arXiv subjects

Bernardo Spagnolo

Publications and source records attributed to Bernardo Spagnolo.

67 records · Page 4Linked to original sources

arXiv2008

Volatility Effects on the Escape Time in Financial Market Models

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.

q-fin.ST↗

arXiv2008

Ecological Complex Systems

Main aim of this topical issue is to report recent advances in noisy nonequilibrium processes useful to describe the dynamics of ecological systems and to address the mechanisms of spatio-temporal pattern formation in ecology both from the experimental and theoretical points of view. This is in order to understand the dynamical behaviour of ecological complex systems through the interplay between nonlinearity, noise, random and periodic environmental interactions. Discovering the microscopic rules and the local interactions which lead to the emergence of specific global patterns or global dynamical behaviour and the noises role in the nonlinear dynamics is an important, key aspect to understand and then to model ecological complex systems.

physics.bio-ph↗

arXiv2008

Extinction statistics in N random interacting species

A randomly interacting N-species Lotka-Volterra system in the presence of a Gaussian multiplicative noise is analyzed. The investigation is focused on the role of this external noise into the statistical properties of the extinction times of the populations. The distributions show a Gaussian shape for each noise intensity value investigated. A monotonic behavior of the mean extinction time as a function of the noise intensity is found, while a nonmonotonic behavior of the width of the extinction time probability distribution characterizes the dynamical evolution.

cond-mat.stat-mech↗

arXiv2008

Monitoring noise-resonant effects in cancer growth influenced by external fluctuations and periodic treatment

In the paper we investigate a mathematical model describing the growth of tumor in the presence of immune response of a host organism. The dynamics of tumor and immune cells is based on the generic Michaelis-Menten kinetics depicting interaction and competition between the tumor and the immune system. The appropriate phenomenological equation modeling cell-mediated immune surveillance against cancer is of the predator-prey form and exhibits bistability within a given choice of the immune response-related parameters. Under the influence of weak external fluctuations, the model may be analyzed in terms of a stochastic differential equation bearing the form of an overdamped Langevin-like dynamics in the external quasi-potential represented by a double well. We analyze properties of the system within the range of parameters for which the potential wells are of the same depth and when the additional perturbation, modeling a periodic treatment, is insufficient to overcome the barrier height and to cause cancer extinction. In this case the presence of a small amount of noise can positively enhance the treatment, driving the system to a state of tumor extinction. On the other hand, however, the same noise can give rise to return effects up to a stochastic resonance behavior. This observation provides a quantitative analysis of mechanisms responsible for optimization of periodic tumor therapy in the presence of spontaneous external noise. Studying the behavior of the extinction time as a function of the treatment frequency, we have also found the typical resonant activation effect: For a certain frequency of the treatment, there exists a minimum extinction time.

physics.bio-ph↗

arXiv2006

Mean Escape Time in a System with Stochastic Volatility

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 barrier experienced by a fictitious Brownian particle. We compare the probability density function of the return escape times of the model with those obtained from real market data. We find that they fit very well.

cond-mat.stat-mech↗

arXiv2006

Hitting Time Distributions in Financial Markets

We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been performed on two sets of data from US markets. The first one is composed by daily price of 1071 stocks trade for the 12-year period 1987-1998, the second one is composed by high frequency data for 100 stocks for the 4-year period 1995-1998. We compare the probability distribution obtained by our empirical analysis with those obtained from different models for stock market evolution. Specifically by focusing on the statistical properties of the hitting times to reach a barrier or a given threshold, we compare the probability density function (PDF) of three models, namely the geometric Brownian motion, the GARCH model and the Heston model with that obtained from real market data. We will present also some results of a generalized Heston model.

physics.soc-ph↗

arXiv2005

Diffusion in Flashing Periodic Potentials

The one-dimensional overdamped Brownian motion in a symmetric periodic potential modulated by external time-reversible noise is analyzed. The calculation of the effective diffusion coefficient is reduced to the mean first passage time problem. We derive general equations to calculate the effective diffusion coefficient of Brownian particles moving in arbitrary supersymmetric potential modulated: (i) by external white Gaussian noise and (ii) by Markovian dichotomous noise. For both cases the exact expressions for the effective diffusion coefficient are derived. We obtain acceleration of diffusion in comparison with the free diffusion case for fast fluctuating potentials with arbitrary profile and for sawtooth potential in case (ii). In this case the parameter region where this effect can be observed is given. We obtain also a finite net diffusion in the absence of thermal noise. For rectangular potential the diffusion slows down in comparison with the case when particles diffuse freely, for all parameters of noise and of potential.

cond-mat.stat-mech↗

arXiv2004

Suppression of timing errors in short overdamped Josephson junctions

The influence of fluctuations and periodical driving on temporal characteristics of short overdamped Josephson junction is analyzed. We obtain the standard deviation of the switching time in the presence of a dichotomous driving force for arbitrary noise intensity and in the frequency range of practical interest. For sinusoidal driving the resonant activation effect has been observed. The mean switching time and its standard deviation have a minimum as a function of driving frequency. As a consequence the optimization of the system for fast operation will simultaneously lead to minimization of timing errors.

cond-mat.stat-mech↗

arXiv2004

Noise Enhanced Stability in Fluctuating Metastable States

We derive general equations for the nonlinear relaxation time of Brownian diffusion in randomly switching potential with a sink. For piece-wise linear dichotomously fluctuating potential with metastable state, we obtain the exact average lifetime as a function of the potential parameters and the noise intensity. Our result is valid for arbitrary white noise intensity and for arbitrary fluctuation rate of the potential. We find noise enhanced stability phenomenon in the system investigated: the average lifetime of the metastable state is greater than the time obtained in the absence of additive white noise. We obtain the parameter region of the fluctuating potential where the effect can be observed. The system investigated also exhibits a maximum of the lifetime as a function of the fluctuation rate of the potential.

cond-mat.stat-mech↗

arXiv2004

Noise Enhanced Stability

The noise can stabilize a fluctuating or a periodically driven metastable state in such a way that the system remains in this state for a longer time than in the absence of white noise. This is the noise enhanced stability phenomenon, observed experimentally and numerically in different physical systems. After shortly reviewing all the physical systems where the phenomenon was observed, the theoretical approaches used to explain the effect are presented. Specifically the conditions to observe the effect: (a) in systems with periodical driving force, and (b) in random dichotomous driving force, are discussed. In case (b) we review the analytical results concerning the mean first passage time and the nonlinear relaxation time as a function of the white noise intensity, the parameters of the potential barrier, and of the dichotomous noise.

cond-mat.stat-mech↗

arXiv2004

Escape Times in Fluctuating Metastable Potential and Acceleration of Diffusion in Periodic Fluctuating Potentials

The problems of escape from metastable state in randomly flipping potential and of diffusion in fast fluctuating periodic potentials are considered. For the overdamped Brownian particle moving in a piecewise linear dichotomously fluctuating metastable potential we obtain the mean first-passage time (MFPT) as a function of the potential parameters, the noise intensity and the mean rate of switchings of the dichotomous noise. We find noise enhanced stability (NES) phenomenon in the system investigated and the parameter region of the fluctuating potential where the effect can be observed. For the diffusion of the overdamped Brownian particle in a fast fluctuating symmetric periodic potential we obtain that the effective diffusion coefficient depends on the mean first-passage time, as discovered for fixed periodic potential. The effective diffusion coefficients for sawtooth, sinusoidal and piecewise parabolic potentials are calculated in closed analytical form.

cond-mat.stat-mech↗

arXiv2000

Linear and Nonlinear Experimental Regimes of Stochastic Resonance

We investigate the stochastic resonance phenomenon in a physical system based on a tunnel diode. The experimental control parameters are set to allow the control of the frequency and amplitude of the deterministic modulating signal over an interval of values spanning several orders of magnitude. We observe both a regime described by the linear response theory and the nonlinear deviation from it. In the nonlinear regime we detect saturation of the power spectral density of the output signal detected at the frequency of the modulating signal and a dip in the noise level of the same spectral density. When these effects are observed we detect a phase and frequency synchronization between the stochastic output and the deterministic input.

cond-mat.stat-mech↗

arXiv2000

Experimental Investigation of Resonant Activation

We experimentally investigate the escape from a metastable state over a fluctuating barrier of a physical system. The system is switching between two states under electronic control of a dichotomous noise. We measure the escape time and its probability density function as a function of the correlation rate of the dichotomous noise in a frequency interval spanning more than 4 frequency decades. We observe resonant activation, namely a minimum of the average escape time as a function of the correlation rate. We detect two regimes in the study of the shape of the escape time probability distribution: (i) a regime of exponential and (ii) a regime of non-exponential probability distribution.

cond-mat.stat-mech↗