Search results for "stochastic"
showing 10 items of 1018 documents
Stochastic seismic analysis of hydrodynamic pressure in dam reservoir systems
2002
Hydrodynamic seismic-induced pressure requires careful consideration in the aseismic design of dams. Effects induced by earthquake excitation may cause many-fold increments of hydrostatic pressure. In this study earthquake excitation has been modelled by means of random process theory obtaining the response statistics of a dam-reservoir dynamical system. The analysis has been conducted assuming a rigid retaining wall of the reservoir and dissipative fluid. Copyright © 2002 John Wiley & Sons, Ltd.
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…
Volatility Effects on the Escape Time in Financial Market Models
2008
We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times with that obtained from real market data. Afterwards we analyze in detail the effect both of noise and different initial conditions on the escape time in a market model with stochastic volatility and a cubic nonlinearity. For this model we compare the PF of the stock price returns, the PF of the volatility and the return correlation with the same statistical characteristics obtained from real market data.
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-…
STRUCTURAL INSTABILITY IN FERROELECTRICS: SUPERIMPOSING HAMILTONIAN AND STOCHASTIC DYNAMICS
2008
ABSTRACT Structural instability of ferroelectrics distinguished by appearance of coexisting phases and spatial inhomogeneity is at variance with the predictions of statistics in the canonical ensemble. A more refined description includes ergodicity breaking which become apparent at critical temperature when the system resides in metastable state and its development lead to one of possible minimum energy states. In this study the domain growth and switching is reproduced within the framework of Fokker-Planck approach. The mathematical technique is developed for empiric Landau Hamiltonians and improved for application to first principles effective Hamiltonians with supercells and elementary l…
Strong Quantum Solutions in Conflicting Interest Bayesian Games
2017
Quantum entanglement has been recently demonstrated as a useful resource in conflicting-interest games of incomplete information between two players, Alice and Bob [Pappa et al., Phys. Rev. Lett. 114, 020401 (2015)]. The general setting for such games is that of correlated strategies where the correlation between competing players is established through a trusted common adviser; however, players need not reveal their input to the adviser. So far, the quantum advantage in such games has been revealed in a restricted sense. Given a quantum correlated equilibrium strategy, one of the players can still receive a higher than quantum average payoff with some classically correlated equilibrium str…
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…
Response-theory for nonresonant hole burning: Stochastic dynamics
2001
Using non-linear response theory the time signals relevant for nonresonant spectral hole burning are calculated. The step-reponse function following the application of a high amplitude ac field (pump) and an intermediate waiting period is shown to be the sum of the equilibrium integrated response and a modification due to the preparation via ac irradiation. Both components are calculated for a class of stochastic dipole reorientation models. The results indicate that the method can be used for a clearcut distinction of homogeneously and heterogeneously broadened susceptibilities as they occur in the relaxation of supercooled liquids or other disordered materials. This is because only in the…
Stochastic Models of Higher Order Dielectric Responses
2018
The nonlinear response for systems exhibiting Markovian stochastic dynamics is calculated using time-dependent perturbation theory for the Green’s function, the conditional probability to find the system in a given configuration at a certain time given it was in another configuration at an earlier time. In general, the Green’s function obeys a so-called master-equation for the balance of the gain and loss of probability in the various configurations of the system. Using various models for the reorientational motion of molecules it is found that the scaled modulus of the third-order response, \(X_3\), shows a hump-like behavior for random rotational motion in some cases and it exhibits “triv…