An empirical and theoretical analysis of financial crises is conducted based on statistical mechanics in non-equilibrium physics. The transition probability provides a new tool for diagnosing a changing market. Both calm and turbulent markets can be described by the birth–death process for...

We consider the widely used multinomial logit model with i.i.d. Gumbel random terms. Transition choice probabilities, i.e. probabilities of choosing alternative i in the first choice and alternative j in the second, are available in analytic form in the two extreme cases where the random terms...

A general statistical model for ordinal or rating data, which includes some existing approaches as special cases, is proposed. The focus is on the CUB models and a new class of models, called Nonlinear CUB, which generalize CUB. In the framework of the Nonlinear CUB models, it is possible to...

The paper by Ji and Wang (J Technol Transf, <CitationRef CitationID="CR25">2013</CitationRef>) calls new attention on the analysis of the effects of the direction of technological change. The aim of this paper is to better articulate and test the theoretical arguments that the direction of technological changes has specific effects on the...</citationref>

We generalize the Ornstein–Uhlenbeck (OU) process using Doob’s theorem. We relax the Gaussian and stationary conditions, assuming a linear and time-homogeneous process. The proposed generalization retains much of the simplicity of the original stochastic process, while exhibiting a somewhat...

The sub-prime crisis in the U.S. reveals the limitation of diversification strategy based on mean–variance analysis. A regime switch and a turning point can be observed using a high moment representation and time-dependent transition probability. Up–down price movements are induced by...

This paper examines the evolution of the patterns of specialisation of 11 Euro area countries in the period 1990–2008, by analysing their comparative and technological advantages. We estimate conditional densities and Markov transition probabilities to examine both the external shape of the...

The effect of climate change on water resources is an important challenge. To analyze the negative effects of this phenomenon and recommend adaptive measures, it is necessary to assess streamflow simulation scenarios and streamflow transition probabilities in future periods. This paper employs...