Results 21 to 30 of about 696 (54)
Stochastic volatility and leverage effect [PDF]
, 2002 We prove that a wide class of correlated stochastic volatility models exactly measure an empirical fact in which past returns are anticorrelated with future volatilities: the so-called ``leverage effect''.
A. Dragulescu +20 more
core +3 more sources
Escape rate of an active Brownian particle over a potential barrier
, 2012 We study the dynamics of an active Brownian particle with a nonlinear friction function located in a spatial cubic potential. For strong but finite damping, the escape rate of the particle over the spatial potential barrier shows a nonmonotonic ...
Burada, P. S., Lindner, B.
core +1 more source
Cooling of a mirror by radiation pressure [PDF]
, 1999 We describe an experiment in which a mirror is cooled by the radiation pressure of light. A high-finesse optical cavity with a mirror coated on a mechanical resonator is used as an optomechanical sensor of the Brownian motion of the mirror.
A. Abramovici +20 more
core +2 more sources
Role of anisotropy for protein-protein encounter [PDF]
, 2010 Protein-protein interactions comprise both transport and reaction steps. During the transport step, anisotropy of proteins and their complexes is important both for hydrodynamic diffusion and accessibility of the binding site.
Korn, Christian B. +2 more
core +1 more source
Recurrence and Polya number of general one-dimensional random walks
, 2010 The recurrence properties of random walks can be characterized by P\'{o}lya number, i.e., the probability that the walker has returned to the origin at least once.
+16 more
core +1 more source
A statistical analysis of product prices in online markets [PDF]
, 2009 We empirically investigate fluctuations in product prices in online markets by using a tick-by-tick price data collected from a Japanese price comparison site, and find some similarities and differences between product and asset prices. The average price
A.A. Tsonis +10 more
core +2 more sources
Perpetual American options within CTRW's
, 2007 Continuous-time random walks are a well suited tool for the description of market behaviour at the smallest scale: the tick-to-tick evolution. We will apply this kind of market model to the valuation of perpetual American options: derivatives with no ...
Barone-Adesi +13 more
core +1 more source
Random Walks on Hyperspheres of Arbitrary Dimensions
, 2004 We consider random walks on the surface of the sphere $S_{n-1}$ ($n \geq 2$) of the $n$-dimensional Euclidean space $E_n$, in short a hypersphere. By solving the diffusion equation in $S_{n-1}$ we show that the usual law $ \varpropto t $ valid in $E_{n-1}
Caillol, Jean-Michel
core +2 more sources
Coarse-grained model of entropic allostery [PDF]
, 2004 Many signaling functions in molecular biology require proteins to bind to substrates such as DNA in response to environmental signals such as the simultaneous binding to a small molecule. Examples are repressor proteins which may transmit information via
A. Cooper +13 more
core +3 more sources
Singular point characterization in microscopic flows
, 2007 We suggest an approach to microrheology based on optical traps in order to measure fluid fluxes around singular points of fluid flows. We experimentally demonstrate this technique, applying it to the characterization of controlled flows produced by a set
A. Belanger +5 more
core +1 more source