Weighted Fixed Points in Self-Similar Analysis of Time Series

The self-similar analysis of time series is generalized by introducing the notion of scenario probabilities. This makes it possible to give a complete statistical description for the forecast spectrum by defining the average forecast as a weighted fixed point and by calculating the corresponding a priori standard deviation and variance coefficient. Several examples of stock-market time series illustrate the method.Comment: two additional references are include

Self-similar approach to market analysis

A novel approach to analyzing time series generated by complex systems, such as markets, is presented. The basic idea of the approach is the {\it Law of Self-Similar Evolution}, according to which any complex system develops self-similarly. There always exist some internal laws governing the evolution of a system, say of a market, so that each of such systems possesses its own character regulating its behaviour. The problem is how to discover these hidden internal laws defining the system character. This problem can be solved by employing the {\it Self-Similar Approximation Theory}, which supplies the mathematical foundation for the Law of Self-Similar Evolution. In this report, the theoretical basis of the new approach to analyzing time series is formulated, with an accurate explanation of its principal points.Comment: Latex file, 17 pages, no figure

Thermalization and pseudolocality in extended quantum systems

Recently, it was understood that modified concepts of locality played an important role in the study of extended quantum systems out of equilibrium, in particular in so-called generalized Gibbs ensembles. In this paper, we rigorously study pseudolocal charges and their involvement in time evolutions and in the thermalization process of arbitrary states with strong enough clustering properties. We show that the densities of pseudolocal charges form a Hilbert space, with inner product determined by thermodynamic susceptibilities. Using this, we define the family of pseudolocal states, which are determined by pseudolocal charges. This family includes thermal Gibbs states at high enough temperatures, as well as (a precise definition of) generalized Gibbs ensembles. We prove that the family of pseudolocal states is preserved by finite time evolution, and that, under certain conditions, the stationary state emerging at infinite time is a generalized Gibbs ensemble with respect to the evolution dynamics. If the evolution dynamics does not admit any conserved pseudolocal charges other than the evolution Hamiltonian, we show that any stationary pseudolocal state with respect to this dynamics is a thermal Gibbs state, and that Gibbs thermalization occurs. The framework is that of translation-invariant states on hypercubic quantum lattices of any dimensionality (including quantum chains) and finite-range Hamiltonians, and does not involve integrability.Comment: v1: 43 pages. v2: corrections and clarifications, references added, 46 pages. v3: 48 pages, further corrections made, accepted for publication in Commun. Math. Phy

The Single Server Queue and the Storage Model: Large Deviations and Fixed Points

We consider the coupling of a single server queue and a storage model defined as a Queue/Store model in Draief et al. 2004. We establish that if the input variables, arrivals at the queue and store, satisfy large deviations principles and are linked through an {\em exponential tilting} then the output variables (departures from each system) satisfy large deviations principles with the same rate function. This generalizes to the context of large deviations the extension of Burke's Theorem derived in Draief et al. 2004.Comment: 20 page

The Measure-theoretic Identity Underlying Transient Fluctuation Theorems

We prove a measure-theoretic identity that underlies all transient fluctuation theorems (TFTs) for entropy production and dissipated work in inhomogeneous deterministic and stochastic processes, including those of Evans and Searles, Crooks, and Seifert. The identity is used to deduce a tautological physical interpretation of TFTs in terms of the arrow of time, and its generality reveals that the self-inverse nature of the various trajectory and process transformations historically relied upon to prove TFTs, while necessary for these theorems from a physical standpoint, is not necessary from a mathematical one. The moment generating functions of thermodynamic variables appearing in the identity are shown to converge in general only in a vertical strip in the complex plane, with the consequence that a TFT that holds over arbitrary timescales may fail to give rise to an asymptotic fluctuation theorem for any possible speed of the corresponding large deviation principle. The case of strongly biased birth-death chains is presented to illustrate this phenomenon. We also discuss insights obtained from our measure-theoretic formalism into the results of Saha et. al. on the breakdown of TFTs for driven Brownian particles

Combinatorial quantisation of Euclidean gravity in three dimensions

In the Chern-Simons formulation of Einstein gravity in 2+1 dimensions the phase space of gravity is the moduli space of flat G-connections, where G is a typically non-compact Lie group which depends on the signature of space-time and the cosmological constant. For Euclidean signature and vanishing cosmological constant, G is the three-dimensional Euclidean group. For this case the Poisson structure of the moduli space is given explicitly in terms of a classical r-matrix. It is shown that the quantum R-matrix of the quantum double D(SU(2)) provides a quantisation of that Poisson structure.Comment: cosmetic chang