TY - JOUR 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 JF - New journal of physics 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. KW - time averaging KW - diffusion KW - geometric Brownian motion KW - financial time series Y1 - 2017 U6 - https://doi.org/10.1088/1367-2630/aa7199 SN - 1367-2630 VL - 19 SP - 1 EP - 11 PB - IOP CY - London ER - TY - JOUR A1 - Schwarzl, Maria A1 - Godec, Aljaž A1 - Metzler, Ralf T1 - Quantifying non-ergodicity of anomalous diffusion with higher order moments JF - Scientific reports 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. Y1 - 2017 U6 - https://doi.org/10.1038/s41598-017-03712-x VL - 7 PB - Macmillan Publishers Limited CY - London ER - TY - GEN A1 - Gudowska-Nowak, Ewa A1 - Lindenberg, Katja A1 - Metzler, Ralf T1 - Preface: Marian Smoluchowski’s 1916 paper—a century of inspiration T2 - Journal of physics : A, Mathematical and theoretical Y1 - 2017 U6 - https://doi.org/10.1088/1751-8121/aa8529 SN - 1751-8113 SN - 1751-8121 VL - 50 IS - 38 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Norregaard, Kamilla A1 - Metzler, Ralf A1 - Ritter, Christine M. A1 - Berg-Sorensen, Kirstine A1 - Oddershede, Lene Broeng T1 - Manipulation and Motion of Organelles and Single Molecules in Living Cells JF - Chemical reviews N2 - The biomolecule is among the most important building blocks of biological systems, and a full understanding of its function forms the scaffold for describing the mechanisms of higher order structures as organelles and cells. Force is a fundamental regulatory mechanism of biomolecular interactions driving many cellular processes. The forces on a molecular scale are exactly in the range that can be manipulated and probed with single molecule force spectroscopy. The natural environment of a biomolecule is inside a living cell, hence, this is the most relevant environment for probing their function. In vivo studies are, however, challenged by the complexity of the cell. In this review, we start with presenting relevant theoretical tools for analyzing single molecule data obtained in intracellular environments followed by a description of state-of-the art visualization techniques. The most commonly used force spectroscopy techniques, namely optical tweezers, magnetic tweezers, and atomic force microscopy, are described in detail, and their strength and limitations related to in vivo experiments are discussed. Finally, recent exciting discoveries within the field of in vivo manipulation and dynamics of single molecule and organelles are reviewed. Y1 - 2017 U6 - https://doi.org/10.1021/acs.chemrev.6b00638 SN - 0009-2665 SN - 1520-6890 VL - 117 IS - 5 SP - 4342 EP - 4375 PB - American Chemical Society CY - Washington ER - TY - GEN A1 - Metzler, Ralf T1 - Gaussianity Fair BT - the Riddle of Anomalous yet Non-Gaussian Diffusion T2 - Biophysical journal Y1 - 2017 U6 - https://doi.org/10.1016/j.bpj.2016.12.019 SN - 0006-3495 SN - 1542-0086 VL - 112 IS - 3 SP - 413 EP - 415 PB - Cell Press CY - Cambridge ER - TY - JOUR A1 - Godec, Aljaž A1 - Metzler, Ralf T1 - First passage time statistics for two-channel diffusion JF - Journal of physics : A, Mathematical and theoretical N2 - We present rigorous results for the mean first passage time and first passage time statistics for two-channel Markov additive diffusion in a 3-dimensional spherical domain. Inspired by biophysical examples we assume that the particle can only recognise the target in one of the modes, which is shown to effect a non-trivial first passage behaviour. We also address the scenario of intermittent immobilisation. In both cases we prove that despite the perfectly non-recurrent motion of two-channel Markov additive diffusion in 3 dimensions the first passage statistics at long times do not display Poisson-like behaviour if none of the phases has a vanishing diffusion coefficient. This stands in stark contrast to the standard (one-channel) Markov diffusion counterpart. We also discuss the relevance of our results in the context of cellular signalling. KW - first passage time KW - Markov additive processes KW - Fokker-Planck equation KW - random search processes KW - coupled initial boundary value problem KW - cellular signalling KW - asymptotic analysis Y1 - 2017 U6 - https://doi.org/10.1088/1751-8121/aa5204 SN - 1751-8113 SN - 1751-8121 VL - 50 IS - 8 PB - IOP Publ. Ltd. CY - Bristol ER - TY - JOUR A1 - Liu, Lin A1 - Cherstvy, Andrey G. A1 - Metzler, Ralf T1 - Facilitated Diffusion of Transcription Factor Proteins with Anomalous Bulk Diffusion JF - The journal of physical chemistry : B, Condensed matter, materials, surfaces, interfaces & biophysical chemistry N2 - What are the physical laws of the diffusive search of proteins for their specific binding sites on DNA in the presence of the macromolecular crowding in cells? We performed extensive computer simulations to elucidate the protein target search on DNA. The novel feature is the viscoelastic non-Brownian protein bulk diffusion recently observed experimentally. We examine the influence of the protein-DNA binding affinity and the anomalous diffusion exponent on the target search time. In all cases an optimal search time is found. The relative contribution of intermittent three-dimensional bulk diffusion and one-dimensional sliding of proteins along the DNA is quantified. Our results are discussed in the light of recent single molecule tracking experiments, aiming at a better understanding of the influence of anomalous kinetics of proteins on the facilitated diffusion mechanism. Y1 - 2017 U6 - https://doi.org/10.1021/acs.jpcb.6b12413 SN - 1520-6106 VL - 121 SP - 1284 EP - 1289 PB - American Chemical Society CY - Washington ER - TY - JOUR 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 JF - New journal of physics N2 - Westudy 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. KW - first passage time KW - cylindrical geometry KW - aspect ratio KW - protein search Y1 - 2017 U6 - https://doi.org/10.1088/1367-2630/aa8ed9 SN - 1367-2630 VL - 19 SP - 1 EP - 11 PB - IOP CY - London ER - TY - GEN A1 - Javanainen, Matti A1 - Martinez-Seara, Hector A1 - Metzler, Ralf A1 - Vattulainen, Ilpo Tapio T1 - Diffusion of Proteins and Lipids in Protein-Rich Membranesa T2 - Biophysical journal Y1 - 2018 U6 - https://doi.org/10.1016/j.bpj.2017.11.3009 SN - 0006-3495 SN - 1542-0086 VL - 114 IS - 3 SP - 551A EP - 551A PB - Cell Press CY - Cambridge ER - TY - GEN A1 - Metzler, Ralf T1 - Anomalous Diffusion in Membranes and the Cytoplasm of Biological Cells T2 - Biophysical journal Y1 - 2017 U6 - https://doi.org/10.1016/j.bpj.2016.11.2577 SN - 0006-3495 SN - 1542-0086 VL - 112 IS - 3 SP - 476A EP - 476A PB - Cell Press CY - Cambridge ER - TY - JOUR A1 - Safdari, Hadiseh A1 - Cherstvy, Andrey G. A1 - Chechkin, Aleksei V. A1 - Bodrova, Anna A1 - Metzler, Ralf T1 - Aging underdamped scaled Brownian motion BT - Ensemble- and time-averaged particle displacements, nonergodicity, and the failure of the overdamping approximation JF - Physical review : E, Statistical, nonlinear and soft matter physics N2 - We investigate both analytically and by computer simulations the ensemble- and time-averaged, nonergodic, and aging properties of massive particles diffusing in a medium with a time dependent diffusivity. We call this stochastic diffusion process the (aging) underdamped scaled Brownian motion (UDSBM). We demonstrate how the mean squared displacement (MSD) and the time-averaged MSD of UDSBM are affected by the inertial term in the Langevin equation, both at short, intermediate, and even long diffusion times. In particular, we quantify the ballistic regime for the MSD and the time-averaged MSD as well as the spread of individual time-averaged MSD trajectories. One of the main effects we observe is that, both for the MSD and the time-averaged MSD, for superdiffusive UDSBM the ballistic regime is much shorter than for ordinary Brownian motion. In contrast, for subdiffusive UDSBM, the ballistic region extends to much longer diffusion times. Therefore, particular care needs to be taken under what conditions the overdamped limit indeed provides a correct description, even in the long time limit. We also analyze to what extent ergodicity in the Boltzmann-Khinchin sense in this nonstationary system is broken, both for subdiffusive and superdiffusive UDSBM. Finally, the limiting case of ultraslow UDSBM is considered, with a mixed logarithmic and power-law dependence of the ensemble-and time-averaged MSDs of the particles. In the limit of strong aging, remarkably, the ordinary UDSBM and the ultraslow UDSBM behave similarly in the short time ballistic limit. The approaches developed here open ways for considering other stochastic processes under physically important conditions when a finite particle mass and aging in the system cannot be neglected. Y1 - 2017 U6 - https://doi.org/10.1103/PhysRevE.95.012120 SN - 2470-0045 SN - 2470-0053 VL - 95 PB - American Physical Society CY - College Park ER - TY - JOUR A1 - Herrmann, Carl J. J. A1 - Metzler, Ralf T1 - A self-avoiding walk with neural delays as a model of fixational eye movements JF - Scientific reports 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. Y1 - 2017 U6 - https://doi.org/10.1038/s41598-017-13489-8 SN - 2045-2322 VL - 7 SP - 1 EP - 17 PB - Springer Nature CY - London ER -