On the relationship between continuous time random walks and the non-equilibrium Ornstein-Zernike equation

An exact non-equilibrium Ornstein-Zernike (OZ) equation is derived for lattice fluid systems whose time development is given by a generalized master equation. The derivation is based on a generalization of the Montroll-Weiss continuous-time random walk on a lattice, and on their relationship with master equation solutions. Time dependent direct and total correlation functions are defined in terms of the generating functions for the probability densities of the random walker, such that, in the infinite time limit the equilibrium OZ equation is recovered. A perturbative analysis of the time dependent OZ equation is shown to be formally analogous to the perturbation of the Bloch equation in quantum field theory. Analytic results are obtained, under the mean spherical approximation, for the time dependent total correlation function for a one-dimensional lattice fluid with exponential attraction.     

Fractional diffusion with two time scales

Moving particles that rest along their trajectory lead to time-fractional diffusion equations for the scaling limit distributions. For power law waiting times with infinite mean, the equation contains a fractional time derivative of order between 0 and 1. For finite mean waiting times, the most revealing approach is to employ two time scales, one for the mean and another for deviations from the mean. For finite mean power law waiting times, the resulting equation contains a first derivative as well as a derivative of order between 1 and 2. Finite variance waiting times lead to a second-order partial differential equation in time. In this article we investigate the various solutions with regard to moment growth and scaling properties, and show that even infinite mean waiting times do not necessarily induce subdiffusion, but can lead to super-diffusion if the jump distribution has non-zero mean.     

Moments of the Montroll-Weiss continuous-time random walk for arbitrary starting time

The generalized version of the Montroll-Weiss formalism for continuous-time random walks is employed to show that some of the asymptotic results for large times appropriate to the ordinary walk become exact when the start of the observations is arbitrary.     

A theory of 1/f current noise based on a random walk model

Asymptotic solutions for the Montroll-Weiss continuous-time random walk that are appropriate to the conduction of carriers through a resistive medium are utilized to show that, when carrier drift occurs by virtue of an applied electric field, a 1/f type of spectral density may be exhibited in the current noise. When the applied field is removed the spectral density is given by Nyquist's theorem.     

Anomalous diffusion and fractional stable distributions

A new set of distributions, called fractional stable distributions, is described. A subset of this set is represented by stable laws, while its particular case is the Gaussian distribution. These distributions arise as solutions to fractional-order partial differential equations that represent a generalization of the ordinary diffusion equation to the case of anomalous diffusion. The properties of multidimensional fractional stable densities are described, their expressions in terms of special functions are presented, and physical problems that lead to these densities are discussed.     

Random walks with infinite spatial and temporal moments

The continuous-time random walk of Montroll and Weiss has been modified by Scher and Lax to include a coupled spatial-temporal memory. We treat novel cases for the random walk and the corresponding generalized master equation when combinations of both spatial, and temporal moments of the memory are infinite. The asymptotic properties of the probability distribution for being at any lattice site as a function of time and its variance are calculated. The resulting behavior includes localized, diffusive, wavelike, and Levy's stable laws for the appropriate scaled variable. We show that an infinite mean waiting time can lead to long time diffusive behavior, while a finite mean waiting time is not sufficient to ensure the same.     

From diffusion to anomalous diffusion: a century after Einstein's Brownian motion

Einstein's explanation of Brownian motion provided one of the cornerstones which underlie the modern approaches to stochastic processes. His approach is based on a random walk picture and is valid for Markovian processes lacking long-term memory. The coarse-grained behavior of such processes is described by the diffusion equation. However, many natural processes do not possess the Markovian property and exhibit anomalous diffusion. We consider here the case of subdiffusive processes, which correspond to continuous-time random walks in which the waiting time for a step is given by a probability distribution with a diverging mean value. Such a process can be considered as a process subordinated to normal diffusion under operational time which depends on this pathological waiting-time distribution. We derive two different but equivalent forms of kinetic equations, which reduce to known fractional diffusion or Fokker-Planck equations for waiting-time distributions following a power law. For waiting time distributions which are not pure power laws one or the other form of the kinetic equation is advantageous, depending on whether the process slows down or accelerates in the course of time.     

Nonrenewal statistics in the catalytic activity of enzyme molecules at mesoscopic concentrations

Recent fluorescence spectroscopy measurements of single-enzyme kinetics have shown that enzymatic turnovers form a renewal stochastic process in which the inverse of the mean waiting time between turnovers follows the Michaelis-Menten equation. We study enzyme kinetics at physiologically relevant mesoscopic concentrations using a master equation. From the exact solution of the master equation we find that the waiting times are neither independent nor identically distributed, implying that enzymatic turnovers form a nonrenewal stochastic process. The inverse of the mean waiting time shows strong departure from the Michaelis-Menten equation. The waiting times between consecutive turnovers are anticorrelated, where short intervals are more likely to be followed by long intervals and vice versa. Correlations persist beyond consecutive turnovers indicating that multiscale fluctuations govern enzyme kinetics.     

Inverse statistics in the foreign exchange market

We investigate intra-day foreign exchange (FX) time series using the inverse statistic analysis developed by Simonsen et al. (Eur. Phys. J. 27 (2002) 583) and Jensen et al. (Physica A 324 (2003) 338). Specifically, we study the time-averaged distributions of waiting times needed to obtain a certain increase (decrease) ρ in the price of an investment. The analysis is performed for the Deutsch Mark (DM) against the US$ for the full year of 1998, but similar results are obtained for the Japanese Yen against the US$. With high statistical significance, the presence of “resonance peaks” in the waiting time distributions is established. Such peaks are a consequence of the trading habits of the market participants as they are not present in the corresponding tick (business) waiting time distributions. Furthermore, a new stylized fact, is observed for the (normalized) waiting time distribution in the form of a power law Pdf. This result is achieved by rescaling of the physical waiting time by the corresponding tick time thereby partially removing scale-dependent features of the market activity.     

A unified quantum theory of mechanics and thermodynamics. Part IIb. Stable equilibrium states

Part IIb presents some of the most important theorems for stable equilibrium states that can be deduced from the four postulates of the unified theory presented in Part I. It is shown for the first time that the canonical and grand canonical distributions are the only distributions that are stable. Moreover, it is shown that reversible adiabatic processes exist which cannot be described by the dynamical equation of quantum mechanics. A number of conditions are discussed that must be satisfied by the general equation of motion which is yet to be discovered.Part I of this paper appeared inFound. Phys. 6(1), 15 (1976). Part IIa appeared inFound. Phys. 6(2), 127 (1976). The numbering of the sections, equations, and references in this part of the paper continues from those in Part IIa.     

Waiting time distributions in financial markets

We study waiting time distributions for data representing two completely different financial markets that have dramatically different characteristics. The first are data for the Irish market during the 19th century over the period 1850 to 1854. A total of 10 stocks out of a database of 60 are examined. The second database is for Japanese yen currency fluctuations during the latter part of the 20th century (1989-1992). The Irish stock activity was recorded on a daily basis and activity was characterised by waiting times that varied from one day to a few months. The Japanese yen data was recorded every minute over 24 hour periods and the waiting times varied from a minute to a an hour or so. For both data sets, the waiting time distributions exhibit power law tails. The results for Irish daily data can be easily interpreted using the model of a continuous time random walk first proposed by Montroll and applied recently to some financial data by Mainardi, Scalas and colleagues. Yen data show a quite different behaviour. For large waiting times, the Irish data exhibit a cut off; the Yen data exhibit two humps that could arise as result of major trading centres in the World. Received 31 December 2001     

Advection and dispersion in time and space

Previous work showed how moving particles that rest along their trajectory lead to time-nonlocal advection–dispersion equations. If the waiting times have infinite mean, the model equation contains a fractional time derivative of order between 0 and 1. In this article, we develop a new advection–dispersion equation with an additional fractional time derivative of order between 1 and 2. Solutions to the equation are obtained by subordination. The form of the time derivative is related to the probability distribution of particle waiting times and the subordinator is given as the first passage time density of the waiting time process which is computed explicitly.     

A unified quantum theory of mechanics and thermodynamics. Part I. Postulates

A unified axiomatic theory that embraces both mechanics and thermodynamics is presented in three parts. It is based on four postulates; three are taken from quantum mechanics, and the fourth is the new disclosure of the existence of quantum states that are stable (Part I). For nonequilibrium and equilibrium states, the theory provides general original results, such as the relation between irreducible density operators and the maximum work that can be extracted adiabatically (Part IIa). For stable equilibrium states, it shows for the first time that the canonical and grand canonical distributions are the only stable distributions (Part IIb). The theory discloses the incompleteness of the equation of motion of quantum mechanics not only for irreversible processes but, more significantly, for reversible processes (Part IIb). It establishes the operational meaning of an irreducible density operator and irreducible dispersions associated with any state, and reveals the relationship between such dispersions and the second law (Part III).     

Earthquakes descaled: on waiting time distributions and scaling laws

Recently, several authors have used waiting time distributions for large earthquake data sets to draw conclusions regarding the physics of earthquake processes. We show, theoretically and by simulation, that a characteristic kink in observed waiting time distributions does not have the physical significance of separating correlated and uncorrelated earthquakes. It also follows from our discussion that the Omori law is not trivially related to a proposed scaling law and that caution must be taken before the spatial scaling exponent of the law is interpreted as a fractal dimension of seismicity.     

Distributions of waiting times of dynamic single-electron emitters

The distribution of waiting times between elementary tunneling events is of fundamental importance for understanding the stochastic charge transfer processes in nanoscale conductors. Here we investigate the waiting time distributions (WTDs) of periodically driven single-electron emitters and evaluate them for the specific example of a mesoscopic capacitor. We show that the WTDs provide a particularly informative characterization of periodically driven devices and we demonstrate how the WTDs allow us to reconstruct the full counting statistics (FCS) of charges that have been transferred after a large number of periods. We find that the WTDs are capable of describing short-time physics and correlations which are not accessible via the FCS alone.     

Non-homogeneous random walks, generalised master equations, fractional Fokker-Planck equations, and the generalised Kramers-Moyal expansion

A generalised random walk scheme for random walks in an arbitrary external potential field is investigated. From this concept which accounts for the symmetry breaking of homogeneity through the external field, a generalised master equation is constructed. For long-tailed transfer distance or waiting time distributions we show that this generalised master equation is the genesis of apparently different fractional Fokker-Planck equations discussed in literature. On this basis, we introduce a generalisation of the Kramers-Moyal expansion for broad jump length distributions that combines multiples of both ordinary and fractional spatial derivatives. However, it is shown that the nature of the drift term is not changed through the existence of anomalous transport statistics, and thus to first order, an external potential Φ(x) feeds back on the probability density function W through the classical term ∝/ x (x)W(x, t), i.e., even for Lévy flights, there exists a linear infinitesimal generator that accounts for the response to an external field. Received 30 June 2000 and Received in final form 12 November 2000     

Diffusion in a lattice of randomly placed sites and application to ac conductivity

The transition probability for a carrier hopping between randomly placed sites is determined for a system in thermodynamic equilibrium. The effect of the first waiting time is included and the result is shown to be consistent with the theory of statistical thermodynamics. Furthermore, a comparison is made with the master equation approach, which is shown to be exact when the waiting times are exponentially distributed. The application to ac conductivity is discussed.     

The distribution of first-passage times and durations in FOREX and future markets

Possible distributions are discussed for intertrade durations and first-passage processes in financial markets. The view-point of renewal theory is assumed. In order to represent market data with relatively long durations, two types of distributions are used, namely a distribution derived from the Mittag-Leffler survival function and the Weibull distribution. For the Mittag-Leffler type distribution, the average waiting time (residual life time) is strongly dependent on the choice of a cut-off parameter t_max, whereas the results based on the Weibull distribution do not depend on such a cut-off. Therefore, a Weibull distribution is more convenient than a Mittag-Leffler type if one wishes to evaluate relevant statistics such as average waiting time in financial markets with long durations. On the other hand, we find that the Gini index is rather independent of the cut-off parameter. Based on the above considerations, we propose a good candidate for describing the distribution of first-passage time in a market: The Weibull distribution with a power-law tail. This distribution compensates the gap between theoretical and empirical results more efficiently than a simple Weibull distribution. It should be stressed that a Weibull distribution with a power-law tail is more flexible than the Mittag-Leffler distribution, which itself can be approximated by a Weibull distribution and a power-law. Indeed, the key point is that in the former case there is freedom of choice for the exponent of the power-law attached to the Weibull distribution, which can exceed 1 in order to reproduce decays faster than possible with a Mittag-Leffler distribution. We also give a useful formula to determine an optimal crossover point minimizing the difference between the empirical average waiting time and the one predicted from renewal theory. Moreover, we discuss the limitation of our distributions by applying our distribution to the analysis of the BTP future and calculating the average waiting time. We find that our distribution is applicable as long as durations follow a Weibull law for short times and do not have too heavy a tail.