International audience; The increase in the world's population and rising standards of living is leading to an ever-increasing number of vehicles on the roads, and with it ever-increasing difficulties in traffic management. This traffic management in transport networks can be clearly optimized by using information and communication technologies referred as Intelligent Transport Systems (ITS). This management problem is usually reformulated as finding the shortest path in a time varying random graph. In this article, an online shortest path computation using stochastic gradient descent is proposed. This routing algorithm for ITS traffic management is based on the online Frank-Wolfe approach.…
Classical and Quantum Annealing in the Median of Three Satisfiability
2011
We determine the classical and quantum complexities of a specific ensemble of three-satisfiability problems with a unique satisfying assignment for up to N = 100 and 80 variables, respectively. In the classical limit, we employ generalized ensemble techniques and measure the time that a Markovian Monte Carlo process spends in searching classical ground states. In the quantum limit, we determine the maximum finite correlation length along a quantum adiabatic trajectory determined by the linear sweep of the adiabatic control parameter in the Hamiltonian composed of the problem Hamiltonian and the constant transverse field Hamiltonian. In the median of our ensemble, both complexities diverge e…
Progressive Stochastic Binarization of Deep Networks
2019
A plethora of recent research has focused on improving the memory footprint and inference speed of deep networks by reducing the complexity of (i) numerical representations (for example, by deterministic or stochastic quantization) and (ii) arithmetic operations (for example, by binarization of weights). We propose a stochastic binarization scheme for deep networks that allows for efficient inference on hardware by restricting itself to additions of small integers and fixed shifts. Unlike previous approaches, the underlying randomized approximation is progressive, thus permitting an adaptive control of the accuracy of each operation at run-time. In a low-precision setting, we match the accu…
Tick size and price diffusion
2010
A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit orders can be placed, the bid-ask spread, etc. This is the realm of market microstructure and there is a vast literature on the role of tick size on market microstructure. However, tick size can also affect price properties at longer time scales, and relatively less is known about the effect of tick size on the statistical properties of prices. The present paper is divided in two parts. In the first we review the effect of tick size change on the market microstructure and the diffusion properties…
How markets slowly digest changes in supply and demand
2008
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly incorporated into prices. Because revealed market liquidity is extremely low, large orders to buy or sell can only be traded incrementally, over periods of time as long as months. As a result order flow is a highly persistent long-memory process. Maintaining compatibility with market efficiency has profound consequences on price formation, on the dynamics of liquidity, and on the nature of impact. We review a body of theory that makes detailed quantitative pr…
A generalized method for the design of ergodic sum-of-cisoids simulators for multiple uncorrelated rayleigh fading channels
2010
In this paper, we present a new method for the design of ergodic sum-of-sinusoids (SOS) simulation models for multiple uncorrelated Rayleigh fading channels. The method, which is intended for a special class of SOS models, known as sum-of-cisoids (SOC) models, can be used to generate an arbitrary number of uncorrelated Rayleigh fading waveforms with specified Doppler power spectral characteristics. This is in contrast to the SOS simulators currently available in the open literature that have been designed under the isotropic scattering assumption, which are limited to the simulation of uncorrelated channels characterized by Clarke's U-shaped Doppler power spectral density (DPSD). The excell…
Seismically induced, non-stationary hydrodynamic pressure in a dam-reservoir system
2003
Stochastic seismic analysis of hydrodynamic pressure in a dam-reservoir system is presented in this paper. The analysis is conducted assuming infinite reservoir compressible fluid and modeling seismic acceleration as a normal zero-mean stochastic process obtained by Penzien filter. The non-homogeneous boundary conditions associated to the problem have been incorporated into the equation of pressure wave scattering in the form of a forcing function turning the non-homogeneous boundary value problem into an homogeneous one. Solution obtained via modal analysis in time-domain is coupled with the use of classical Ito stochastic differential calculus to characterize the stochastic hydrodynamic p…
Stability in a System subject to Noise with Regulated Periodicity
2011
The stability of a simple dynamical system subject to multiplicative one-side pulse noise with hidden periodicity is investigated both analytically and numerically. The stability analysis is based on the exact result for the characteristic functional of the renewal pulse process. The influence of the memory effects on the stability condition is analyzed for two cases: (i) the dead-time-distorted poissonian process, and (ii) the renewal process with Pareto distribution. We show that, for fixed noise intensity, the system can be stable when the noise is characterized by high periodicity and unstable at low periodicity.