Results 111 to 120 of about 10,083 (253)
Ergodic and mixing quantum channels in finite dimensions
New Journal of Physics, 2013 The paper provides a systematic characterization of quantum ergodic and mixing channels in finite dimensions and a discussion of their structural properties. In particular, we discuss ergodicity in the general case where the fixed point of the channel is
D Burgarth +4 more
doaj +1 more source
Tackling nonlinear price impact with linear strategies
Mathematical Finance, Volume 35, Issue 2, Page 422-440, April 2025.Abstract Empirical studies in various contexts find that the price impact of large trades approximately follows a power law with exponent between 0.4 and 0.7. Yet, tractable formulas for the portfolios that trade off predictive trading signals, risk, and trading costs in an optimal manner are only available for quadratic costs corresponding to linear ...
Xavier Brokmann +3 more
wiley +1 more source
Superposition Enhanced Nested Sampling
Physical Review X, 2014 The theoretical analysis of many problems in physics, astronomy, and applied mathematics requires an efficient numerical exploration of multimodal parameter spaces that exhibit broken ergodicity.
Stefano Martiniani +3 more
doaj +1 more source
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT Since the seminal contributions of Friedman and Schwartz and of Hendry and Ericsson, instability in money demand has remained a central issue in the literature. This study broadens and generalizes the first evidence for the United Kingdom of stable long‐ and short‐run broad money demand extending back to the nineteenth century. Using nonlinear
Álvaro Escribano +2 more
wiley +1 more source
Ergodicity and Fourth-Order Spectral Moments
, 1997 International audienceRelationships between ergodicity and structures of fourthorder spectral moments are investigated. In particular it is shown that second-order ergodicity of a random process is directly related to the distribution of these moments on
Picinbono, Bernard
core +2 more sources
Inference on Common Trends in a Cointegrated Nonlinear SVAR
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT We consider the problem of performing inference on the number of common stochastic trends when data is generated by a cointegrated CKSVAR (a two‐regime, piecewise affine SVAR; Mavroeidis, 2021), using a modified version of the Breitung (2002) multivariate variance ratio test that is robust to the presence of nonlinear cointegration (of a known
James A. Duffy, Xiyu Jiao
wiley +1 more source
Evolutionary computation with simulated annealing: conditions for optimal equilibrium distribution
Journal of Computer Science and Technology, 2005 In this paper a thermodynamic approach is presented to the problem of convergence of evolutionary algorithms. The case of the Simulated Annealing algorithm for optimisation is considered as a simple evolution strategy with a control parameter allowing ...
Enrique C. Segura
doaj
Ergodicity breaking on the neuronal surface emerges from random switching between diffusive states
Scientific Reports, 2017 Stochastic motion on the surface of living cells is critical to promote molecular encounters that are necessary for multiple cellular processes. Often the complexity of the cell membranes leads to anomalous diffusion, which under certain conditions it is
Aleksander Weron +6 more
doaj +1 more source
Large‐Dimensional Cointegrated Threshold Factor Models: The Global Term Structure of Interest Rates
Oxford Bulletin of Economics and Statistics, EarlyView.ABSTRACT In this paper we extend the two‐level factor model to account for cointegration between group‐specific factors in large datasets. We propose two nonlinear specifications: (i) a threshold vector error correction model (VECM) that allows for asymmetric adjustment across regimes; and (ii) a band VECM that captures state‐dependent adjustment which
Daniel Abreu, Paulo M. M. Rodrigues
wiley +1 more source
Likelihood Estimation for Stochastic Differential Equations with Mixed Effects
Scandinavian Journal of Statistics, EarlyView.ABSTRACT Stochastic differential equations provide a powerful tool for modelling dynamic phenomena affected by random noise. When time series are observed for several experimental units, it is often the case that some of the parameters vary between the individual experimental units.
Fernando Baltazar‐Larios +2 more
wiley +1 more source