This paper investigates the effect of the 2008 financial crisis on informational efficiency by carrying out a long-memory analysis of European corporate bond markets. We compute the Hurst exponent for fifteen sectorial indices to scrutinise the time-varying behaviour of long-range memory, applying a shuffling technique to avoid short-term correlation. We find that the financial crisis has uneve...

In this paper linear stochastic evolution equations driven by infinite-dimensional fractional Brownian motion are studied. A necessary and sufficient condition for the existence and uniqueness of the solution is established and the spatial regularity of the solution is analyzed; separate proofs are required for the cases of Hurst parameter above and below 1/2. The particular case of the Laplaci...

We study the dynamical exponent z for the directed percolation depinning (DPD) class of models for surface roughening in the presence of quenched disorder. We argue that z for d 1 1 dimensions is equal to the exponent dmin characterizing the shortest path between two sites in an isotropic percolation cluster in d dimensions. To test the argument, we perform simulations and calculate z for DPD, ...

We study an equation which arises in a model describing the mechanism by which ice sheets periodically surge. The resulting ordinary differential equation looks deceptively simple, but has a complicated asymptotic character which is studied using an asymptotic approach and independent analysis. We place the emphasis on investigating the structure of the solution to a problem where a small param...

The imposition of a cost constraint for constructing the optimal navigation structure surely represents a crucial ingredient in the design and development of any realistic navigation network. Previous works have focused on optimal transport in small-world networks built from two-dimensional lattices by adding long-range connections with Manhattan length r(ij) taken from the distribution P(ij)~r...

Complex networks have been shown to exhibit universal properties, with one of the most consistent patterns being the scale-free degree distribution, but are there regularities obeyed by the r-hop neighborhood in real networks? We answer this question by identifying another power-law pattern that describes the relationship between the fractions of node pairs C(r) within r hops and the hop count ...

A non-vanishing Lyapunov exponent λ1 provides the very definition of deterministic chaos in the solutions of a dynamical system, however no theoretical mean of predicting its value exists. This paper copes with the problem of analytically computing the largest Lyapunov exponent λ1 for many degrees of freedom Hamiltonian systems as a function of ε = E/N , the energy per degree of freedom. The fu...

We derive the asymptotic behavior of weighted quadratic variations of fractional Brownian motion B with Hurst index H = 1/4. This completes the only missing case in a very recent work by I. Nourdin, D. Nualart and C. A. Tudor. Moreover, as an application, we solve a recent conjecture of K. Burdzy and J. Swanson on the asymptotic behavior of the Riemann sums with alternating signs associated to B.

We show that in generic one-dimensional Hamiltonian lattices the diffusion coefficient of the maximum Lyapunov exponent diverges in the thermodynamic limit. We trace this back to the long-range correlations associated with the evolution of the hydrodynamic modes. In the case of normal heat transport, the divergence is even stronger, leading to the breakdown of the usual single-function Family-V...

Error and erasure exponents for the broadcast channel with degraded message sets are analyzed. The focus of our error probability analysis is on the main receiver where, nominally, both messages are to be decoded. A two-step decoding algorithm is proposed and analyzed. This receiver first attempts to decode both messages, failing which, it attempts to decode only the message representing the co...