We propose a model of fractal point process driven by the nonlinear stochastic differential equation. The model is adjusted to the empirical data of trading activity in financial markets. This reproduces the probability distribution function and power spectral density of trading activity observed in the stock markets. We present a simple stochastic relation between the trading activity and retu...

We develop a discrete-time stochastic volatility option pricing model, which exploits the information contained in high-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservable log-returns volatility. We model its dynamics by a simple but effective (pseudo) long-memory process, the Leverage Heterogeneous Auto-Regressive Gamma (HARGL) process. Both the discrete-time sp...

The article describes a new formal approach to model discrete stochastic processes, called observable operator models (OOMs). It is shown how hidden Markov models (HMMs) can be properly generalized to OOMs. These OOMs afford both mathematical simplicity and algorithmic efficiency, where HMMs exhibit neither. The observable operator idea also leads to an abstract, information-theoretic represent...

experiences indicate that after earthquakes a little attention is paid to the role of collective memory (cm) in the reconstruction process. this is due to time constraints, because all organizations try to speed up the physical reconstruction process, after the disasters. thus, quality is sacrificed for quantity. herein one of the most challenging issues is the reconstruction of bazaar neighbor...

We investigate the problem of simulating classical stochastic processes through quantum dynamics, and present three scenarios where memory or time advantages arise. First, by introducing analysing a version embeddability for matrices, we show that memoryless dynamics can simulate necessarily require memory. Second, extending notion space-time cost process $P$ to domain, prove an advantage over ...

The article describes a new formal approach to model discrete stochastic processes, called observable operator models (OOMs). It is shown how hidden Markov models (HMMs) can be properly generalized to OOMs. These OOMs afford both mathematical simplicity and algorithmic efficiency, where HMMs exhibit neither. The observable operator idea also leads to an abstract, information-theoretic represent...

background and aim: today, bilingualism is a developing phenomenon which half of the world population is bilingual. auditory system is the main route to language learning, so it is expected that bilingualism has an effect on functions of the auditory system. auditory memory is one of the auditory processes which is a cornerstone of linguistic skills and learning process growth, so that, it has ...