We report on initial studies of a quantum field theory defined on a lattice with multi-ladder geometry and the dilation group as a local gauge symmetry. The model is relevant in the cross-disciplinary area of econophysics. A corresponding proposal by Ilinski aimed at gauge modeling in...

This study examines the relative importance of liquidity risk for the time-series and cross-section of stock returns in the UK. We propose a simple way to capture the multidimensionality of illiquidity. Our analysis indicates that existing illiquidity measures have considerable asset specific...

This work analyzes the classical statistical mechanics associated to phase-space curves in three dimensions. Special attention is paid to the entropic force. Strange effects like confinement, hard core, and asymptotic freedom are uncovered.

In this paper we present a bi-stable neuronal model consistent with the Gibbs distribution. Our approach utilizes a formalism used in stochastic (Boltzmann) machines with a bistable-neuron algorithm in which each neuron can exist in either an ON or an OFF state. The transition between the...

To better understand the characteristics of car–truck heterogeneous traffic flow that is very common on freeway, a cellular automata-based traffic flow model is proposed for single lane traffic in this paper. The proposed model discriminates the four types of car–truck following combination,...

Closed solutions to the Fokker–Planck equation with linear and quadratic diffusion terms have been generated. These are applied to forecasting time series to generate a probability distribution for the next point, rather than a single point estimate as in autoregression. The parameters in...

Quantitative understanding of human movement behaviors would provide helpful insights into the mechanisms of many socioeconomic phenomena. In this paper, we investigate human mobility patterns through analyzing taxi-trace datasets collected from five metropolitan cities in two countries. We...

This paper examines the accuracy of implied volatility and GARCH forecasted volatility to predict the behavior of realized volatility. The methodology adopted addresses the information content, the bias, the efficiency and the efficiency forecast of the predictor.

This paper develops a cumulative entropy method (CEM) to recognize the most suitable distribution for model error. In terms of the CEM, the Lévy stable distribution is employed to capture the statistical properties of model error. The strategies are tested on 250 experiments of axially loaded...

The coupled-product and coupled-exponential of the generalized calculus of nonextensive statistical mechanics are defined for multivariate functions. The nonlinear statistical coupling is indexed such that κd=κ/1+dκ, where d is the dimension of the argument of the multivariate...