Considering the time scales of global information and personal reaction, we study the role of dynamic response time in the evolution of collective behavior in an evolving market. The insensitiveness to the market information makes the population cluster around a kind of extreme behavior, in...

Daily records of international crude oil prices are studied using multifractal analysis methods. Rescaled range Hurst analysis provides evidence that the crude oil market is a persistent process with long-run memory effects. On the other hand, height–height correlation analysis reveals...

This paper explores and compares the empirical distribution of the US dollar–deutsche mark exchange rate returns with well-known continuous-times processes at different frequencies. We use a variety of parametric models to simulate the unconditional density of the exchange rate returns at...

In this paper, based on the detrended fluctuation analysis (DFA) method and the detrended cross-correlation analysis (DCCA) method, we propose an improved method of minimum-variance (MV) hedge ratio, i.e., the detrended minimum-variance (D-MV) hedge ratio, which can measure the hedge ratio at...

In this paper, the exponential synchronization problem for a class of competitive neural networks is investigated. Moreover, without assuming the active functions to be differentiable and bounded, some exponential synchronization criteria are devised by Lyapunov functionals, linear matrix...

Currency can be considered as a ruler for values of commodities. Then the price is the measured value by the ruler. We can suppose that inflation and variation of exchange rate are caused by variation of the scale of the ruler. In geometry, variation of the scale means that the metric is...

The Fokker-Planck equation of a system of several Brownian particles immersed in a non-equilibrium bath of light particles is derived from first principles of statistical mechanics using time-dependent projection operators. The Fokker-Planck equation contains the usual equilibrium streaming and...

We study H-theorems associated with the Brownian motion with constant drift on the hyperbolic plane. Since this random process satisfies a linear Fokker–Planck equation, it is easy to show that, up to a proper scaling, its Shannon entropy is increasing over time. As a consequence, its...

We consider an exactly soluble model of a set of coupled harmonic oscillators, which was presented in a previous work. We show numerical results for the time evolution of the main dynamical quantities and compare them with analytical results.

Brownian motion of a parametric oscillator with asymmetric square waves which take a spring constant during a given length of time and suddenly change to a different value with a different length of time-duration has been investigated analytically with a view to the Paul trap in contrast to...