Search results for "brownian motion"
showing 10 items of 177 documents
Scaling and data collapse for the mean exit time of asset prices
2005
We study theoretical and empirical aspects of the mean exit time of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a quadratic scaling law and it has associated a pre-factor which is specific to the analyzed stock. We perform a series of statistical tests to determine which kind of correlation are responsible for this specificity. The main contribution is associated with the autocorrelation property of stock returns. We introduce and solve analytically both a two-state and a three-state Markov chain models. The analytical results obtained with the two-state Markov chain model …
Mean Escape Time in a System with Stochastic Volatility
2007
We study the mean escape time in a market model with stochastic volatility. The process followed by the volatility is the Cox Ingersoll and Ross process which is widely used to model stock price fluctuations. The market model can be considered as a generalization of the Heston model, where the geometric Brownian motion is replaced by a random walk in the presence of a cubic nonlinearity. We investigate the statistical properties of the escape time of the returns, from a given interval, as a function of the three parameters of the model. We find that the noise can have a stabilizing effect on the system, as long as the global noise is not too high with respect to the effective potential barr…
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-…
A partially reflecting random walk on spheres algorithm for electrical impedance tomography
2015
In this work, we develop a probabilistic estimator for the voltage-to-current map arising in electrical impedance tomography. This novel so-called partially reflecting random walk on spheres estimator enables Monte Carlo methods to compute the voltage-to-current map in an embarrassingly parallel manner, which is an important issue with regard to the corresponding inverse problem. Our method uses the well-known random walk on spheres algorithm inside subdomains where the diffusion coefficient is constant and employs replacement techniques motivated by finite difference discretization to deal with both mixed boundary conditions and interface transmission conditions. We analyze the global bias…
A Theoretical Model to Describe the Motion of Aerosol Particles Due to the Combined Action of Inertia, Brownian Diffusion and Phoretic and Electric F…
1978
Abstract General principles of non-equilibrium thermodynamics are used to formulate a model which describes the motion of aerosol particles affected simultaneously by Brownian diffusion, inertial impaction, electric forces and phoretic forces. The theory presented applies to an ideal mixture consisting of dry air, water vapor and aerosol particles where temperature, pressure as well as vapor and particle concentration inhomogeneities are to be considered. In addition, the system is subjected to the earth's gravity, to an external electric field as well as to a Coulomb force due to a charged collecting water drop. The basic model assumptions are as follows: 1) the diffusive kinetic energy of…
Bidirectional random motion driven by globally coupled noisy active elements in an electric field
2004
The assembly of the insulating Brownian particles globally coupled due to the macroscopic flow of the liquid with low conductivity has transitions between the states of random motion and random bidirectional and unidirectional motion. The threshold values of the parameters for the transition to random bidirectional motion is found by the effective field method and correspond to those found by Brownian dynamics. The behavior of the assembly is similar to the behavior of different active multistable systems.
Collective forces in scalar active matter.
2020
Large-scale collective behavior in suspensions of many particles can be understood from the balance of statistical forces emerging beyond the direct microscopic particle interactions. Here we review some aspects of the collective forces that can arise in suspensions of self-propelled active Brownian particles: wall forces under confinement, interfacial forces, and forces on immersed bodies mediated by the suspension. Even for non-aligning active particles, these forces are intimately related to a non-uniform polarization of particle orientations induced by walls and bodies, or inhomogeneous density profiles. We conclude by pointing out future directions and promising areas for the applicati…
Brownian dynamics simulations of colloidal hard spheres. Effects of sample dimensionality on self-diffusion
1994
The self-diffusion coefficients of colloidal hard spheres were determined by Brownian dynamics (BD) computer simulations using a new efficient algorithm for treatment of the hard-sphere interactions. Calculations were done on an Apple PC type MacIIcx and on a Micro VAX 3000, considering samples in two and three dimensions at varying particle concentrations. Our results in three dimensions are compared with experimental results from our own group which were obtained by forced Rayleigh scattering (FRS), and with numerical results from a dynamical Monte Carlo simulation by Cichocki and Hinsen. Good agreement with the latter was found for particle volume fractions up to 0.40. Differences in the…
Dynamic Self-assembly of Non-Brownian Spheres.
2017
International audience; Granular self-assembly of confined non-Brownian spheres under gravity is studied by Molecular Dynamics simulations. Starting from a disordered phase, dry or cohesive spheres organize, by vibrational an-nealing into BCT or FCC structures, respectively. During the self-assembling process, isothermal and isodense points are observed. The existence of such points indicates that both granular temperature and packing fraction undergo an inversion process. Around the isothermal point, a sudden growth of beads having the maximum coordination number takes place. We show by a density fluctuation analysis that a transition form a disordered phase to a crystalline structure may …
Strain pattern in supercooled liquids
2016
Investigations of strain correlations at the glass transition reveal unexpected phenomena. The shear strain fluctuations show an Eshelby-strain pattern ($\,\sim \cos{(4\theta)}/r^2\,$), characteristic for elastic response, even in liquids at long times [1]. We address this using a mode-coupling theory for the strain fluctuations in supercooled liquids and data from both, video microscopy of a two-dimensional colloidal glass former and simulations of Brownian hard disks. We show that long-ranged and long-lived strain-signatures follow a scaling law valid close to the glass transition. For large enough viscosities, the Eshelby-strain pattern is visible even on time scales longer than the stru…