@article{CherstvyVinodAghionetal.2017, author = {Cherstvy, Andrey G. and Vinod, Deepak and Aghion, Erez and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Time averaging, ageing and delay analysis of financial time series}, series = {New journal of physics}, volume = {19}, journal = {New journal of physics}, publisher = {IOP}, address = {London}, issn = {1367-2630}, doi = {10.1088/1367-2630/aa7199}, pages = {1 -- 11}, year = {2017}, abstract = {We introduce three strategies for the analysis of financial time series based on time averaged observables. These comprise the time averaged mean squared displacement (MSD) as well as the ageing and delay time methods for varying fractions of the financial time series. We explore these concepts via statistical analysis of historic time series for several Dow Jones Industrial indices for the period from the 1960s to 2015. Remarkably, we discover a simple universal law for the delay time averaged MSD. The observed features of the financial time series dynamics agree well with our analytical results for the time averaged measurables for geometric Brownian motion, underlying the famed Black-Scholes-Merton model. The concepts we promote here are shown to be useful for financial data analysis and enable one to unveil new universal features of stock market dynamics.}, language = {en} } @misc{CherstvyVinodAghionetal.2017, author = {Cherstvy, Andrey G. and Vinod, Deepak and Aghion, Erez and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Time averaging, ageing and delay analysis of financial time series}, url = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus4-400541}, pages = {11}, year = {2017}, abstract = {We introduce three strategies for the analysis of financial time series based on time averaged observables. These comprise the time averaged mean squared displacement (MSD) as well as the ageing and delay time methods for varying fractions of the financial time series. We explore these concepts via statistical analysis of historic time series for several Dow Jones Industrial indices for the period from the 1960s to 2015. Remarkably, we discover a simple universal law for the delay time averaged MSD. The observed features of the financial time series dynamics agree well with our analytical results for the time averaged measurables for geometric Brownian motion, underlying the famed Black-Scholes-Merton model. The concepts we promote here are shown to be useful for financial data analysis and enable one to unveil new universal features of stock market dynamics.}, language = {en} } @article{CherstvyVinodAghionetal.2017, author = {Cherstvy, Andrey G. and Vinod, Deepak and Aghion, Erez and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Time averaging, ageing and delay analysis of financial time series}, series = {New journal of physics : the open-access journal for physics}, volume = {19}, journal = {New journal of physics : the open-access journal for physics}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1367-2630}, doi = {10.1088/1367-2630/aa7199}, pages = {135 -- 147}, year = {2017}, abstract = {We introduce three strategies for the analysis of financial time series based on time averaged observables. These comprise the time averaged mean squared displacement (MSD) as well as the ageing and delay time methods for varying fractions of the financial time series. We explore these concepts via statistical analysis of historic time series for several Dow Jones Industrial indices for the period from the 1960s to 2015. Remarkably, we discover a simple universal law for the delay time averaged MSD. The observed features of the financial time series dynamics agree well with our analytical results for the time averaged measurables for geometric Brownian motion, underlying the famed Black-Scholes-Merton model. The concepts we promote here are shown to be useful for financial data analysis and enable one to unveil new universal features of stock market dynamics.}, language = {en} } @phdthesis{Sposini2020, author = {Sposini, Vittoria}, title = {The random diffusivity approach for diffusion in heterogeneous systems}, doi = {10.25932/publishup-48780}, url = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus4-487808}, school = {Universit{\"a}t Potsdam}, year = {2020}, abstract = {The two hallmark features of Brownian motion are the linear growth < x2(t)> = 2Ddt of the mean squared displacement (MSD) with diffusion coefficient D in d spatial dimensions, and the Gaussian distribution of displacements. With the increasing complexity of the studied systems deviations from these two central properties have been unveiled over the years. Recently, a large variety of systems have been reported in which the MSD exhibits the linear growth in time of Brownian (Fickian) transport, however, the distribution of displacements is pronouncedly non-Gaussian (Brownian yet non-Gaussian, BNG). A similar behaviour is also observed for viscoelastic-type motion where an anomalous trend of the MSD, i.e., ~ ta, is combined with a priori unexpected non-Gaussian distributions (anomalous yet non-Gaussian, ANG). This kind of behaviour observed in BNG and ANG diffusions has been related to the presence of heterogeneities in the systems and a common approach has been established to address it, that is, the random diffusivity approach. This dissertation explores extensively the field of random diffusivity models. Starting from a chronological description of all the main approaches used as an attempt of describing BNG and ANG diffusion, different mathematical methodologies are defined for the resolution and study of these models. The processes that are reported in this work can be classified in three subcategories, i) randomly-scaled Gaussian processes, ii) superstatistical models and iii) diffusing diffusivity models, all belonging to the more general class of random diffusivity models. Eventually, the study focuses more on BNG diffusion, which is by now well-established and relatively well-understood. Nevertheless, many examples are discussed for the description of ANG diffusion, in order to highlight the possible scenarios which are known so far for the study of this class of processes. The second part of the dissertation deals with the statistical analysis of random diffusivity processes. A general description based on the concept of moment-generating function is initially provided to obtain standard statistical properties of the models. Then, the discussion moves to the study of the power spectral analysis and the first passage statistics for some particular random diffusivity models. A comparison between the results coming from the random diffusivity approach and the ones for standard Brownian motion is discussed. In this way, a deeper physical understanding of the systems described by random diffusivity models is also outlined. To conclude, a discussion based on the possible origins of the heterogeneity is sketched, with the main goal of inferring which kind of systems can actually be described by the random diffusivity approach.}, language = {en} } @misc{GallegoLlorenteSarahJonesetal.2016, author = {Gallego-Llorente, Marcos and Sarah, Connell and Jones, Eppie R. and Merrett, Deborah C. and Jeon, Y. and Eriksson, Anders and Siska, Veronika and Gamba, Cristina and Meiklejohn, Christopher and Beyer, Robert and Jeon, Sungwon and Cho, Yun Sung and Hofreiter, Michael and Bhak, Jong and Manica, Andrea and Pinhasi, Ron}, title = {The genetics of an early Neolithic pastoralist from the Zagros, Iran}, series = {Postprints der Universit{\"a}t Potsdam : Mathematisch-Naturwissenschaftliche Reihe}, journal = {Postprints der Universit{\"a}t Potsdam : Mathematisch-Naturwissenschaftliche Reihe}, number = {952}, issn = {1866-8372}, doi = {10.25932/publishup-43935}, url = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus4-439355}, pages = {9}, year = {2016}, abstract = {The agricultural transition profoundly changed human societies. We sequenced and analysed the first genome (1.39x) of an early Neolithic woman from Ganj Dareh, in the Zagros Mountains of Iran, a site with early evidence for an economy based on goat herding, ca. 10,000 BP. We show that Western Iran was inhabited by a population genetically most similar to hunter-gatherers from the Caucasus, but distinct from the Neolithic Anatolian people who later brought food production into Europe. The inhabitants of Ganj Dareh made little direct genetic contribution to modern European populations, suggesting those of the Central Zagros were somewhat isolated from other populations of the Fertile Crescent. Runs of homozygosity are of a similar length to those from Neolithic farmers, and shorter than those of Caucasus and Western Hunter-Gatherers, suggesting that the inhabitants of Ganj Dareh did not undergo the large population bottleneck suffered by their northern neighbours. While some degree of cultural diffusion between Anatolia, Western Iran and other neighbouring regions is possible, the genetic dissimilarity between early Anatolian farmers and the inhabitants of Ganj Dareh supports a model in which Neolithic societies in these areas were distinct.}, language = {en} } @article{PohlenzNiedermeier2019, author = {Pohlenz, Philipp and Niedermeier, Frank}, title = {The Bologna Process and the harmonisation of higher education systems in other world regions}, series = {Innovation : the European journal of social sciences}, volume = {32}, journal = {Innovation : the European journal of social sciences}, number = {4}, publisher = {Routledge, Taylor \& Francis Group}, address = {Abingdon}, issn = {1351-1610}, doi = {10.1080/13511610.2019.1637248}, pages = {481 -- 494}, year = {2019}, abstract = {The Bologna Process has inspired harmonisation strategies for higher education systems in other parts of the world. However, developments in other contexts are not much under review in the European debate. The present article describes the case of Southeast Asia and the attempt to promote harmonisation of its higher education systems. It further compares the processes in ASEAN and the European Higher Education Area to then discuss open questions for future comparative research. To do so the authors re-contextualise data from a study in ASEAN against the background of future research needs in the field of higher education harmonisation.}, language = {en} } @misc{ShpritsMeniettiDrozdovetal.2018, author = {Shprits, Yuri and Menietti, J. D. and Drozdov, Alexander and Horne, Richard B. and Woodfield, Emma E. and Groene, J. B. and de Soria-Santacruz, M. and Averkamp, T. F. and Garrett, H. and Paranicas, C. and Gurnett, Don A.}, title = {Strong whistler mode waves observed in the vicinity of Jupiter's moons}, series = {Postprints der Universit{\"a}t Potsdam Mathematisch-Naturwissenschaftliche Reihe}, journal = {Postprints der Universit{\"a}t Potsdam Mathematisch-Naturwissenschaftliche Reihe}, number = {695}, issn = {1866-8372}, doi = {10.25932/publishup-42627}, url = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus4-426278}, pages = {6}, year = {2018}, abstract = {Understanding of wave environments is critical for the understanding of how particles are accelerated and lost in space. This study shows that in the vicinity of Europa and Ganymede, that respectively have induced and internal magnetic fields, chorus wave power is significantly increased. The observed enhancements are persistent and exceed median values of wave activity by up to 6 orders of magnitude for Ganymede. Produced waves may have a pronounced effect on the acceleration and loss of particles in the Jovian magnetosphere and other astrophysical objects. The generated waves are capable of significantly modifying the energetic particle environment, accelerating particles to very high energies, or producing depletions in phase space density. Observations of Jupiter's magnetosphere provide a unique opportunity to observe how objects with an internal magnetic field can interact with particles trapped in magnetic fields of larger scale objects.}, language = {en} } @misc{XuZhouMetzleretal.2022, author = {Xu, Pengbo and Zhou, Tian and Metzler, Ralf and Deng, Weihua}, title = {Stochastic harmonic trapping of a L{\´e}vy walk: transport and first-passage dynamics under soft resetting strategies}, series = {Zweitver{\"o}ffentlichungen der Universit{\"a}t Potsdam : Mathematisch-Naturwissenschaftliche Reihe}, journal = {Zweitver{\"o}ffentlichungen der Universit{\"a}t Potsdam : Mathematisch-Naturwissenschaftliche Reihe}, publisher = {Universit{\"a}tsverlag Potsdam}, address = {Potsdam}, issn = {1866-8372}, doi = {10.25932/publishup-56040}, url = {http://nbn-resolving.de/urn:nbn:de:kobv:517-opus4-560402}, pages = {1 -- 28}, year = {2022}, abstract = {We introduce and study a L{\´e}vy walk (LW) model of particle spreading with a finite propagation speed combined with soft resets, stochastically occurring periods in which an harmonic external potential is switched on and forces the particle towards a specific position. Soft resets avoid instantaneous relocation of particles that in certain physical settings may be considered unphysical. Moreover, soft resets do not have a specific resetting point but lead the particle towards a resetting point by a restoring Hookean force. Depending on the exact choice for the LW waiting time density and the probability density of the periods when the harmonic potential is switched on, we demonstrate a rich emerging response behaviour including ballistic motion and superdiffusion. When the confinement periods of the soft-reset events are dominant, we observe a particle localisation with an associated non-equilibrium steady state. In this case the stationary particle probability density function turns out to acquire multimodal states. Our derivations are based on Markov chain ideas and LWs with multiple internal states, an approach that may be useful and flexible for the investigation of other generalised random walks with soft and hard resets. The spreading efficiency of soft-rest LWs is characterised by the first-passage time statistic.}, language = {en} } @article{XuZhouMetzleretal.2022, author = {Xu, Pengbo and Zhou, Tian and Metzler, Ralf and Deng, Weihua}, title = {Stochastic harmonic trapping of a L{\´e}vy walk}, series = {New journal of physics : the open-access journal for physics / Deutsche Physikalische Gesellschaft ; IOP, Institute of Physics}, volume = {24}, journal = {New journal of physics : the open-access journal for physics / Deutsche Physikalische Gesellschaft ; IOP, Institute of Physics}, number = {3}, publisher = {Deutsche Physikalische Gesellschaft}, address = {Bad Honnef}, issn = {1367-2630}, doi = {10.1088/1367-2630/ac5282}, pages = {1 -- 28}, year = {2022}, abstract = {We introduce and study a L{\´e}vy walk (LW) model of particle spreading with a finite propagation speed combined with soft resets, stochastically occurring periods in which an harmonic external potential is switched on and forces the particle towards a specific position. Soft resets avoid instantaneous relocation of particles that in certain physical settings may be considered unphysical. Moreover, soft resets do not have a specific resetting point but lead the particle towards a resetting point by a restoring Hookean force. Depending on the exact choice for the LW waiting time density and the probability density of the periods when the harmonic potential is switched on, we demonstrate a rich emerging response behaviour including ballistic motion and superdiffusion. When the confinement periods of the soft-reset events are dominant, we observe a particle localisation with an associated non-equilibrium steady state. In this case the stationary particle probability density function turns out to acquire multimodal states. Our derivations are based on Markov chain ideas and LWs with multiple internal states, an approach that may be useful and flexible for the investigation of other generalised random walks with soft and hard resets. The spreading efficiency of soft-rest LWs is characterised by the first-passage time statistic.}, language = {en} } @article{PalyulinChechkinMetzler2014, author = {Palyulin, Vladimir V. and Chechkin, Aleksei V. and Metzler, Ralf}, title = {Space-fractional Fokker-Planck equation and optimization of random search processes in the presence of an external bias}, series = {Journal of statistical mechanics: theory and experiment}, journal = {Journal of statistical mechanics: theory and experiment}, publisher = {IOP Publ. Ltd.}, address = {Bristol}, issn = {1742-5468}, doi = {10.1088/1742-5468/2014/11/P11031}, pages = {32}, year = {2014}, abstract = {Based on the space-fractional Fokker-Planck equation with a delta-sink term, we study the efficiency of random search processes based on Levy flights with power-law distributed jump lengths in the presence of an external drift, for instance, an underwater current, an airflow, or simply the preference of the searcher based on prior experience. While Levy flights turn out to be efficient search processes when the target is upstream relative to the starting point, in the downstream scenario, regular Brownian motion turns out to be advantageous. This is caused by the occurrence of leapovers of Levy flights, due to which Levy flights typically overshoot a point or small interval. Studying the solution of the fractional Fokker-Planck equation, we establish criteria when the combination of the external stream and the initial distance between the starting point and the target favours Levy flights over the regular Brownian search. Contrary to the common belief that Levy flights with a Levy index alpha = 1 (i.e. Cauchy flights) are optimal for sparse targets, we find that the optimal value for alpha may range in the entire interval (1, 2) and explicitly include Brownian motion as the most efficient search strategy overall.}, language = {en} }