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- The University of SydneyAU198 papers
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6 papers · 1 filter
Martingales and first passage times of AR(1) sequences
Alexander Novikov, Nino Kordzakhia
Using the martingale approach we find sufficient conditions for exponential boundedness of first passage times over a level for ergodic first order autoregressive sequences (AR(1))…
The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows
Carl Chiarella, Giulia Iori, Josep Perello
In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. Agents are assumed…
On exit times of Levy-driven Ornstein--Uhlenbeck processes
K. Borovkov, A. Novikov
We prove two martingale identities which involve exit times of Levy-driven Ornstein--Uhlenbeck processes. Using these identities we find an explicit formula for the Laplace transfo…
An Algebra of Quantum Processes
Mingsheng Ying, Yuan Feng, Runyao Duan +1
We introduce an algebra qCCS of pure quantum processes in which no classical data is involved, communications by moving quantum states physically are allowed, and computations is m…
Dynamics and thermalization of the nuclear spin bath in the single-molecule magnet Mn12-ac: test for the theory of spin tunneling
Andrea Morello, L. J. de Jongh
The description of the tunneling of a macroscopic variable in the presence of a bath of localized spins is a subject of great fundamental and practical interest, and is relevant fo…
Distinguishability of Quantum States by Separable Operations
Runyao Duan, Yuan Feng, Yu Xin +1
We study the distinguishability of multipartite quantum states by separable operations. We first present a necessary and sufficient condition for a finite set of orthogonal quantum…