60 research outputs found

    Conduction at the onset of chaos

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    After a general discussion of the thermodynamics of conductive processes, we introduce specific observables enabling the connection of the diffusive transport properties with the microscopic dynamics. We solve the case of Brownian particles, both analytically and numerically, and address then whether aspects of the classic Onsager's picture generalize to the non-local non-reversible dynamics described by logistic map iterates. While in the chaotic case numerical evidence of a monotonic relaxation is found, at the onset of chaos complex relaxation patterns emerge.Comment: 8 pages, 4 figure

    On time and ensemble averages in quasistationary state of low-dimensional Hamiltonian maps

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    We discuss the relation between ensemble and time averages for quasistationary states of low-dimensional symplectic maps that present remarkable analogies with similar states detected in many-body long-range-interacting Hamiltonian systems.Comment: Communication at lawnp'03, VIII Latin American Workshop on Nonlinear Phenomena, Salvador, Bahia, Brazil, Sept. 28 - Oct. 3, 2003. Accepted for publication in Physica A. Elsevier Latex, 7 pages, 5 figure

    Export dynamics as an optimal growth problem in the network of global economy

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    We analyze export data aggregated at world global level of 219 classes of products over a period of 39 years. Our main goal is to set up a dynamical model to identify and quantify plausible mechanisms by which the evolutions of the various exports affect each other. This is pursued through a stochastic differential description, partly inspired by approaches used in population dynamics or directed polymers in random media. We outline a complex network of transfer rates which describes how resources are shifted between different product classes, and determines how casual favorable conditions for one export can spread to the other ones. A calibration procedure allows to fit four free model-parameters such that the dynamical evolution becomes consistent with the average growth, the fluctuations, and the ranking of the export values observed in real data. Growth crucially depends on the balance between maintaining and shifting resources to different exports, like in an explore-exploit problem. Remarkably, the calibrated parameters warrant a close-to-maximum growth rate under the transient conditions realized in the period covered by data, implying an optimal self organization of the global export. According to the model, major structural changes in the global economy take tens of years

    Nos\'e-Hoover and Langevin thermostats do not reproduce the nonequilibrium behavior of long-range Hamiltonians

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    We compare simulations performed using the Nos\'e-Hoover and the Langevin thermostats with the Hamiltonian dynamics of a long-range interacting system in contact with a reservoir. We find that while the statistical mechanics equilibrium properties of the system are recovered by all the different methods, the Nos\'e-Hoover and the Langevin thermostats fail in reproducing the nonequilibrium behavior of such Hamiltonian.Comment: Contribution to the proceeding of the "International Conference on the Frontiers of Nonlinear and Complex Systems" in honor of Prof. Bambi Hu, Hong Kong, May 200

    Mesoscopic virial equation for nonequilibrium statistical mechanics

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    We derive a class of mesoscopic virial equations governing energy partition between conjugate position and momentum variables of individual degrees of freedom. They are shown to apply to a wide range of nonequilibrium steady states with stochastic (Langevin) and deterministic (Nos\'e--Hoover) dynamics, and to extend to collective modes for models of heat-conducting lattices. A generalised macroscopic virial theorem ensues upon summation over all degrees of freedom. This theorem allows for the derivation of nonequilibrium state equations that involve dissipative heat flows on the same footing with state variables, as exemplified for inertial Brownian motion with solid friction and overdamped active Brownian particles subject to inhomogeneous pressure.Comment: 14 pages, 3 figures. Some revision

    Finite-size scaling in unbiased translocation dynamics

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    Finite-size scaling arguments naturally lead us to introduce a coordinate-dependent diffusion coefficient in a Fokker-Planck description of the late stage dynamics of unbiased polymer translocation through a membrane pore. The solution for the probability density function of the chemical coordinate matches the initial-stage subdiffusive regime and takes into account the equilibrium entropic drive. Precise scaling relations connect the subdiffusion exponent to the divergence with the polymer length of the translocation time, and also to the singularity of the probability density function at the absorbing boundaries. Quantitative comparisons with numerical simulation data in d=2d=2 strongly support the validity of the model and of the predicted scalings.Comment: Text revision. Supplemental Material adde

    Scaling symmetry, renormalization, and time series modeling

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    We present and discuss a stochastic model of financial assets dynamics based on the idea of an inverse renormalization group strategy. With this strategy we construct the multivariate distributions of elementary returns based on the scaling with time of the probability density of their aggregates. In its simplest version the model is the product of an endogenous auto-regressive component and a random rescaling factor designed to embody also exogenous influences. Mathematical properties like increments' stationarity and ergodicity can be proven. Thanks to the relatively low number of parameters, model calibration can be conveniently based on a method of moments, as exemplified in the case of historical data of the S&P500 index. The calibrated model accounts very well for many stylized facts, like volatility clustering, power law decay of the volatility autocorrelation function, and multiscaling with time of the aggregated return distribution. In agreement with empirical evidence in finance, the dynamics is not invariant under time reversal and, with suitable generalizations, skewness of the return distribution and leverage effects can be included. The analytical tractability of the model opens interesting perspectives for applications, for instance in terms of obtaining closed formulas for derivative pricing. Further important features are: The possibility of making contact, in certain limits, with auto-regressive models widely used in finance; The possibility of partially resolving the long-memory and short-memory components of the volatility, with consistent results when applied to historical series.Comment: Main text (17 pages, 13 figures) plus Supplementary Material (16 pages, 5 figures
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