TY - GEN A1 - Schwarzl, Maria A1 - Godec, Aljaž A1 - Metzler, Ralf T1 - Quantifying non-ergodicity of anomalous diffusion with higher order moments N2 - Anomalous diffusion is being discovered in a fast growing number of systems. The exact nature of this anomalous diffusion provides important information on the physical laws governing the studied system. One of the central properties analysed for finite particle motion time series is the intrinsic variability of the apparent diffusivity, typically quantified by the ergodicity breaking parameter EB. Here we demonstrate that frequently EB is insufficient to provide a meaningful measure for the observed variability of the data. Instead, important additional information is provided by the higher order moments entering by the skewness and kurtosis. We analyse these quantities for three popular anomalous diffusion models. In particular, we find that even for the Gaussian fractional Brownian motion a significant skewness in the results of physical measurements occurs and needs to be taken into account. Interestingly, the kurtosis and skewness may also provide sensitive estimates of the anomalous diffusion exponent underlying the data. We also derive a new result for the EB parameter of fractional Brownian motion valid for the whole range of the anomalous diffusion parameter. Our results are important for the analysis of anomalous diffusion but also provide new insights into the theory of anomalous stochastic processes. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 382 Y1 - 2017 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-402109 ER - TY - GEN A1 - Herrmann, Carl J. J. A1 - Metzler, Ralf T1 - A self-avoiding walk with neural delays as a model of fixational eye movements N2 - Fixational eye movements show scaling behaviour of the positional mean-squared displacement with a characteristic transition from persistence to antipersistence for increasing time-lag. These statistical patterns were found to be mainly shaped by microsaccades (fast, small-amplitude movements). However, our re-analysis of fixational eye-movement data provides evidence that the slow component (physiological drift) of the eyes exhibits scaling behaviour of the mean-squared displacement that varies across human participants. These results suggest that drift is a correlated movement that interacts with microsaccades. Moreover, on the long time scale, the mean-squared displacement of the drift shows oscillations, which is also present in the displacement auto-correlation function. This finding lends support to the presence of time-delayed feedback in the control of drift movements. Based on an earlier non-linear delayed feedback model of fixational eye movements, we propose and discuss different versions of a new model that combines a self-avoiding walk with time delay. As a result, we identify a model that reproduces oscillatory correlation functions, the transition from persistence to antipersistence, and microsaccades. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 392 Y1 - 2017 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-403742 ER - TY - GEN A1 - Grebenkov, Denis S. A1 - Metzler, Ralf A1 - Oshanin, Gleb T1 - Effects of the target aspect ratio and intrinsic reactivity onto diffusive search in bounded domains N2 - We study the mean first passage time (MFPT) to a reaction event on a specific site in a cylindrical geometry—characteristic, for instance, for bacterial cells, with a concentric inner cylinder representing the nuclear region of the bacterial cell. Asimilar problem emerges in the description of a diffusive search by a transcription factor protein for a specific binding region on a single strand of DNA.We develop a unified theoretical approach to study the underlying boundary value problem which is based on a self-consistent approximation of the mixed boundary condition. Our approach permits us to derive explicit, novel, closed-form expressions for the MFPT valid for a generic setting with an arbitrary relation between the system parameters.Weanalyse this general result in the asymptotic limits appropriate for the above-mentioned biophysical problems. Our investigation reveals the crucial role of the target aspect ratio and of the intrinsic reactivity of the binding region, which were disregarded in previous studies. Theoretical predictions are confirmed by numerical simulations. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 391 KW - aspect ratio KW - cylindrical geometry KW - first passage time KW - protein search Y1 - 2017 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-403726 ER - TY - GEN A1 - Cherstvy, Andrey G. A1 - Vinod, Deepak A1 - Aghion, Erez A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Time averaging, ageing and delay analysis of financial time series N2 - 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. T3 - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 347 KW - diffusion KW - financial time series KW - geometric Brownian motion KW - time averaging Y1 - 2017 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-400541 ER -