471 research outputs found
Memory-induced anomalous dynamics: emergence of diffusion, subdiffusion, and superdiffusion from a single random walk model
We present a random walk model that exhibits asymptotic subdiffusive,
diffusive, and superdiffusive behavior in different parameter regimes. This
appears to be the first instance of a single random walk model leading to all
three forms of behavior by simply changing parameter values. Furthermore, the
model offers the great advantage of analytic tractability. Our model is
non-Markovian in that the next jump of the walker is (probabilistically)
determined by the history of past jumps. It also has elements of intermittency
in that one possibility at each step is that the walker does not move at all.
This rich encompassing scenario arising from a single model provides useful
insights into the source of different types of asymptotic behavior
Determinants of immediate price impacts at the trade level in an emerging order-driven market
The common wisdom argues that, in general, large trades cause large price
changes, while small trades cause small price changes. However, for extremely
large price changes, the trade size and news play a minor role, while the
liquidity (especially price gaps on the limit order book) is a more influencing
factor. Hence, there might be other influencing factors of immediate price
impacts of trades. In this paper, through mechanical analysis of price
variations before and after a trade of arbitrary size, we identify that the
trade size, the bid-ask spread, the price gaps and the outstanding volumes at
the bid and ask sides of the limit order book have impacts on the changes of
prices. We propose two regression models to investigate the influences of these
microscopic factors on the price impact of buyer-initiated partially filled
trades, seller-initiated partially filled trades, buyer-initiated filled
trades, and seller-initiated filled trades. We find that they have
quantitatively similar explanation powers and these factors can account for up
to 44% of the price impacts. Large trade sizes, wide bid-ask spreads, high
liquidity at the same side and low liquidity at the opposite side will cause a
large price impact. We also find that the liquidity at the opposite side has a
more influencing impact than the liquidity at the same side. Our results shed
new lights on the determinants of immediate price impacts.Comment: 21 IOP tex pages including 5 figures and 5 tables. Accepted for
publication in New Journal of Physic
Wigner and Kondo physics in quantum point contacts revealed by scanning gate microscopy
Quantum point contacts exhibit mysterious conductance anomalies in addition
to well known conductance plateaus at multiples of 2e^2/h. These 0.7 and
zero-bias anomalies have been intensively studied, but their microscopic origin
in terms of many-body effects is still highly debated. Here we use the charged
tip of a scanning gate microscope to tune in situ the electrostatic potential
of the point contact. While sweeping the tip distance, we observe repetitive
splittings of the zero-bias anomaly, correlated with simultaneous appearances
of the 0.7 anomaly. We interpret this behaviour in terms of alternating
equilibrium and non-equilibrium Kondo screenings of different spin states
localized in the channel. These alternating Kondo effects point towards the
presence of a Wigner crystal containing several charges with different
parities. Indeed, simulations show that the electron density in the channel is
low enough to reach one-dimensional Wigner crystallization over a size
controlled by the tip position
Stochastic Opinion Formation in Scale-Free Networks
The dynamics of opinion formation in large groups of people is a complex
non-linear phenomenon whose investigation is just at the beginning. Both
collective behaviour and personal view play an important role in this
mechanism. In the present work we mimic the dynamics of opinion formation of a
group of agents, represented by two state , as a stochastic response of
each of them to the opinion of his/her neighbours in the social network and to
feedback from the average opinion of the whole. In the light of recent studies,
a scale-free Barab\'asi-Albert network has been selected to simulate the
topology of the interactions. A turbulent-like dynamics, characterized by an
intermittent behaviour, is observed for a certain range of the model
parameters. The problem of uncertainty in decision taking is also addressed
both from a topological point of view, using random and targeted removal of
agents from the network, and by implementing a three state model, where the
third state, zero, is related to the information available to each agent.
Finally, the results of the model are tested against the best known network of
social interactions: the stock market. A time series of daily closures of the
Dow Jones index has been used as an indicator of the possible applicability of
our model in the financial context. Good qualitative agreement is found.Comment: 24 pages and 13 figures, Physical Review E, in pres
Extreme times in financial markets
We apply the theory of continuous time random walks to study some aspects of
the extreme value problem applied to financial time series. We focus our
attention on extreme times, specifically the mean exit time and the mean
first-passage time. We set the general equations for these extremes and
evaluate the mean exit time for actual data.Comment: 6 pages, 3 figure
Spurious trend switching phenomena in financial markets
The observation of power laws in the time to extrema of volatility, volume
and intertrade times, from milliseconds to years, are shown to result
straightforwardly from the selection of biased statistical subsets of
realizations in otherwise featureless processes such as random walks. The bias
stems from the selection of price peaks that imposes a condition on the
statistics of price change and of trade volumes that skew their distributions.
For the intertrade times, the extrema and power laws results from the format of
transaction data
Amnestically induced persistence in random walks
We study how the Hurst exponent depends on the fraction of the
total time remembered by non-Markovian random walkers that recall only the
distant past. We find that otherwise nonpersistent random walkers switch to
persistent behavior when inflicted with significant memory loss. Such memory
losses induce the probability density function of the walker's position to
undergo a transition from Gaussian to non-Gaussian. We interpret these findings
of persistence in terms of a breakdown of self-regulation mechanisms and
discuss their possible relevance to some of the burdensome behavioral and
psychological symptoms of Alzheimer's disease and other dementias.Comment: 4 pages, 3 figs, subm. to Phys. Rev. Let
Inclusive 2H(3He,t) reaction at 2 GeV
The inclusive 2H(3He,t) reaction has been studied at 2 GeV for energy
transfers up to 500 MeV and scattering angles from 0.25 up to 4 degrees. Data
are well reproduced by a model based on a coupled-channel approach for
describing the NN and N Delta systems. The effect of final state interaction is
important in the low energy part of the spectra. In the delta region, the
cross-section is very sensitive to the effects of Delta-N interaction and Delta
N - NN process. The latter has also a large influence well below the pion
threshold. The calculation underestimates the experimental cross-section
between the quasi-elastic and the delta peaks; this is possibly due to
projectile excitation or purely mesonic exchange currents.Comment: 9 pages, 9 figures, accepted for publication in EPJ
Reaction â¶Li(p, Îâșâș)â¶He At 1.04 GeV And The ÎâN Interaction
The reaction â¶Li(p, Îâșâș)â¶He has been studied at 1.04 GeV for transferred momenta ranging from 0.11 to 0.35 (GeV/c)2. An exponential decrease of the cross section is observed. A Glauber-type calculation is presented. The possibility of extracting information on Ï(ÎN) and α(ÎN) is discussed
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