Evacuation in the Social Force Model is not stationary

An evacuation process is simulated within the Social Force Model. Thousand pedestrians are leaving a room by one exit. We investigate the stationarity of the distribution of time lags between instants when two successive pedestrians cross the exit. The exponential tail of the distribution is shown to gradually vanish. Taking fluctuations apart, the time lags decrease in time till there are only about 50 pedestrians in the room, then they start to increase. This suggests that at the last stage the flow is laminar. In the first stage, clogging events slow the evacuation down. As they are more likely for larger crowds, the flow is not stationary. The data are investigated with detrended fluctuation analysis.Comment: 7 pages, 3 figures; PACS numbers: 89.75.Fb, 05.40.-a, 05.45.Tp, 89.40.B

Applications of physical methods in high-frequency futures markets

In the present work we demonstrate the application of different physical methods to high-frequency or tick-by-tick financial time series data. In particular, we calculate the Hurst exponent and inverse statistics for the price time series taken from a range of futures indices. Additionally, we show that in a limit order book the relaxation times of an imbalanced book state with more demand or supply can be described by stretched exponential laws analogous to those seen in many physical systems.Comment: 14 Pages and 10 figures. Proceeding to the SPIE conference, 4 - 7 December 2007 Australian National Univ. Canberra, ACT, Australi