Fractional calculus and continuous-time finance II: the waiting-time distribution

We complement the theory of tick-by-tick dynamics of financial markets based on a Continuous-Time Random Walk (CTRW) model recently proposed by Scalas et al., and we point out its consistency with the behaviour observed in the waiting-time distribution for BUND future prices traded at LIFFE, London.Comment: Revised version, 17 pages, 4 figures. Physica A, Vol. 287, No 3-4, 468--481 (2000). Proceedings of the International Workshop on "Economic Dynamics from the Physics Point of View", Bad-Honnef (Germany), 27-30 March 200

k-Generalized Statistics in Personal Income Distribution

Starting from the generalized exponential function $\exp_{\kappa}(x)=(\sqrt{1+\kappa^{2}x^{2}}+\kappa x)^{1/\kappa}$, with $\exp_{0}(x)=\exp(x)$, proposed in Ref. [G. Kaniadakis, Physica A \textbf{296}, 405 (2001)], the survival function $P_{>}(x)=\exp_{\kappa}(-\beta x^{\alpha})$, where $x\in\mathbf{R}^{+}$, $\alpha,\beta>0$, and $\kappa\in[0,1)$, is considered in order to analyze the data on personal income distribution for Germany, Italy, and the United Kingdom. The above defined distribution is a continuous one-parameter deformation of the stretched exponential function $P_{>}^{0}(x)=\exp(-\beta x^{\alpha})$\textemdash to which reduces as $\kappa$ approaches zero\textemdash behaving in very different way in the $x\to0$ and $x\to\infty$ regions. Its bulk is very close to the stretched exponential one, whereas its tail decays following the power-law $P_{>}(x)\sim(2\beta\kappa)^{-1/\kappa}x^{-\alpha/\kappa}$. This makes the $\kappa$-generalized function particularly suitable to describe simultaneously the income distribution among both the richest part and the vast majority of the population, generally fitting different curves. An excellent agreement is found between our theoretical model and the observational data on personal income over their entire range.Comment: Latex2e v1.6; 14 pages with 12 figures; for inclusion in the APFA5 Proceeding

Forcing anomalous scaling on demographic fluctuations

We discuss the conditions under which a population of anomalously diffusing individuals can be characterized by demographic fluctuations that are anomalously scaling themselves. Two examples are provided in the case of individuals migrating by Gaussian diffusion, and by a sequence of L\'evy flights.Comment: 5 pages 2 figure

Superdiffusion in Decoupled Continuous Time Random Walks

Continuous time random walk models with decoupled waiting time density are studied. When the spatial one jump probability density belongs to the Levy distribution type and the total time transition is exponential a generalized superdiffusive regime is established. This is verified by showing that the square width of the probability distribution (appropriately defined)grows as $t^{2/\gamma}$ with $0<\gamma\leq2$ when $t\to \infty$. An important connection of our results and those of Tsallis' nonextensive statistics is shown. The normalized q-expectation value of $x^2$ calculated with the corresponding probability distribution behaves exactly as $t^{2/\gamma}$ in the asymptotic limit.Comment: 9 pages (.tex file), 1 Postscript figures, uses revtex.st

A Solvable Nonlinear Reaction-Diffusion Model

We construct a coupled set of nonlinear reaction-diffusion equations which are exactly solvable. The model generalizes both the Burger equation and a Boltzman reaction equation recently introduced by Th. W. Ruijgrok and T. T. Wu.Comment: 6 pages, LATe

Relativistic Weierstrass random walks

The Weierstrass random walk is a paradigmatic Markov chain giving rise to a L\'evy-type superdiffusive behavior. It is well known that Special Relativity prevents the arbitrarily high velocities necessary to establish a superdiffusive behavior in any process occurring in Minkowski spacetime, implying, in particular, that any relativistic Markov chain describing spacetime phenomena must be essentially Gaussian. Here, we introduce a simple relativistic extension of the Weierstrass random walk and show that there must exist a transition time $t_c$ delimiting two qualitative distinct dynamical regimes: the (non-relativistic) superdiffusive L\'evy flights, for $t < t_c$, and the usual (relativistic) Gaussian diffusion, for $t>t_c$. Implications of this crossover between different diffusion regimes are discussed for some explicit examples. The study of such an explicit and simple Markov chain can shed some light on several results obtained in much more involved contexts.Comment: 5 pages, final version to appear in PR

Continuous time random walk and parametric subordination in fractional diffusion

The well-scaled transition to the diffusion limit in the framework of the theory of continuous-time random walk (CTRW)is presented starting from its representation as an infinite series that points out the subordinated character of the CTRW itself. We treat the CTRW as a combination of a random walk on the axis of physical time with a random walk in space, both walks happening in discrete operational time. In the continuum limit we obtain a generally non-Markovian diffusion process governed by a space-time fractional diffusion equation. The essential assumption is that the probabilities for waiting times and jump-widths behave asymptotically like powers with negative exponents related to the orders of the fractional derivatives. By what we call parametric subordination, applied to a combination of a Markov process with a positively oriented L\'evy process, we generate and display sample paths for some special cases.Comment: 28 pages, 18 figures. Workshop 'In Search of a Theory of Complexity'. Denton, Texas, August 200

Arithmetical and geometrical means of generalized logarithmic and exponential functions: generalized sum and product operators

One-parameter generalizations of the logarithmic and exponential functions have been obtained as well as algebraic operators to retrieve extensivity. Analytical expressions for the successive applications of the sum or product operators on several values of a variable are obtained here. Applications of the above formalism are considered.Comment: 5 pages, no figure

New perspectives on the Ising model

The Ising model, in presence of an external magnetic field, is isomorphic to a model of localized interacting particles satisfying the Fermi statistics. By using this isomorphism, we construct a general solution of the Ising model which holds for any dimensionality of the system. The Hamiltonian of the model is solved in terms of a complete finite set of eigenoperators and eigenvalues. The Green's function and the correlation functions of the fermionic model are exactly known and are expressed in terms of a finite small number of parameters that have to be self-consistently determined. By using the equation of the motion method, we derive a set of equations which connect different spin correlation functions. The scheme that emerges is that it is possible to describe the Ising model from a unified point of view where all the properties are connected to a small number of local parameters, and where the critical behavior is controlled by the energy scales fixed by the eigenvalues of the Hamiltonian. By using algebra and symmetry considerations, we calculate the self-consistent parameters for the one-dimensional case. All the properties of the system are calculated and obviously agree with the exact results reported in the literature.Comment: 19 RevTeX pages, 9 panels, to be published in Eur. Phys. J.

Anomalous diffusion and stretched exponentials in heterogeneous glass-forming liquids: Low-temperature behavior

We propose a model of a heterogeneous glass forming liquid and compute the low-temperature behavior of a tagged molecule moving within it. This model exhibits stretched-exponential decay of the wavenumber-dependent, self intermediate scattering function in the limit of long times. At temperatures close to the glass transition, where the heterogeneities are much larger in extent than the molecular spacing, the time dependence of the scattering function crosses over from stretched-exponential decay with an index $b=1/2$ at large wave numbers to normal, diffusive behavior with $b = 1$ at small wavenumbers. There is a clear separation between early-stage, cage-breaking $\beta$ relaxation and late-stage $\alpha$ relaxation. The spatial representation of the scattering function exhibits an anomalously broad exponential (non-Gaussian) tail for sufficiently large values of the molecular displacement at all finite times.Comment: 9 pages, 6 figure