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 - TY - JOUR A1 - Chen, Xuhui A1 - Pohl, Martin A1 - Böttcher, Markus T1 - Particle diffusion and localized acceleration in inhomogeneous AGN jets - I. Steady-state spectra JF - Monthly notices of the Royal Astronomical Society N2 - We study the acceleration, transport, and emission of particles in relativistic jets. Localized stochastic particle acceleration, spatial diffusion, and synchrotron as well as synchrotron self-Compton (SSC) emission are considered in a leptonic model. To account for inhomogeneity, we use a 2D axisymmetric cylindrical geometry for both relativistic electrons and magnetic field. In this first phase of our work, we focus on steady-state spectra that develop from a time-dependent model. We demonstrate that small isolated acceleration region in a much larger emission volume are sufficient to accelerate particles to high energy. Diffusive escape from these small regions provides a natural explanation for the spectral form of the jet emission. The location of the acceleration regions within the jet is found to affect the cooling break of the spectrum in this diffusive model. Diffusion-caused energy-dependent inhomogeneity in the jets predicts that the SSC spectrum is harder than the synchrotron spectrum. There can also be a spectral hardening towards the high-energy section of the synchrotron spectrum, if particle escape is relatively slow. These two spectral hardening effects indicate that the jet inhomogeneity might be a natural explanation for the unexpected hard. gamma-ray spectra observed in some blazars. KW - acceleration of particles KW - diffusion KW - radiation mechanisms: non-thermal KW - galaxies:active KW - galaxies: jets Y1 - 2015 U6 - https://doi.org/10.1093/mnras/stu2438 SN - 0035-8711 SN - 1365-2966 VL - 447 IS - 1 SP - 530 EP - 544 PB - Oxford Univ. Press CY - Oxford ER - TY - JOUR A1 - Cherstvy, Andrey G. A1 - Metzler, Ralf T1 - Ergodicity breaking, ageing, and confinement in generalized diffusion processes with position and time dependent diffusivity JF - Journal of statistical mechanics: theory and experiment N2 - We study generalized anomalous diffusion processes whose diffusion coefficient D(x, t) similar to D-0x(alpha)t(beta) depends on both the position x of the test particle and the process time t. This process thus combines the features of scaled Brownian motion and heterogeneous diffusion parent processes. We compute the ensemble and time averaged mean squared displacements of this generalized diffusion process. The scaling exponent of the ensemble averaged mean squared displacement is shown to be the product of the critical exponents of the parent processes, and describes both subdiffusive and superdiffusive systems. We quantify the amplitude fluctuations of the time averaged mean squared displacement as function of the length of the time series and the lag time. In particular, we observe a weak ergodicity breaking of this generalized diffusion process: even in the long time limit the ensemble and time averaged mean squared displacements are strictly disparate. When we start to observe this process some time after its initiation we observe distinct features of ageing. We derive a universal ageing factor for the time averaged mean squared displacement containing all information on the ageing time and the measurement time. External confinement is shown to alter the magnitudes and statistics of the ensemble and time averaged mean squared displacements. KW - diffusion Y1 - 2015 U6 - https://doi.org/10.1088/1742-5468/2015/05/P05010 SN - 1742-5468 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Prokopovic, Vladimir Z. A1 - Duschl, Claus A1 - Volodkin, Dmitry T1 - Hyaluronic Acid/Poly-l-Lysine Multilayers as Reservoirs for Storage and Release of Small Charged Molecules JF - Macromolecular bioscience N2 - Polyelectrolyte multilayer films are nowadays very attractive for bioapplications due to their tunable properties and ability to control cellular response. Here we demonstrate that multilayers made of hyaluronic acid and poly-l-lysine act as high-capacity reservoirs for small charged molecules. Strong accumulation within the film is explained by electrostatically driven binding to free charges of polyelectrolytes. Binding and release mechanisms are discussed based on charge balance and polymer dynamics in the film. Our results show that transport of molecules through the film-solution interface limits the release rate. The multilayers might serve as an effective platform for drug delivery and tissue engineering due to high potential for drug loading and controlled release. KW - diffusion KW - drug delivery KW - dye KW - release mechanism Y1 - 2015 U6 - https://doi.org/10.1002/mabi.201500093 SN - 1616-5187 SN - 1616-5195 VL - 15 IS - 10 SP - 1357 EP - 1363 PB - Wiley-VCH CY - Weinheim ER - TY - JOUR A1 - Shin, Jaeoh A1 - Cherstvy, Andrey G. A1 - Kim, Won Kyu A1 - Metzler, Ralf T1 - Facilitation of polymer looping and giant polymer diffusivity in crowded solutions of active particles JF - New journal of physics : the open-access journal for physics N2 - We study the dynamics of polymer chains in a bath of self-propelled particles (SPP) by extensive Langevin dynamics simulations in a two-dimensional model system. Specifically, we analyse the polymer looping properties versus the SPP activity and investigate how the presence of the active particles alters the chain conformational statistics. We find that SPPs tend to extend flexible polymer chains, while they rather compactify stiffer semiflexible polymers, in agreement with previous results. Here we show that higher activities of SPPs yield a higher effective temperature of the bath and thus facilitate the looping kinetics of a passive polymer chain. We explicitly compute the looping probability and looping time in a wide range of the model parameters. We also analyse the motion of a monomeric tracer particle and the polymer's centre of mass in the presence of the active particles in terms of the time averaged mean squared displacement, revealing a giant diffusivity enhancement for the polymer chain via SPP pooling. Our results are applicable to rationalising the dimensions and looping kinetics of biopolymers at constantly fluctuating and often actively driven conditions inside biological cells or in suspensions of active colloidal particles or bacteria cells. KW - diffusion KW - active transport KW - polymers Y1 - 2015 U6 - https://doi.org/10.1088/1367-2630/17/11/113008 SN - 1367-2630 VL - 17 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Palyulin, Vladimir V. A1 - Chechkin, Aleksei V. A1 - Metzler, Ralf T1 - Space-fractional Fokker-Planck equation and optimization of random search processes in the presence of an external bias JF - Journal of statistical mechanics: theory and experiment N2 - 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. KW - driven diffusive systems (theory) KW - fluctuations (theory) KW - stochastic processes (theory) KW - diffusion Y1 - 2014 U6 - https://doi.org/10.1088/1742-5468/2014/11/P11031 SN - 1742-5468 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Palyulin, Vladimir V. A1 - Metzler, Ralf T1 - How a finite potential barrier decreases the mean first-passage time JF - Journal of statistical mechanics: theory and experiment N2 - We consider the mean first-passage time of a random walker moving in a potential landscape on a finite interval, the starting and end points being at different potentials. From analytical calculations and Monte Carlo simulations we demonstrate that the mean first-passage time for a piecewise linear curve between these two points is minimized by the introduction of a potential barrier. Due to thermal fluctuations, this barrier may be crossed. It turns out that the corresponding expense for this activation is less severe than the gain from an increased slope towards the end point. In particular, the resulting mean first-passage time is shorter than for a linear potential drop between the two points. KW - diffusion Y1 - 2012 U6 - https://doi.org/10.1088/1742-5468/2012/03/L03001 SN - 1742-5468 IS - 1 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Magdziarz, Marcin A1 - Metzler, Ralf A1 - Szczotka, Wladyslaw A1 - Zebrowski, Piotr T1 - Correlated continuous-time random walks-scaling limits and Langevin picture JF - Journal of statistical mechanics: theory and experiment N2 - In this paper we analyze correlated continuous-time random walks introduced recently by Tejedor and Metzler (2010 J. Phys. A: Math. Theor. 43 082002). We obtain the Langevin equations associated with this process and the corresponding scaling limits of their solutions. We prove that the limit processes are self-similar and display anomalous dynamics. Moreover, we extend the model to include external forces. Our results are confirmed by Monte Carlo simulations. KW - stochastic processes (theory) KW - diffusion Y1 - 2012 U6 - https://doi.org/10.1088/1742-5468/2012/04/P04010 SN - 1742-5468 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Chechkin, Aleksei V. A1 - Lenz, F. A1 - Klages, Rainer T1 - Normal and anomalous fluctuation relations for gaussian stochastic dynamics JF - Journal of statistical mechanics: theory and experiment N2 - We study transient work fluctuation relations (FRs) for Gaussian stochastic systems generating anomalous diffusion. For this purpose we use a Langevin approach by employing two different types of additive noise: (i) internal noise where the fluctuation dissipation relation of the second kind (FDR II) holds, and (ii) external noise without FDR II. For internal noise we demonstrate that the existence of FDR II implies the existence of the fluctuation dissipation relation of the first kind (FDR I), which in turn leads to conventional (normal) forms of transient work FRs. For systems driven by external noise we obtain violations of normal FRs, which we call anomalous FRs. We derive them in the long-time limit and demonstrate the existence of logarithmic factors in FRs for intermediate times. We also outline possible experimental verifications. KW - stochastic particle dynamics (theory) KW - fluctuations (theory) KW - stochastic processes (theory) KW - diffusion Y1 - 2012 U6 - https://doi.org/10.1088/1742-5468/2012/11/L11001 SN - 1742-5468 IS - 4 PB - IOP Publ. Ltd. CY - Bristol ER - TY - BOOK A1 - Schmiedgen, Jan A1 - Rhinow, Holger A1 - Köppen, Eva A1 - Meinel, Christoph T1 - Parts without a whole? BT - The current state of Design Thinking practice in organizations N2 - This explorative study gives a descriptive overview of what organizations do and experience when they say they practice design thinking. It looks at how the concept has been appropriated in organizations and also describes patterns of design thinking adoption. The authors use a mixed-method research design fed by two sources: questionnaire data and semi-structured personal expert interviews. The study proceeds in six parts: (1) design thinking¹s entry points into organizations; (2) understandings of the descriptor; (3) its fields of application and organizational localization; (4) its perceived impact; (5) reasons for its discontinuation or failure; and (6) attempts to measure its success. In conclusion the report challenges managers to be more conscious of their current design thinking practice. The authors suggest a co-evolution of the concept¹s introduction with innovation capability building and the respective changes in leadership approaches. It is argued that this might help in unfolding design thinking¹s hidden potentials as well as preventing unintended side-effects such as discontented teams or the dwindling authority of managers. N2 - Diese explorative Studie gibt einen deskriptiven Überblick, was Organisationen tun und zu erleben, wenn sie sagen, sie üben Design Thinking. Es untersucht, wie das Konzept in Organisationen angeeignet und beschreibt auch Muster der Design Thinking Annahme. Die Autoren verwenden eine von zwei Quellen gespeist Mixed-Verfahren Forschungsdesign: Fragebogendaten und semi-strukturierten persönlichen Experteninterviews. Die Studie läuft in sechs Teile: Einstiegspunkte (1) Design-Denken in Organisationen; (2) Verständnis des Deskriptors; (3) ihre Anwendungsgebiete und organisatorische Lokalisierung;(4) dessen empfundenen Auswirkungen; (5) Gründe für ihre Einstellung oder Misserfolg; und (6) versucht, den Erfolg zu messen. Abschließend fordert der Bericht-Manager mehr bewusst ihre aktuellen Design Thinking der Praxis zu sein. Die Autoren schlagen eine Ko-Evolution von Einführung des Konzepts mit Innovationsfähigkeit Gebäude und den jeweiligen Führungswechsel Ansätze. Es wird argumentiert, dass dies in der Entfaltung versteckte Potentiale Design Denken wie auch zur Verhinderung unbeabsichtigten Nebenwirkungen, wie unzufrieden Teams oder die schwindende Autorität von Managern zu helfen. T3 - Technische Berichte des Hasso-Plattner-Instituts für Digital Engineering an der Universität Potsdam - 97 KW - design thinking KW - innovation KW - innovation management KW - innovation capabilities KW - organizational change KW - change management KW - management KW - adoption KW - diffusion KW - study KW - leadership KW - Design Thinking KW - Innovation KW - Innovationsmanagement KW - Organisationsveränderung KW - Change Management KW - Management KW - Innovationsmethode KW - Studie KW - Leadership Y1 - 2015 U6 - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-79969 SN - 978-3-86956-334-3 SN - 1613-5652 SN - 2191-1665 IS - 97 PB - Universitätsverlag Potsdam CY - Potsdam ER -