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

Phase transition in the Higgs model of scalar dyons

In the present paper we investigate the phase transition "Coulomb--confinement" in the Higgs model of abelian scalar dyons -- particles having both, electric $e$ and magnetic $g$, charges. It is shown that by dual symmetry this theory is equivalent to scalar fields with the effective squared electric charge e^{*2}=e^2+g^2. But the Dirac relation distinguishes the electric and magnetic charges of dyons. The following phase transition couplings are obtained in the one--loop approximation: \alpha_{crit}=e^2_{crit}/4\pi\approx 0.19, \tilde\alpha_{crit}=g^2_{crit}/4\pi\approx 1.29 and \alpha^*_{crit}\approx 1.48.Comment: 16 pages, 2 figure

A Model Behind the Standard Model

In spite of its many successes, the Standard Model makes many empirical assumptions in the Higgs and fermion sectors for which a deeper theoretical basis is sought. Starting from the usual gauge symmetry $u(1) \times su(2) \times su(3)$ plus the 3 assumptions: (A) scalar fields as vielbeins in internal symmetry space \cite{framevec}, (B) the ``confinement picture'' of symmetry breaking \cite{tHooft,Banovici}, (C) generations as ``dual'' to colour \cite{genmixdsm}, we are led to a scheme which offers: (I) a geometrical significance to scalar fields, (II) a theoretical criterion on what scalar fields are to be introduced, (III) a partial explanation of why $su(2)$ appears broken while $su(3)$ confines, (IV) baryon-lepton number (B - L) conservation, (V) the standard electroweak structure, (VI) a 3-valued generation index for leptons and quarks, and (VII) a dynamical system with all the essential features of an earlier phenomenological model \cite{genmixdsm} which gave a good description of the known mass and mixing patterns of quarks and leptons including neutrino oscillations. There are other implications the consistency of which with experiment, however, has not yet been systematically explored. A possible outcome is a whole new branch of particle spectroscopy from $su(2)$ confinement, potentially as rich in details as that of hadrons from colour confinement, which will be accessible to experiment at high energy.Comment: 66 pages, added new material on phenomenology, and some new reference

A Solvable Model of Two-Dimensional Dilaton-Gravity Coupled to a Massless Scalar Field

We present a solvable model of two-dimensional dilaton-gravity coupled to a massless scalar field. We locally integrate the field equations and briefly discuss the properties of the solutions. For a particular choice of the coupling between the dilaton and the scalar field the model can be interpreted as the two-dimensional effective theory of 2+1 cylindrical gravity minimally coupled to a massless scalar field.Comment: 6 pages, RevTeX, to be published in Phys. Rev.

How the Charge Can Affect the Formation of Gravastars

In recent work we physically interpreted a special gravastar solution characterized by a zero Schwarzschild mass. In fact, in that case, none gravastar was formed and the shell expanded, leaving behind a de Sitter or a Minkowski spacetime, or collapsed without forming an event horizon, originating what we called a massive non-gravitational object. This object has two components of non zero mass but the exterior spacetime is Minkowski or de Sitter. One of the component is a massive thin shell and the other one is de Sitter spacetime inside. The total mass of this object is zero Schwarzschild mass, which characterizes an exterior vacuum spacetime. Here, we extend this study to the case where we have a charged shell. Now, the exterior is a Reissner-Nordstr\"om spacetime and, depending on the parameter $\omega=1-\gamma$ of the equation of state of the shell, and the charge, a gravastar structure can be formed. We have found that the presence of the charge contributes to the stability of the gravastar, if the charge is greater than a critical value. Otherwise, a massive non-gravitational object is formed for small charges.Comment: 17 pages and 7 figures, several typos corrected, accepted for publication in JCA

ADI splitting schemes for a fourth-order nonlinear partial differential equation from image processing

We present directional operator splitting schemes for the numerical solution of a fourth-order, nonlinear partial differential evolution equation which arises in image processing. This equation constitutes the H−1-gradient flow of the total variation and represents a prototype of higher-order equations of similar type which are popular in imaging for denoising, deblurring and inpainting problems. The efficient numerical solution of this equation is very challenging due to the stiffness of most numerical schemes. We show that the combination of directional splitting schemes with implicit time-stepping provides a stable and computationally cheap numerical realisation of the equation

Charge sensing in carbon nanotube quantum dots on microsecond timescales

We report fast, simultaneous charge sensing and transport measurements of gate-defined carbon nanotube quantum dots. Aluminum radio frequency single electron transistors (rf-SETs) capacitively coupled to the nanotube dot provide single-electron charge sensing on microsecond timescales. Simultaneously, rf reflectometry allows fast measurement of transport through the nanotube dot. Charge stability diagrams for the nanotube dot in the Coulomb blockade regime show extended Coulomb diamonds into the high-bias regime, as well as even-odd filling effects, revealed in charge sensing data.Comment: 4 pages, 4 figure

Transition from accelerated to decelerated regimes in JT and CGHS cosmologies

In this work we discuss the possibility of positive-acceleration regimes, and their transition to decelerated regimes, in two-dimensional (2D) cosmological models. We use general relativity and the thermodynamics in a 2D space-time, where the gas is seen as the sources of the gravitational field. An early-Universe model is analyzed where the state equation of van der Waals is used, replacing the usual barotropic equation. We show that this substitution permits the simulation of a period of inflation, followed by a negative-acceleration era. The dynamical behavior of the system follows from the solution of the Jackiw-Teitelboim equations (JT equations) and the energy-momentum conservation laws. In a second stage we focus the Callan-Giddings-Harvey-Strominger model (CGHS model); here the transition from the inflationary period to the decelerated period is also present between the solutions, although this result depend strongly on the initial conditions used for the dilaton field. The temporal evolution of the cosmic scale function, its acceleration, the energy density and the hydrostatic pressure are the physical quantities obtained in through the analysis.Comment: To appear in Europhysics Letter