Publications

Interactive of publications with full papers (if possible) may be found here:

Journal of Econophysics group of Ryszard Kutner

Edit list of publication here (staff only)

Webpage of Econophysics group of Ryszard Kutner



Recent publications

R. Kutner, A. Pękalski, K. Sznajd-Weron (Eds.): Anomalous Diffusion. From Basics to Applications, Lect. Notes in Phys. Vol. 519, Springer-Verlag, Berlin 1999

R. Kutner: Stock market context of the Lévy walks with varying velocity, Physica A 314 (2002) 201

R. Kutner, F. Świtała: Stochastic Simulation of Time Series within Weierstrass-Mandelbrot Walks, Quant. Finance 3 (2003) 201

M. Kozłowska, R. Kutner: Anomalous transport and diffusion versus extreme value theory, Physica A 357 (2005) 282

M. Kozłowska, A. Kasprzak, R. Kutner: Fractional Market Model and its verification on the Warsaw Stock Exchange, Int. J. Modern Phys. C 19 (2008) 453

J. Perelló, J. Masoliver, A. Kasprzak, R. Kutner: Model for interevent times with long tails and multifractality in human communications: An application to financial trading, Phys. Rev. E 78 (2008) 036108.

T. Gubiec, R. Kutner: Backward jump continuous-time random walk: An application to market trading, Phys. Rev. E 82 (2010)  046119

M. Kozłowska, R. Kutner: Singular Dynamics of Various Macroeconomic Sectors, Acta Phys. Pol. A 117 (2010) 630  

A. Kasprzak, R. Kutner, J. Perelló, J. Masoliver: Higher-order phase transition on financial markets, Eur. Phys. J. B 76 (2010) 513

  1. M.Jagielski and R. Kutner: Study of Housholds' Income in Poland by using the Statistical Physics Approach,  Acta Phys. Pol. A 117 (2010) 615

T. Gubiec, T. Werner, R. Kutner, D. Sornette: Modeling of super-extreme events: An application to the hierarchical Weierstrass-Mandelbrot Continuous-time Random Walk, Eur. Phys.  J.  ST 205, 27-52 (2012)


M. Jagielski, R. Kutner: Preliminary comparison of household's income in Poland with European Union and Unites States ones by using the statistical physics methods, Acta Phys. Pol. A 121 (2B),  47-49 (2012)


T. Ciepliński, A. Dominiczak, R. Kutner: Short Comprehensive Report on the Non-Brownian Stochastic Dynamics at Financial and Commodity Markets, Acta Phys. Pol. A 121 (2B), 24-27 (2012)


R. Kutner: List of publications (1974-2010)

without publications in Polish


1974

1.    R. Kutner and I. Sosnowska

    Diffusion  Coefficient as a Function of Concentration of Hydrogen Atoms Diffusing in   

       V, Nb, Ta  α-Phases",

       Acta Phys. Pol., A 46, 755, 1974.


1975


2.    R. Kutner, I. Sosnowska:

       Application of  the  Multi-parameter  Jump  Diffusion  Model to  the  Theory  of  the     

       Thermal  Neutron  Scattering   from α-PdH  System",

        Bul. Pol. Acad. Sci., 23, 87, 1975.


3.    R. Kutner, I. Sosnowska:

       Application of the Multi-Sublattice Jump Diffusion Model  in the  Theory  of  the     

       Quasielastic  Neutron  Scattering  from Hydrogen in V, Nb and Ta,

       Acta Phys. Pol., A 471, 475, 1975.


1977


4.   R. Kutner, I. Sosnowska:

      Nonlinear Jump Diffusion Model  Applied  in  the  Incoherent

      Thermal Neutron Scattering",

      Acta Phys. Pol., A 51, 171, 1977.


5.   R. Kutner, I. Sosnowska:

      Thermal Neutron Scattering from a Hydrogen-Metal  System  in Terms of a General     

      Multi-Sublattice Jump Diffusion  Model  I. Theory",

      J. Phys. Chem. Solids, 38, 741, 1977.


6.   R. Kutner, I. Sosnowska:

      Thermal Neutron Scattering from a Hydrogen-Metal  System  in Terms of a General    

      Multi-Sublattice Jump Diffusion Model  II. Remarks on Hydrogen Diffusion in the     

      α-Phase of Nb-H",

      J. Phys. Chem. Solids, 38, 747, 1977.


1978


7.    R. Kutner, I. Sosnowska, W. Kley:

        Multi-Sublattice  Jump  Diffusion  Model  Calculations   for  Hydrogen Diffusion in    

        α-Palladium Hydride",

        phys. stat. sol. (b), 89 K29, 1978.


1979


8.    R. Kutner, I. Sosnowska:

       Quasielastic   Neutron    Scattering    Laws    at    Finite Concentrations of Elements   

       Diffusing in a Crystal,

       phys. stat. sol. (b), 93, K39, 1979.


9.    R. Kutner, I. Sosnowska:

       Nonlinear Equations of Correlated Jump Diffusion Derived  in the Context of Hydrogen     

       Migration in a Metal,

       phys. stat. sol. (b), 93, k167, 1979.


10.  R. Kutner, I. Sosnowska:

       Influence of the Finite Lifetime of Hydrogen Jump  Phase  on the Quasielastic Neutron   

       Scattering by MeH  System, J. Phys. Chem. Solids, 40, 915, 1979.

   

1981


11.   R. Kutner:

        Chemical Diffusion in the  Lattice  Gas  of  Non-interacting Particles,

        Phys. Lett., A 23, 239, 1981.


12.   K. W. Kehr, R. Kutner, K. Binder:

        Diffusion in Concentrated Lattice Gases.  Self-diffusion  of  Non-interacting Particles    

        in Three-dimensional Lattices,

        Phys. Rev. B 23, 4931, 1981. 


1982


13.   K. W. Kehr, R. Kutner:

        Random Walk on a Random Walk,

        Physica A 110, 535, 1982.

  

14.   R. Kutner, K. Binder, K. W. Kehr:

        Diffusion in Concentrated Lattice Gases. II. Particles  with

        Attractive Nearest-neighbor Interaction on  Three-dimensional Lattices,

        Phys. Rev. B 26, 2967, 1982.


1983


15.  R. Kutner, K. W. Kehr:

        Diffusion  in  concentrated  lattice  gases.  IV.  Diffusion coefficient of tracer particle

        with different jump rate.

        Philos. Magaz., 48, 199, 1983.

   

16.   R. Kutner, K.Binder, K. W. Kehr:

        Diffusion in concentrated lattice gases. V.  Particles  with repulsive nearest-neighbor     

        interaction  on the face-centered-cubic lattice,

        Phys. Rev. B 28, 1846, 1983.


17.   H. van Beijeren, K. W. Kehr, R. Kutner:

        Diffusion  in  concentrated  lattice  gases.   III.   Tracer diffusion in one-dimensional    

        lattice,

        Phys. Rev. B 28, 5711, 1983.


18.   D. Richter, R. Hempelmann, O. Hartmann, E. Karlsson,  L. O. Norlin, S. F. J. Cox,

        R. Kutner:

        The positive muon as a  tracer  for  the  study  of  dynamic correlation effects in metal     

         hydrogen system,

         J. Chem. Physics 79, 4564, 1983.


19.   H. van Beijeren, K. W. Kehr, R. Kutner:

        Diffusion  in  concentrated  lattice  gases.   III.   Tracer diffusion in one-dimensional    

        lattice,

    Phys. Rev. B 28, 5711, 1983. 


1984


20.   R. Kutner, H.van Beijeren, K. W. Kehr:

        Diffusion in concentrated lattice gases. VI. Tracer diffusion on two coupled linear   

        chains,

        Phys. Rev. B 30, 4382, 1984.


21.   R. Kutner, H.van Beijeren, K. W. Kehr:

        Diffusion in concentrated lattice gases. VI. Tracer diffusion on two coupled linear      

        chains,

        Phys. Rev. B 30, 4382, 1984.


22.   R. Kutner, H.van Beijeren, K. W. Kehr:

        Diffusion in concentrated lattice gases. VI. Tracer diffusion on two coupled linear     

        chains,

        Phys. Rev. B 30, 4382, 1984.


1985


23.   R. Kutner:

        Correlated hopping in honeycomb  lattice:  tracer  diffusion coefficient at arbitrary     

        lattice gas concentration,

        J. Phys. C: Solid State Phys. 18, 6323, 1985.

   

24.   H. van Beijeren, R. Kutner, K. W. Kehr:

        Tracer diffusion on two coupled lines. The long-time tail of  the velocity       

        autocorrelation function compared  to  the  mode coupling prediction,

        Phys. Rev. B 32, 466, 1985.


25.   R. Kutner, H. van Beijeren:

        Influence of a Uniform Driving Force on Tracer Diffusion  in a One-dimensional Hard-    

        core Lattice Gas,

        J. Stat. Phys. 39, 317, 1985.


26.   H. van Beijeren, R. Kutner:

        Mean Square Displacement of a Tracer Particle in a Hard-Core Lattice Gas,

        Phys. Rev. Lett. 55, 238 (1985).


27.   H. van Beijeren, R. Kutner, H. Spohn:

        Excess Noise for Driven Diffusive Systems,

        Phys. Rev. Lett. 54, 2026 (1985).


1986


28.   R. Kutner, H. Van Beijeren

        Tracer diffusion in a one-dimensional  lattice  gas  in  the presence of a drift force",

        Solid State Ionics, 18-19, 229, 1986.


29.   R. Kutner:

       Nonhomogeneous    Generalized    Master     Equation     and Nonhomogeneous     

       Second-Order Integrodifferential Equation  for the Time-Dependent Back-Jump       

       Effect,

       phys. stat. sol. (b) 135, 535 (1986).


1987


30.   H. van Beijeren, R. Kutner:

        Tracer  Diffusion  in  Concentrated   Lattice   Gas   Models. Rectangular Lattices with     

         Anisotropic Jump Rates,

         J. Stat. Phys. 49, 1043 (1987).


1990


31.   R. Kutner, K. W. Kehr:

        Diffusion  in   Concentrated   Lattice   Gases.   Incoherent Dynamical Strukture     

        Function for Tagged Particles  on  Square Lattices, 

        Phys. Rev. B 41, 2784 (1990).


1991


32.   R. Kutner:

        Biased Random Walk on a Biased Random Walk

        Physica A 171, 43, 1991;


33.   T. Barszczak, R. Kutner:

        Modified Fermi-Dirac Statistics of Fermionic Lattice  Gas  by the Back-Jump     

        Correlations,

        J. Stat. Phys. 62, 389 (1991).


34.   T. Barszczak, R. Kutner:

        Influence of the Back-Jump Correlations  on  the  Fermi-Dirac Statistics,

        Int. J. Mod. Phys. C2, 227 (1991).


35.   R.Przeniosło, T.Barszczak, R.Kutner, W.Guzicki, and W.Renz:

        Monte Carlo Simulations of Lattice Gases  Exhibiting  Quantum Statistical     

        Distributions,

        Int. J. Mod. Phys. C2, 450 (1991).


36.   R.Kutner, T.Barszczak:

        Distribution for Fermionic Discrete Lattice  Gas  within  the Canonical Ensemble",

        J. Stat. Phys. 65, 813 (1991).


1992


37.   R.Kutner, W.Bogusz:

        Determination of the Chemical Diffusion Coefficient by  Monte Carlo Simulation of the     

        Center-of-Mass Propagation,

        Z. Phys. B - Condensed Matter 86, 461 (1992).


1994


38.   R.Kutner, D.Kn\"{o}dler, P.Pendzig, R.Przenioso, W.Dieterich:

        Single-Ion Random Walk on a Lattice in an Attractive  Coulomb Potential,

        Lecture Notes in Physics, Vol. 438, ed. A.P\c{e}kalski  (Springer, Berlin 1994), p.197.


1995


39.   R. Kutner, K. W. Kehr, W. Renz, R. Przeniosło:

        Diffusion in a one-dimensional bosonic lattice gas", J. Phys. A: Math. Gen. 28, 923     

        (1995).


40.   R.Kutner, R.Przenios{\l}o, M.Kwiatkowski:

        Quantum statistics and discreteness. Differences between  the canonical and grand    

        canonical ensembles for a fermionic lattice gas,

        Ann. Physik 4, 646 (1995).


1996


41.  R.Kutner:

         Susceptibility and transport coefficients in a transient state on a one-dimensional     

         lattice. I. Extended linear response and diffusion,

         Physica A 224, 558 (1996).

42.    R. Kutner

         Susceptability and transport coefficient in a transient state on a one-dimensional       

         lattice. I. Extended linear response and diffusion

         Physica A 224 (1996)  558.


43.   R. Kutner, P. Maass

       Random Walks in the Presence of Quenched Jump Lengths Distributions

       Proceed. 8th EPS-APS Intern. Conf. Phys. Comput.'96, Kraków (Poland) 1996,  ed.      

       Acad. Comput. Center, Cyfronet  Kraków 1996, s. 75.


1997


44.   R. Kutner, P. Maass

        Random walk on a linear chain with quenched distribution lengths

        Phys. Rev. E 55 (1997) 71.


45.   R. Kutner, P. Pendzig, D. Knödler

        Transport Coefficients in a Transient State

         NATO ASI, Series B: Physics, ed. Plenum Press, New York 1997, s. 657.


1998


46.    R. Kutner, P. Maass

         Lévy flights with quenched noise amplitudes

         J. Phys. A: Math. And Gen. 31 (1998) 2603.


1999


47.    R. Kutner, P. Maass

         Random Flights with Quenched Noise Amplitudes

         Lect. Notes Phys. Vol. 519,  ed. Springer-Verlag, Berlin 1999, s. 61.


48.    R. Kutner

         Coherent Spatio-Temporal Coupling in Fractional Wanderings. Renewed Approach     

        to Continuous-Time Lévy Flights,

        Lect. Notes Phys. Vol. 519,  ed. Springer-Verlag, Berlin 1999, s. 1.


49.    R. Kutner

         Spatio-temporal coupling in the continuous-time Lévy flights,

         Solid State Ionics 119 (1999) 323.


50.   R. Kutner

        Hierarchical spatio-temporal coupling in fractional wanderings. I. Continuous-time      

        Weierstrass flights    

        Physica A 264 (1999) 84.


51.   R. Kutner, M. Regulski

        Hierarchical spatio-temporal coupling in fractional wanderings. II. Diffusion phase     

        diagram for Weierstrass walks

        Physica A 264 (1999) 107.


52.   M. Regulski, R. Kutner

        Bose-Einstein Condensation shown by Monte Carlo simulation

        Comp. Phys. Comm. 121-122 (1999) 586.


53.  R. Kutner, K. Wysocki

       Applications of statistical mechanics to non-brownian random motion

       Physica A 274 (1999) 67.


2001


54.  R. Kutner

       Non-Gaussian Processes in Non-Linear Dynamics

       2nd European Interdisciplinary School on Nonlinear Dynamics for System and Signal     

       Analysis. EUROATTRACTOR, Warszawa (Polska) 2001, ed. Wydawnictwa IBBE PAN   

       Warszawa 2001, s. 31.


2002


55.  R. Kutner

       Extreme events as foundation of Lévy walks with varying velocity

       Chem. Phys. 284 (2002) 481.


56.  R. Kutner

       Higher-order analysis within Weierstrass hierarchical walks

       Comp. Phys. Comm. 284 (2002) 565.


57.   R. Kutner

        Stock market context of the Lévy walks with varying velocity

        Physica A 314 (2002) 201.


2003


58.    A. Galant, R. Kutner

        Heat transfer, Newton law of cooling and the law of entropy increase simulated by the   

        real-time computer experiment in Java

        Lecture Notes in Computer Science 2657 (2003) 45.


59.    R. Kutner, F. Świtała

         Possible origin of the non-linear long-term autocorrelation within the Gaussian  

         regime

         Physica A 330 (2003) 177.


60.    R. Kutner

         Rare and Extreme Events as Basis of Generalized Lévy Walks

         in  From Quanta to Societes, 2nd European Interdisciplinary School on Nonlinear    

        Dynamics for System and Signal Analysis, ed. Pabst Science Publ. Lengerich 2003,   

        s. 319.


61.    R. Kutner, F. Świtała

         Stochastic Simulation of Time Series by Using the Spatoal-Temporal Weierstrass     

         Function

         Lecture Notes in Comp. Science 2657 (2003) 407.


62.    R. Kutner, F. Świtała

         Stochastic Simulation of Time Series within Weierstrass-Mandelbrot Walks

         Quant. Finance 3 (2003) 201.


63.    R. Kutner, F. Świtała

         Study of the nonlinear autocorrelations within the Gaussian regime

         Eur. Phys. J. 33 (2003) 495.


2004


64.   M. Gall, R. Kutner, A. Majerowski, D. Żebrowski

        Bose-Einstein Condensation Studied by the Real-Time Monte Carlo Simulation in the   

        Frame of java Applet

        Lecture Notes in Comp. Science 3039 (2004) 672.


65.   R. Kutner, F. Świtała

        Remarks on the possible universal mechanism of the non-linear long-term  

        autocorrelations in financial time-series

        Physica A 344 (2004) 244.


66.   M. Gall, R. Kutner, W. Wesela

        The Proof and Illustration of the Central Limit Theorem by Brownian Numerical    

        Experiments in Real Time within Java Applet

         Lecture Notes in Comp. Science 3037 (2004) 467.


2005


67.   M. Kozłowska, R. Kutner

        Anomalous transport and diffusion versus extreme value theory

        Physica A 357 (2005) 282.


68.   M. Kozłowska, F. Świtała, R. Kutner

        Is Discretization of the Stochastic Continuous-Time Process a Reason for the Non-    

        Linear Long-Term Autocorrelations Observed in High-Frequency Financial Time    

        Series?

        Acta Phys. Pol. B 36 (2005), 2415.


69.   J. Hurkała, M. Gall, R. Kutner, M. Maciejczyk

        Real-time numerical simulation of the Carnot cycle

        Eur. J. Phys. 26 (2005) 673.


70.   M. Gall, R. Kutner

        Simple molecular mechanism of heat transfer. Debye relaxation versus power-law

        Physica A 352 (2005) 347.


71.   M. Gall, R. Kutner  

        Simulation of the Carnot Engine in the Frame of Statistical Mechanics

        Lecture Series on Comp. And Comput. Sciences 4B (2005) 1065.


72.   R. Kutner, M. Gall, A. Majerowski

        Entropia niejedno ma imię (5). Remanent, uogólnienia i pierwsze podsumowanie

        Fizyka w Szkole 278 (2005) 137.


2006


73.   M. Kozłowska, R. Kutner, F. Świtała

        Discretized Continuous-Time Hierarchical Walks and Flights as possible bases of the    

        non-linear long-term autocorrelations observed in high-frequency financial time-series

        in Practical Fruits of Econophysics. Proceed of the Third Nikkei Econophysics    

        Symposium, Tokyo 2005, ed. Springer-Verlag, Berlin 2006, s. 142.


74.   M. Kozłowska, R. Kutner

        Dynamics of the Warsaw Stock Exchange Index as Analysed by the    

        Nonhomogeneous Fractional Relaxation Equation

        Acta Phys. Pol. B 37 (2006) 3027.


2008


75. J. Perelló, J. Masoliver, A. Kasprzak, R. Kutner

       Model for interevent times with long tails and multifractality in human communications:     

       An application to financial trading

       Phys. Rev. E 78 (2008) 036108.


76.   M. Kozłowska, A. Kasprzak, R. Kutner

        Fractional Market Model and its verification on the Warsaw Stock Exchange

        Int. J. Modern Phys. C 19 (2008) 453.


77.   R. Kutner, D. Grech

        Report on Foundation and Organization of Econophysics Courses at Facoulty of        

        Physics University of Warsaw and Department of Physics and Astronomy of the    

        Wrocław University

         Acta Phys. Pol. A 114 (2008) 637.


2010


78.  T. Gubiec, R. Kutner

        Backward jump continuous-time random walk: An application to market trading

        Phys. Rev. E 82 (2010)  046119


79.   A. Kasprzak, R. Kutner, J. Perelló, J. Masoliver

        Higher-order phase transition on financial markets

        Eur. Phys. J. B 76 (2010) 513.


80.    M. Jagielski, R. Kutner

         Study of Household's Income in Poland by Using Statistical Physics Approach

         Acta Phys. Pol. A 117 (2010) 615.


81.   M. Kozłowska, R. Kutner

        Singular Dynamics of Various Economic Sectors

        Acta Phys. Pol. A 117 (2010) 630.


82.   T. Gubiec, R. Kutner

        Share Price Evolution as Stationary, Dependent Cintinuous-Time Random Walk

        Acta Phys. Pol. A 117 (2010) 669.


83.   M. Kozłowska, R. Kutner

        Modern Rheology on a Stock Market

        Acta  Phys. Pol. A 118  (2010) 677.


2012


84.   T. Gubiec, T. Werner, R. Kutner, D. Sornette

         Modeling of super-extreme events: An application to the hierarchical Weierstrass-       

         Mandelbrot Continuous-time Random Walk

         Eur. Phys.  J.  ST 205 (2012)  27.


85.    M. Jagielski, R. Kutner

         Preliminary comparison of household's income in Poland with European Union and     

         Unites States ones by using the statistical physics methods

         Acta Phys. Pol. A 121 (2B) (2012) 47.


86.    T. Ciepliński, A. Dominiczak, R. Kutner

         Short Comprehensive Report on the Non-Brownian Stochastic Dynamics at Financial    

         and Commodity Markets

         Acta Phys. Pol. A 121 (2B) (2012) 27.