Rejuvenation in the Random Energy Model

We show that the Random Energy Model has interesting rejuvenation properties in its frozen phase. Different `susceptibilities' to temperature changes, for the free-energy and for other (`magnetic') observables, can be computed exactly. These susceptibilities diverge at the transition temperature, as (1-T/T_c)^-3 for the free-energy.Comment: 9 pages, 1 eps figur

Behind the price: on the role of agent's reflexivity in financial market microstructure

In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we introduce the concepts of market impact and order flow, presenting their recently discovered empirical properties and discussing some possible interpretation in terms of agent's strategies. Our analysis confirms that quantitative analysis of data is crucial to validate qualitative hypothesis on investors' behavior in the regulated environment of order placement and to connect these micro-structural behaviors to the properties of the collective dynamics of the system as a whole, such for instance market efficiency. Finally we discuss the relation between some of the described properties and the theory of reflexivity proposing that in the process of price formation positive and negative feedback loops between the cognitive and manipulative function of agents are present.Comment: 12 pages, 1 figur

Anomalous diffusion, Localization, Aging and Sub-aging effects in trap models at very low temperature

We study in details the dynamics of the one dimensional symmetric trap model, via a real-space renormalization procedure which becomes exact in the limit of zero temperature. In this limit, the diffusion front in each sample consists in two delta peaks, which are completely out of equilibrium with each other. The statistics of the positions and weights of these delta peaks over the samples allows to obtain explicit results for all observables in the limit $T \to 0$. We first compute disorder averages of one-time observables, such as the diffusion front, the thermal width, the localization parameters, the two-particle correlation function, and the generating function of thermal cumulants of the position. We then study aging and sub-aging effects : our approach reproduces very simply the two different aging exponents and yields explicit forms for scaling functions of the various two-time correlations. We also extend the RSRG method to include systematic corrections to the previous zero temperature procedure via a series expansion in $T$. We then consider the generalized trap model with parameter $\alpha \in [0,1]$ and obtain that the large scale effective model at low temperature does not depend on $\alpha$ in any dimension, so that the only observables sensitive to $\alpha$ are those that measure the `local persistence', such as the probability to remain exactly in the same trap during a time interval. Finally, we extend our approach at a scaling level for the trap model in $d=2$ and obtain the two relevant time scales for aging properties.Comment: 33 pages, 3 eps figure

Pinning/depinning of crack fronts in heterogeneous materials

The fatigue fracture surfaces of a metallic alloy, and the stress corrosion fracture surfaces of glass are investigated as a function of crack velocity. It is shown that in both cases, there are two fracture regimes, which have a well defined self-affine signature. At high enough length scales, the universal roughness index 0.78 is recovered. At smaller length scales, the roughness exponent is close to 0.50. The crossover length $\xi_c$ separating these two regimes strongly depends on the material, and exhibits a power-law decrease with the measured crack velocity $\xi_c \propto v^{-\phi}$, with $\phi \simeq 1$. The exponents $\nu$ and $\beta$ characterising the dependence of $\xi_c$ and $v$ upon the pulling force are shown to be close to $\nu \simeq 2$ and $\beta \simeq 2$.Comment: 4 pages, latex, and 4 encapsulated postscript figure

Extremal driving as a mechanism for generating long-term memory

It is argued that systems whose elements are renewed according to an extremal criterion can generally be expected to exhibit long-term memory. This is verified for the minimal extremally driven model, which is first defined and then solved for all system sizes N\geq2 and times t\geq0, yielding exact expressions for the persistence R(t)=[1+t/(N-1)]^{-1} and the two-time correlation function C(t_{\rm w}+t,t_{\rm w})=(1-1/N)(N+t_{\rm w})/(N+t_{\rm w}+t-1). The existence of long-term memory is inferred from the scaling of C(t_{\rm w}+t,t_{\rm w})\sim f(t/t_{\rm w}), denoting {\em aging}. Finally, we suggest ways of investigating the robustness of this mechanism when competing processes are present.Comment: 5 pages, no figures; requires IOP style files. To appear as a J. Phys. A. lette

Solid state interfacial reactions in a ceria-coated Ni-based superalloy

International audienc

MOBILITY IN A ONE-DIMENSIONAL DISORDER POTENTIAL

In this article the one-dimensional, overdamped motion of a classical particle is considered, which is coupled to a thermal bath and is drifting in a quenched disorder potential. The mobility of the particle is examined as a function of temperature and driving force acting on the particle. A framework is presented, which reveals the dependence of mobility on spatial correlations of the disorder potential. Mobility is then calculated explicitly for new models of disorder, in particular with spatial correlations. It exhibits interesting dynamical phenomena. Most markedly, the temperature dependence of mobility may deviate qualitatively from Arrhenius formula and a localization transition from zero to finite mobility may occur at finite temperature. Examples show a suppression of this transition by disorder correlations.Comment: 10 pages, latex, with 3 figures, to be published in Z. Phys.

Wealth Condensation in Pareto Macro-Economies

We discuss a Pareto macro-economy (a) in a closed system with fixed total wealth and (b) in an open system with average mean wealth and compare our results to a similar analysis in a super-open system (c) with unbounded wealth. Wealth condensation takes place in the social phase for closed and open economies, while it occurs in the liberal phase for super-open economies. In the first two cases, the condensation is related to a mechanism known from the balls-in-boxes model, while in the last case to the non-integrable tails of the Pareto distribution. For a closed macro-economy in the social phase, we point to the emergence of a ``corruption'' phenomenon: a sizeable fraction of the total wealth is always amassed by a single individual.Comment: 4 pages, 1 figur

Multifractal Properties of Price Fluctuations of Stocks and Commodities

We analyze daily prices of 29 commodities and 2449 stocks, each over a period of $\approx 15$ years. We find that the price fluctuations for commodities have a significantly broader multifractal spectrum than for stocks. We also propose that multifractal properties of both stocks and commodities can be attributed mainly to the broad probability distribution of price fluctuations and secondarily to their temporal organization. Furthermore, we propose that, for commodities, stronger higher order correlations in price fluctuations result in broader multifractal spectra.Comment: Published in Euro Physics Letters (14 pages, 5 figures

Individual and collective stock dynamics: intra-day seasonalities

We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day, leading to a smaller relative dispersion between stocks. Somewhat paradoxically, the kurtosis (a measure of volatility surprises) reaches a minimum at the open of the market, when the volatility is at its peak. We confirm that the dispersion kurtosis is a markedly decreasing function of the index return. This means that during large market swings, the idiosyncratic component of the stock dynamics becomes sub-dominant. In a nutshell, early hours of trading are dominated by idiosyncratic or sector specific effects with little surprises, whereas the influence of the market factor increases throughout the day, and surprises become more frequent.Comment: 9 pages, 7 figure