Stochastic behaviour of an interface-based memristive device

A large number of simulation models have been proposed over the years to mimic the electrical behaviour of memristive devices. The models are based either on sophisticated mathematical formulations that do not account for physical and chemical processes responsible for the actual switching dynamics or on multi-physical spatially resolved approaches that include the inherent stochastic behaviour of real-world memristive devices but are computationally very expensive. In contrast to the available models, we present a computationally inexpensive and robust spatially 1D model for simulating interface-type memristive devices. The model efficiently incorporates the stochastic behaviour observed in experiments and can be easily transferred to circuit simulation frameworks. The ion transport, responsible for the resistive switching behaviour, is modelled using the kinetic Cloud-In-a-Cell scheme. The calculated current-voltage characteristics obtained using the proposed model show excellent agreement with the experimental findings.

Determinism and Non-linear Behaviour of Log-return and Conditional Volatility: Empirical Analysis for 26 Stock Markets

Determinism and non-linear behaviour in log-return and conditional volatility time series of the stock market index is examined for twenty-six countries. For this goal, the principal statistical techniques used in this study are a robust estimator of correlation dimension, a normalized non-linear prediction error, and pseudo-periodic surrogate data method. The proposed approach indicates, first, the stochastic behaviour of all log-return time series. Second, the inability of local linear, ARMA, or state- dependent noise models (such as ARCH, GARCH, and EGARCH) to describe its structure for the frontier, emerging, and developed markets. The same stochastic behaviour of conditional volatility time series, estimated by the stochastic volatility model with moving average innovations, is detected. This finding proves the efficiency of the stochastic volatility model compared with some analysed types of GARCH models for all studied markets. JEL Classification: C12, C52, D53, E44