Zobrazeno 1 - 10
of 301
pro vyhledávání: '"Marmi, Stefano"'
We propose a theory of unimodal maps perturbed by an heteroscedastic Markov chain noise and experiencing another heteroscedastic noise due to uncertain observation. We address and treat the filtering problem showing that by collecting more and more o
Externí odkaz:
http://arxiv.org/abs/2411.13939
Several combinatorial optimization problems can be solved with NISQ devices once that a corresponding quadratic unconstrained binary optimization (QUBO) form is derived. The aim of this work is to drastically reduce the variables needed for these QUB
Externí odkaz:
http://arxiv.org/abs/2406.07681
The aim of this article is to analyze some peculiar features of the global (and local) minima of $\alpha$-Brjuno functions $B_\alpha$ where $\alpha\in[\frac{1}{2},1].$ Our starting point is the result by Balazard--Martin (2020), who showed that the m
Externí odkaz:
http://arxiv.org/abs/2401.17679
Autor:
Shternshis, Andrey, Marmi, Stefano
We use the statistical properties of Shannon entropy estimator and Kullback-Leibler divergence to study the predictability of ultra-high frequency financial data. We develop a statistical test for the predictability of a sequence based on empirical f
Externí odkaz:
http://arxiv.org/abs/2312.16637
Publikováno v:
Shternshis, A.; Mazzarisi, P.; Marmi, S. Efficiency of the Moscow Stock Exchange before 2022. Entropy 2022, 24, 1184
This paper investigates the degree of efficiency for the Moscow Stock Exchange. A market is called efficient if prices of its assets fully reflect all available information. We show that the degree of market efficiency is significantly low for most o
Externí odkaz:
http://arxiv.org/abs/2207.10476
We study a random version of the population-market model proposed by Arlot, Marmi and Papini in Arlot et al. (2019). The latter model is based on the Yoccoz-Birkeland integral equation and describes a time evolution of livestock commodities prices wh
Externí odkaz:
http://arxiv.org/abs/2205.09796
We study the asymptotic normality of two feasible estimators of the integrated volatility of volatility based on the Fourier methodology, which does not require the pre-estimation of the spot volatility. We show that the bias-corrected estimator reac
Externí odkaz:
http://arxiv.org/abs/2112.14529
Autor:
Lee, Seul Bee, Marmi, Stefano
The Brjuno function was introduced by Yoccoz to study the linearizability of holomorphic germs and other one-dimensional small divisor problems. The Brjuno functions associated with various continued fractions including the by-excess continued fracti
Externí odkaz:
http://arxiv.org/abs/2111.13553
Publikováno v:
Phys. D: Nonlinear Phenom. 435 (2022)
We give an explicit arithmetical condition which guarantees the existence of the unstable manifold of the MacKay approximate renormalisation scheme for the breakup of invariant tori in one and a half degrees of freedom Hamiltonian systems, correcting
Externí odkaz:
http://arxiv.org/abs/2111.10807
Autor:
Chavaudret, Claire, Marmi, Stefano
One considers a system on $\mathbb{C}^2$ close to an invariant curve which can be viewed as a generalization of the semi-standard map to a trigonometric polynomial with many Fourier modes. The radius of convergence of an analytic linearization of the
Externí odkaz:
http://arxiv.org/abs/2106.13472