Search results for "Stochastic processe"
showing 10 items of 111 documents
Role of noise in a market model with stochastic volatility
2006
We study a generalization of the Heston model, which consists of two coupled stochastic differential equations, one for the stock price and the other one for the volatility. We consider a cubic nonlinearity in the first equation and a correlation between the two Wiener processes, which model the two white noise sources. This model can be useful to describe the market dynamics characterized by different regimes corresponding to normal and extreme days. We analyze the effect of the noise on the statistical properties of the escape time with reference to the noise enhanced stability (NES) phenomenon, that is the noise induced enhancement of the lifetime of a metastable state. We observe NES ef…
Bazaar economics
2015
Competitive Equilibrium theory has been a widely accepted and extensively used cornerstone in economics for over a century. Here, we suggest a complementary model—motivated by the haggling in a bazaar—that offers a useful, first-principle account of market behavior that better accounts for the observed outcomes in forty market experiments. The Bazaar model uses simple stochastic processes to drive the matching of traders and the determination of price. We show that as agents become more impatient, the system tends toward more Competitive-Equilibrium-like outcomes.
An enhanced memetic differential evolution in filter design for defect detection in paper production.
2008
This article proposes an Enhanced Memetic Differential Evolution (EMDE) for designing digital filters which aim at detecting defects of the paper produced during an industrial process. Defect detection is handled by means of two Gabor filters and their design is performed by the EMDE. The EMDE is a novel adaptive evolutionary algorithm which combines the powerful explorative features of Differential Evolution with the exploitative features of three local search algorithms employing different pivot rules and neighborhood generating functions. These local search algorithms are the Hooke Jeeves Algorithm, a Stochastic Local Search, and Simulated Annealing. The local search algorithms are adap…
Prediction of tyrosinase inhibition activity using atom-based bilinear indices.
2007
A set of novel atom-based molecular fingerprints is proposed based on a bilinear map similar to that defined in linear algebra. These molecular descriptors (MDs) are proposed as a new means of molecular parametrization easily calculated from 2D molecular information. The nonstochastic and stochastic molecular indices match molecular structure provided by molecular topology by using the kth nonstochastic and stochastic graph-theoretical electronic-density matrices, M(k) and S(k), respectively. Thus, the kth nonstochastic and stochastic bilinear indices are calculated using M(k) and S(k) as matrix operators of bilinear transformations. Chemical information is coded by using different pair com…
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-…
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
Effects of Lévy noise on the dynamics of sine-Gordon solitons in long Josephson junctions
2015
We numerically investigate the generation of solitons in current-biased long Josephson junctions in relation to the superconducting lifetime and the voltage drop across the device. The dynamics of the junction is modelled with a sine-Gordon equation driven by an oscillating field and subject to an external non-Gaussian noise. A wide range of $\alpha$-stable L\'evy distributions is considered as noise source, with varying stability index $\alpha$ and asymmetry parameter $\beta$. In junctions longer than a critical length, the mean switching time (MST) from superconductive to the resistive state assumes a values independent of the device length. Here, we demonstrate that such a value is direc…
Strongly super-Poisson statistics replaced by a wide-pulse Poisson process: The billiard random generator
2021
Abstract In this paper we present a study on random processes consisting of delta pulses characterized by strongly super-Poisson statistics and calculate its spectral density. We suggest a method for replacing a strongly super-Poisson process with a wide-pulse Poisson process, while demonstrating that these two processes can be set in such a way to have similar spectral densities, the same mean values, and the same correlation times. We also present a billiard system that can be used to generate random pulse noise of arbitrary statistical properties. The particle dynamics is considered in terms of delta and wide pulses simultaneously. The results of numerical experiments with the billiard s…
Stochastic seismic analysis of structures with nonlinear viscous dampers
2007
Fluid damper devices inserted in buildings or bridges are commonly used as energy sinks for seismic protection. In the response analysis of structures with filled damper devices the main problem exists in the strong nonlinear behavior of such equipment, as a consequence the differential equation of motion remains nonlinear and the response spectrum analysis still cannot be applied. In this note, by using the concept of power spectral density function coherent with the elastic response spectrum and by using the statistical linearization technique, expressions for finding the equivalent linear damping have been found. Comparisons with results obtained by Monte Carlo simulations confirm that f…
A new representation of power spectral density and correlation function by means of fractional spectral moments
2009
In this paper, a new perspective for the representation of both the power spectral density and the correlation function by a unique class of function is introduced. We define the moments of order gamma (gamma being a complex number) of the one sided power spectral density and we call them Fractional Spectral Moments (FSM). These complex quantities remain finite also in the case in which the ordinary spectral moments diverge, and are able to represent the whole Power Spectral Density and the corresponding correlation function.