Thermodynamics of DNA loops with long-range correlated structural disorder.

We study the influence of a structural disorder on the thermodynamical properties of 2D-elastic chains submitted to mechanical/topological constraint as loops. The disorder is introduced via a spontaneous curvature whose distribution along the chain presents either no correlation or long-range correlations (LRC). The equilibrium properties of the one-loop system are derived numerically and analytically for weak disorder. LRC are shown to favor the formation of small loop, larger the LRC, smaller the loop size. We use the mean first passage time formalism to show that the typical short time loop dynamics is superdiffusive in the presence of LRC. Potential biological implications on nucleosome positioning and dynamics in eukaryotic chromatin are discussed

Option Pricing from Wavelet-Filtered Financial Series

We perform wavelet decomposition of high frequency financial time series into large and small time scale components. Taking the FTSE100 index as a case study, and working with the Haar basis, it turns out that the small scale component defined by most ($\simeq$ 99.6%) of the wavelet coefficients can be neglected for the purpose of option premium evaluation. The relevance of the hugely compressed information provided by low-pass wavelet-filtering is related to the fact that the non-gaussian statistical structure of the original financial time series is essentially preserved for expiration times which are larger than just one trading day.Comment: 4 pages, 1 figur

Numerical investigations of discrete scale invariance in fractals and multifractal measures

Fractals and multifractals and their associated scaling laws provide a quantification of the complexity of a variety of scale invariant complex systems. Here, we focus on lattice multifractals which exhibit complex exponents associated with observable log-periodicity. We perform detailed numerical analyses of lattice multifractals and explain the origin of three different scaling regions found in the moments. A novel numerical approach is proposed to extract the log-frequencies. In the non-lattice case, there is no visible log-periodicity, {\em{i.e.}}, no preferred scaling ratio since the set of complex exponents spread irregularly within the complex plane. A non-lattice multifractal can be approximated by a sequence of lattice multifractals so that the sets of complex exponents of the lattice sequence converge to the set of complex exponents of the non-lattice one. An algorithm for the construction of the lattice sequence is proposed explicitly.Comment: 31 Elsart pages including 12 eps figure

Chaos in a low-order model of magnetoconvection

In the limit of tall, thin rolls, weakly nonlinear convection in a vertical magnetic field is described by an asymptotically exact third-order set of ordinary differential equations. These equations are shown here to have three codimension-two bifurcation points: a Takens-Bogdanov bifurcation, at which a gluing bifurcation is created; a point at which the gluing bifurcation is replaced by a pair of homoclinic explosions between which there are Lorenz-like chaotic trajectories; and a new type of bifurcation point at which the first of a cascade of period-doubling bifurcation lines originates. The last two bifurcation points are analysed in terms of a one-dimensional map. The equations also have a T-point, at which there is a heteroclinic connection between a saddle and a pair of saddle-foci; emerging from this point is a line of Shil'nikov bifurcations, involving homoclinic connections to a saddle-focus

The quasi-periodic doubling cascade in the transition to weak turbulence

The quasi-periodic doubling cascade is shown to occur in the transition from regular to weakly turbulent behaviour in simulations of incompressible Navier-Stokes flow on a three-periodic domain. Special symmetries are imposed on the flow field in order to reduce the computational effort. Thus we can apply tools from dynamical systems theory such as continuation of periodic orbits and computation of Lyapunov exponents. We propose a model ODE for the quasi-period doubling cascade which, in a limit of a perturbation parameter to zero, avoids resonance related problems. The cascade we observe in the simulations is then compared to the perturbed case, in which resonances complicate the bifurcation scenario. In particular, we compare the frequency spectrum and the Lyapunov exponents. The perturbed model ODE is shown to be in good agreement with the simulations of weak turbulence. The scaling of the observed cascade is shown to resemble the unperturbed case, which is directly related to the well known doubling cascade of periodic orbits

Intermittency of velocity time increments in turbulence

We analyze the statistics of turbulent velocity fluctuations in the time domain. Three cases are computed numerically and compared: (i) the time traces of Lagrangian fluid particles in a (3D) turbulent flow (referred to as the "dynamic" case); (ii) the time evolution of tracers advected by a frozen turbulent field (the "static" case), and (iii) the evolution in time of the velocity recorded at a fixed location in an evolving Eulerian velocity field, as it would be measured by a local probe (referred to as the "virtual probe" case). We observe that the static case and the virtual probe cases share many properties with Eulerian velocity statistics. The dynamic (Lagrangian) case is clearly different; it bears the signature of the global dynamics of the flow.Comment: 5 pages, 3 figures, to appear in PR

Long time correlations in Lagrangian dynamics: a key to intermittency in turbulence

New aspects of turbulence are uncovered if one considers flow motion from the perspective of a fluid particle (known as the Lagrangian approach) rather than in terms of a velocity field (the Eulerian viewpoint). Using a new experimental technique, based on the scattering of ultrasounds, we have obtained a direct measurement of particle velocities, resolved at all scales, in a fully turbulent flow. It enables us to approach intermittency in turbulence from a dynamical point of view and to analyze the Lagrangian velocity fluctuations in the framework of random walks. We find experimentally that the elementary steps in the 'walk' have random uncorrelated directions but a magnitude that is extremely long-range correlated in time. Theoretically, we study a Langevin equation that incorporates these features and we show that the resulting dynamics accounts for the observed one- and two-point statistical properties of the Lagrangian velocity fluctuations. Our approach connects the intermittent statistical nature of turbulence to the dynamics of the flow.Comment: 4 pages, 4 figure

Oscillations and secondary bifurcations in nonlinear magnetoconvection

Complicated bifurcation structures that appear in nonlinear systems governed by partial differential equations (PDEs) can be explained by studying appropriate low-order amplitude equations. We demonstrate the power of this approach by considering compressible magnetoconvection. Numerical experiments reveal a transition from a regime with a subcritical Hopf bifurcation from the static solution, to one where finite-amplitude oscillations persist although there is no Hopf bifurcation from the static solution. This transition is associated with a codimension-two bifurcation with a pair of zero eigenvalues. We show that the bifurcation pattern found for the PDEs is indeed predicted by the second-order normal form equation (with cubic nonlinearities) for a Takens-Bogdanov bifurcation with Z2 symmetry. We then extend this equation by adding quintic nonlinearities and analyse the resulting system. Its predictions provide a qualitatively accurate description of solutions of the full PDEs over a wider range of parameter values. Replacing the reflecting (Z2) lateral boundary conditions with periodic [O(2)] boundaries allows stable travelling wave and modulated wave solutions to appear; they could be described by a third-order system

Elements for a Theory of Financial Risks

Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on Gaussian statistics), and their practical implementation. Here we describe three interrelated aspects of this program: we first give a brief survey of the peculiar statistical properties of the empirical price fluctuations. We then review how an option pricing theory consistent with these statistical features can be constructed, and compared with real market prices for options. We finally argue that a true `microscopic' theory of price fluctuations (rather than a statistical model) would be most valuable for risk assessment. A simple Langevin-like equation is proposed, as a possible step in this direction.Comment: 22 pages, to appear in `Order, Chance and Risk', Les Houches (March 1998), to be published by Springer/EDP Science