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Institute
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.
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.
Effects of the target aspect ratio and intrinsic reactivity onto diffusive search in bounded domains
(2017)
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.
What are the physical laws of the mutual interactions of objects bound to cell membranes, such as various membrane proteins or elongated virus particles? To rationalise this, we here investigate by extensive computer simulations mutual interactions of rod-like particles adsorbed on the surface of responsive elastic two-dimensional sheets. Specifically, we quantify sheet deformations as a response to adhesion of such filamentous particles. We demonstrate that tip-to-tip contacts of rods are favoured for relatively soft sheets, while side-by-side contacts are preferred for stiffer elastic substrates. These attractive orientation-dependent substrate-mediated interactions between the rod-like particles on responsive sheets can drive their aggregation and self-assembly. The optimal orientation of the membrane-bound rods is established via responding to the elastic energy profiles created around the particles. We unveil the phase diagramme of attractive–repulsive rod–rod interactions in the plane of their separation and mutual orientation. Applications of our results to other systems featuring membrane-associated particles are also discussed.
We investigate the ensemble and time averaged mean squared displacements for particle diffusion in a simple model for disordered media by assuming that the local diffusivity is both fluctuating in time and has a deterministic average growth or decay in time. In this study we compare computer simulations of the stochastic Langevin equation for this random diffusion process with analytical results. We explore the regimes of normal Brownian motion as well as anomalous diffusion in the sub- and superdiffusive regimes. We also consider effects of the inertial term on the particle motion. The investigation of the resulting diffusion is performed for unconfined and confined motion.
We study the adsorption–desorption transition of polyelectrolyte chains onto planar, cylindrical and spherical surfaces with arbitrarily high surface charge densities by massive Monte Carlo computer simulations. We examine in detail how the well known scaling relations for the threshold transition—demarcating the adsorbed and desorbed domains of a polyelectrolyte near weakly charged surfaces—are altered for highly charged interfaces. In virtue of high surface potentials and large surface charge densities, the Debye–Hückel approximation is often not feasible and the nonlinear Poisson–Boltzmann approach should be implemented. At low salt conditions, for instance, the electrostatic potential from the nonlinear Poisson–Boltzmann equation is smaller than the Debye–Hückel result, such that the required critical surface charge density for polyelectrolyte adsorption σc increases. The nonlinear relation between the surface charge density and electrostatic potential leads to a sharply increasing critical surface charge density with growing ionic strength, imposing an additional limit to the critical salt concentration above which no polyelectrolyte adsorption occurs at all. We contrast our simulations findings with the known scaling results for weak critical polyelectrolyte adsorption onto oppositely charged surfaces for the three standard geometries. Finally, we discuss some applications of our results for some physical–chemical and biophysical systems.
It is quite generally assumed that the overdamped Langevin equation provides a quantitative description of the dynamics of a classical Brownian particle in the long time limit. We establish and investigate a paradigm anomalous diffusion process governed by an underdamped Langevin equation with an explicit time dependence of the system temperature and thus the diffusion and damping coefficients. We show that for this underdamped scaled Brownian motion (UDSBM) the overdamped limit fails to describe the long time behaviour of the system and may practically even not exist at all for a certain range of the parameter values. Thus persistent inertial effects play a non-negligible role even at significantly long times. From this study a general questions on the applicability of the overdamped limit to describe the long time motion of an anomalously diffusing particle arises, with profound consequences for the relevance of overdamped anomalous diffusion models. We elucidate our results in view of analytical and simulations results for the anomalous diffusion of particles in free cooling granular gases.
Recent experiments show that transcription factors (TFs) indeed use the facilitated diffusion mechanism to locate their target sequences on DNA in living bacteria cells: TFs alternate between sliding motion along DNA and relocation events through the cytoplasm. From simulations and theoretical analysis we study the TF-sliding motion for a large section of the DNA-sequence of a common E. coli strain, based on the two-state TF-model with a fast-sliding search state and a recognition state enabling target detection. For the probability to detect the target before dissociating from DNA the TF-search times self-consistently depend heavily on whether or not an auxiliary operator (an accessible sequence similar to the main operator) is present in the genome section. Importantly, within our model the extent to which the interconversion rates between search and recognition states depend on the underlying nucleotide sequence is varied. A moderate dependence maximises the capability to distinguish between the main operator and similar sequences. Moreover, these auxiliary operators serve as starting points for DNA looping with the main operator, yielding a spectrum of target detection times spanning several orders of magnitude. Auxiliary operators are shown to act as funnels facilitating target detection by TFs.
We investigate the ergodic properties of a random walker performing (anomalous) diffusion on a random fractal geometry. Extensive Monte Carlo simulations of the motion of tracer particles on an ensemble of realisations of percolation clusters are performed for a wide range of percolation densities. Single trajectories of the tracer motion are analysed to quantify the time averaged mean squared displacement (MSD) and to compare this with the ensemble averaged MSD of the particle motion. Other complementary physical observables associated with ergodicity are studied, as well. It turns out that the time averaged MSD of individual realisations exhibits non-vanishing fluctuations even in the limit of very long observation times as the percolation density approaches the critical value. This apparent non-ergodic behaviour concurs with the ergodic behaviour on the ensemble averaged level. We demonstrate how the non-vanishing fluctuations in single particle trajectories are analytically expressed in terms of the fractal dimension and the cluster size distribution of the random geometry, thus being of purely geometrical origin. Moreover, we reveal that the convergence scaling law to ergodicity, which is known to be inversely proportional to the observation time T for ergodic diffusion processes, follows a power-law ∼T−h with h < 1 due to the fractal structure of the accessible space. These results provide useful measures for differentiating the subdiffusion on random fractals from an otherwise closely related process, namely, fractional Brownian motion. Implications of our results on the analysis of single particle tracking experiments are provided.
Many chemical reactions in biological cells occur at very low concentrations of constituent molecules. Thus, transcriptional gene-regulation is often controlled by poorly expressed transcription-factors, such as E.coli lac repressor with few tens of copies. Here we study the effects of inherent concentration fluctuations of substrate-molecules on the seminal Michaelis-Menten scheme of biochemical reactions. We present a universal correction to the Michaelis-Menten equation for the reaction-rates. The relevance and validity of this correction for enzymatic reactions and intracellular gene-regulation is demonstrated. Our analytical theory and simulation results confirm that the proposed variance-corrected Michaelis-Menten equation predicts the rate of reactions with remarkable accuracy even in the presence of large non-equilibrium concentration fluctuations. The major advantage of our approach is that it involves only the mean and variance of the substrate-molecule concentration. Our theory is therefore accessible to experiments and not specific to the exact source of the concentration fluctuations.